Fast pseudorandom generators for normal and exponential variates

@article{Wallace1996FastPG,
  title={Fast pseudorandom generators for normal and exponential variates},
  author={Chris S. Wallace},
  journal={ACM Trans. Math. Softw.},
  year={1996},
  volume={22},
  pages={119-127}
}
  • C. S. Wallace
  • Published 1 March 1996
  • Computer Science
  • ACM Trans. Math. Softw.
Fast algorithms for generating pseudorandom numbers from the unit-normal and unit-exponential distributions are described. The methods are unusual in that they do not rely on a source of uniform random numbers, but generate the target distributions directly by using their maximal-entropy properties. The algorithms are fast. The normal generator is faster than the commonly used Unix library uniform generator “random” when the latter is used to yield real values. Their statistical properties seem… 
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References

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A fast normal random number generator
TLDR
A method is presented for generating pseudorandom numbers with a normal distribution using the ratio of uniform deviates method discovered by Kinderman and Monahan with an improved set of bounding curves and can be implemented in 15 lines of FORTRAN.
TR-CS-93-04
  • TR-CS-93-04