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

DOI10.1016/0010-4655(93)90016-6MaRDI QIDQ1923722zbMATH OpenOpenAlexFDO

Authors 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

Box-Muller-Wiener algorithmcomparison of methodsGaussian distributed random numbersnumerical inversion method

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

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Cites work

• A Note on the Generation of Random Normal Deviates
• A very fast shift-register sequence random number generator
• Computer methods for sampling from the exponential and normal distributions
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3942890 (Why is no real title available?)
• scientific article; zbMATH DE number 4070125 (Why is no real title available?)
• scientific article; zbMATH DE number 4118220 (Why is no real title available?)
• Numerical integration of stochastic differential equations.

Cited in

(12)

• Pipelined CORDIC processors for generating Gaussian random numbers
• Fast Gaussian random number generation using linear transformations
• Generation of the Chapman-Enskog distribution
• Effect of non-Gaussian noise sources in a noise-induced transition
• An algorithm of generating random number by wavelet denoising method and its application
• Enhanced Box-Muller method for high quality Gaussian random number generation
• Analytical and numerical studies of noise-induced synchronization of chaotic systems
• Monte Carlo sampling of Maxwell and Gaussian distributions using a single random number
• Normal (Gaussian) random variables for supercomputers
• Effective Markovian approximation for non-Gaussian noises: A path integral approach
• A law limit theorem for a sequence of random variables
• Generating generalized inverse Gaussian random variates

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