Enhanced Box-Muller method for high quality Gaussian random number generation. (2018)

• Record Type: Journal Article
• Authors: Addaim, Adnane; Gretete, Driss; Madi, Abdessalam Ait
• Is Part Of: International journal of computing science and mathematics. Volume 9:Number 3(2018)
• Page Start: 287
• Page End: 297
• Publication Date: 2018
• Subjects: Gaussian random number generation -- GRNG -- Box-Muller method -- statistical tests; Mathematics -- Periodicals; Computer science -- Periodicals; Mathematics -- Data processing -- Periodicals; 510.285
• Languages: English
• ISSNs: 1752-5055

Abstract

Fast and high-quality Gaussian random number generation (GRNG) is a key capability for simulations across a wide range of disciplines. In this article, we present an enhanced Box-Muller method for GRNG using one uniform variable. Its probability density function (PDF) is given in closed form as a function of one parameter. In this article, the theoretical basis of this method is quite thoroughly discussed and is evaluated using several different statistical tests, including the chi-square test and the Anderson-Darling test. The simulations results show good performances of this method which generates accurately a true Gaussian PDF even at very high σ (standard deviations) values in comparison with the standard Box-Muller method.