Article View: sci.math.stat
Article #88Re: random number generator
From: Nick Maclaren
Date: Mon, 27 Jul 1992 12:41
Date: Mon, 27 Jul 1992 12:41
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In article <1992Jul27.103659.11820@kth.se>, md87-mpe@hemul.nada.kth.se (Magnus Pettersson) writes: |> .... There is also a description on how to make two independent and |> U(0,1)-distributed random numbers into two independent N(0,1)-distributed |> randomnumbers, with a method called "the Box-Mueller Method". That method is |> first described in |> |> 3. G.E.P.Box and M.E.Mueller |> A Note on the Generation of Random Normal Deviates |> Ann.Math.Stat. (1958) 29, 610-611 Don't use this method in single precision - it has a very serious flaw. While it is OK in double precision, there are faster and simpler methods available (e.g. the Polar Method as described in Knuth). The reference for the flaw is by H.R. Neave round about 1970. Nick Maclaren University of Cambridge Computer Laboratory, New Museums Site, Pembroke Street, Cambridge CB2 3QG, England. Email: nmm@cl.cam.ac.uk Tel.: +44 223 334761 Fax: +44 223 334679
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Path: arc1-ca.pugleaf.net!sparky!uunet!mcsun!uknet!warwick!cam-cl!cam-cl!nmm From: nmm@cl.cam.ac.uk (Nick Maclaren) Newsgroups: sci.math.stat Subject: Re: random number generator Keywords: pseudo-random, C , uniform, normal Message-ID: <1992Jul27.124120.29511@cl.cam.ac.uk> Date: 27 Jul 92 12:41:20 GMT References: <1992Jul27.103659.11820@kth.se> Sender: news@cl.cam.ac.uk (The news facility) Reply-To: nmm@cl.cam.ac.uk (Nick Maclaren) Organization: U of Cambridge Computer Lab, UK Lines: 25