A FAST PROCEDURE FOR GENERATING NORMAL RANDOM VARIABLES

Abstract

A discussion is given of the generation of normal random variables very rapidly in a computer - for example, at the rate of 10,000 - 15,000 p r second in the IBM 7090. The method is suitable for any computer. The incorporation of successive improvements has led to a procedure which is fairly easy to program, requires little storage, 300 - 400 constants, is very fast (it takes about as long to generate the normal x as the uniform u from which it comes), and is completely accurate, in the sense that in theory the procedure returns a random variable with exactly the required distribution; in practice the result is an approximation influenced only by the capacity (word length) of the computer.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1962
Accession Number
AD0296195

Entities

People

  • G. Marsaglia
  • M.d. Maclaren
  • T.a. Bray

Organizations

  • Boeing

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Computers
  • Core Storage
  • Data Storage Systems
  • Language
  • Machine Languages
  • Mathematics
  • Probability
  • Procedures (Computers)
  • Random Variables
  • Scientific Research
  • Standards

Fields of Study

  • Computer science
  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Regression Analysis.