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.