ACM Transactions on Mathematical Software (TOMS)
A simple method for generating gamma variables
ACM Transactions on Mathematical Software (TOMS)
A Gaussian Noise Generator for Hardware-Based Simulations
IEEE Transactions on Computers
Gaussian random number generators
ACM Computing Surveys (CSUR)
Random variate generation for exponentially and polynomially tilted stable distributions
ACM Transactions on Modeling and Computer Simulation (TOMACS)
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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We suggest an interesting and fast method for generating normal, exponential, t, von Mises, and certain other important random variables used in Monte Carlo studies. The right half of a symmetric density is cut into pieces, then, using simple area-preserving transformations, reassembled into a rectangle from which the x-coordinate—or a linear function of the x-coordinate—of a random point provides the required variate. To illustrate the speed and simplicity of the Monty Python method, we provide a small C program, self-contained, for rapid generation of normal (Gaussian) variables. It is self-contained in the sense that required uniform variates are generated in-line, as pairs of 16-bit integers by means of the remarkable new multiply-with-carry method.