|Peter-Lawrence . Montgomery on Thu, 13 Apr 2000 07:48:23 +0200 (MET DST)|
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|Re: Gaussian random variables|
Bjorn Poonen <email@example.com> asks > Is there any easy way to generate random numbers in GP > according to the standard normal distribution? > What is `easy'? Knuth `Seminumerical Algorithm' gives means to generate normal deviates. For example, 1) Generate two independent random variables U1 and U2, uniformly distributed in (0, 1). 2) Set V1 = 2*U1 - 1 and V2 = 2*U2 - 1. Set S = V1^2 + V2^2. 3) If S >= 1, return to step 1). 4) Set T = sqrt(-2*log(S))/S . 5) X1 = T*V1 and X2 = T*V2 are independent, normally distributed, with mean 0 and variance 1.