A Comparison of Methods for Generating Normal Deviates on Digital Computers

Authors:
Mervin E. Muller
Affiliations:
Princeton University, Princeton, N. J., and International Business Machines Corp., New York, N. Y.
Venue:
Journal of the ACM (JACM)
Year:
1959

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Abstract

Two methods recently developed for generating normal deviates within a computer are reviewed along with earlier proposals. A comparison of the various methods for application on an IBM 704 is given. The new direct method gives higher accuracy than previous methods of comparable speed. The detailed inverse technique proposed yields accuracy comparable with, or better than, most previous proposals using about one-quarter the computing time.