Created
January 3, 2014 05:15
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Box-Mueller method
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| public static double NextGaussianDouble(this Random r) | |
| { | |
| double U, u, v, S; | |
| do | |
| { | |
| u = 2.0 * r.NextDouble() - 1.0; | |
| v = 2.0 * r.NextDouble() - 1.0; | |
| S = u * u + v * v; | |
| } | |
| while (S >= 1.0); | |
| double fac = Math.Sqrt(-2.0 * Math.Log(S) / S); | |
| return u * fac; | |
| } |
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