Re: gaussian random number generator ?
- To: mathgroup at smc.vnet.net
- Subject: [mg20996] Re: gaussian random number generator ?
- From: rrudd at aisvt.bfg.com (Rob Rudd)
- Date: Thu, 2 Dec 1999 21:41:10 -0500 (EST)
- Organization: The Math Forum
- Sender: owner-wri-mathgroup at wolfram.com
Jean-Paul Roy wrote: > > Where can I find readable sources for implementations > of gaussian random number generator ? > Thanks, > > Jean-Paul Roy Hi, Stochastic Models, Estimation and Control, Volume 1 (Peter Maybeck; Example 3.18, Page 110) shows a gaussian random number generator that sums uniformly distributed random numbers and then relies on the central limit theorem to produce the desired shape. The example shows the pdf for 1, 2 and 3 sums and how it becomes more and more gaussian. Your fidelity is a function of how many numbers you choose to sum. The algorithm for the uniform number generator can be found in most programming books. For example, see The C Programming Language by Kernighan and Ritchie, Section 2.7, page 46. Rob