Generation of Gaussian distributed random numbers by using a numerical inversion method

DOI10.1016/0010-4655(93)90016-6zbMath0854.65005OpenAlexW1965278233MaRDI QIDQ1923722

Raúl Toral, Amitabha Chakrabarti

Publication date: 6 January 1997

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0010-4655(93)90016-6

zbMATH Keywords

comparison of methodsnumerical inversion methodBox-Muller-Wiener algorithmGaussian distributed random numbers

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Related Items (3)

Effect of non-Gaussian noise sources in a noise-induced transition ⋮ Analytical and numerical studies of noise-induced synchronization of chaotic systems ⋮ Effective Markovian approximation for non-Gaussian noises: A path integral approach

Cites Work

• A very fast shift-register sequence random number generator
• Numerical integration of stochastic differential equations.
• A Note on the Generation of Random Normal Deviates
• Computer methods for sampling from the exponential and normal distributions
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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