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Normal distribution generator

Posted on 1997-07-24
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Last Modified: 2009-04-20
does anyone know where on the net i may find a source code
of a normal distibution generator class ?
i need to compile it on an open-VMS environment, so using
UNIX c++ libraries is out of the question.
tia /erel.
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Question by:erel
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2 Comments
 
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Accepted Solution

by:
jos010697 earned 200 total points
ID: 1165823
Generate two uniformly distributed random numbers in
the interval [0, 1], say u and v; then

   x1= sqrt(-2*ln(u))*cos(2*pi*v)

and

   x2= sqrt(-2*ln(u))*sin(2*pi*v)

both are N(0,1). make your choice

Another (worse, but fast) method is:

generate 12 U(0, 1) random numbers; add them and
subtract 6, ie, sum(i= 1, 12)(x[i]])-6; don't expect much
accuracy near the extremes of the N(0,1) function value

kind regards,

Jos aka jos@and.nl


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Expert Comment

by:baraka
ID: 1165824
You might try searching this address: http://www.karland.com/code/
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