Enhanced Box-Muller method for high quality Gaussian random number generation

A Addaim, D Gretete, AA Madi - International Journal of …, 2018 - inderscienceonline.com
International Journal of Computing Science and Mathematics, 2018inderscienceonline.com
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 …
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.
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