drawing random number from a standard normal distribution using the standard rand() functions

无人久伴 提交于 2019-11-29 18:05:46

Here is a simple way that works (from here):

    static Random r = new Random();
    static double Normal(double mu, double sig)
    {
        double u, v, x, y, q;
        do
        {
            u = r.NextDouble();
            v = 1.7156 * (r.NextDouble() - 0.5);
            x = u - 0.449871;
            y = Math.Abs(v) + 0.386595;
            q = Math.Sqrt(x) + y * (0.19600 * y - 0.25472 * x);
        } while (q > 0.27597 && (q > 0.27846 || Math.Sqrt(v) > -4.0 * Math.Log(u) * Math.Sqrt(u)));
        return mu + sig * v / u;
    }
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