Fast Gaussian random number generation using linear transformations

DOI10.1007/BF02684478zbMath0918.65003MaRDI QIDQ1377297

Robert F. Tichy, Thomas Siegl, Tamás Herendi

Publication date: 3 March 1998

Published in: Computing (Search for Journal in Brave)

zbMATH Keywords

Fourier transformWalsh transformnumerical comparisoncompletely uniform distributionGaussian random number generation

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Pseudo-random numbers; Monte Carlo methods (11K45)

Uses Software

• C-RAND

Cites Work

• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• C-uniform distribution on compact metric spaces
• Diskrepanz und Distanz von Maßen bezüglich konvexer und Jordanscher Mengen. (Discrepancy and distance of measures with respect to convex and Jordan sets)
• An alias method for sampling from the normal distribution
• A Note on the Generation of Random Normal Deviates
• A method of generating pseudorandom normal numbers
• Testing Random Number Generators by Walsh Transform
• A Remarkable Series of Orthogonal Functions (I)
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