John Gehman wrote:
if you like check out R.W. Hamming "Numerical Methods for Scientists
and Engineers", -- you can generate a gaussian random number by
summing 12 uniform random numbers and subtract 6.0. There's a subtle
caveat which explains that this isn't perfect, but in most cases is
actually closer to what you want than a perfectly gaussian random
number (i.e. do you ever really want random number which has
probability of 137*sigma, even if strictly speaking it's bound to
happen sooner or later in a true gaussian distribution?)
Begin forwarded message:
I wish to use _in same program_ a random number generator which
provides uniformly distributed random numbers _and_ a function which
returns a Gaussian random variate.
Theses functions requires two calls to a random number generator.
So, I'm wondering whether I have to set one or two random number
generator ?
Thanks in advance,
Regards,
There is nothing to stop you using two random number generators, though
you probably only need one. If you use two random number generators with
the same seed and call them equally often then the results will be
strongly correlated. If you use just one they will be nearly
uncorrelated. So I use one unless there's a good reason to do otherwise.
gsl_ran_gaussian is more accurate and often faster than summing random
numbers because it uses an exact method. Speed will depend on the speed
of the random number generators, whcih depends on the quality. Typically
the better quality random number generators are slower. gsl_ran_gaussian
uses (I think) Box-Müller, which requires on average one call to the
random number generator per gaussian variate. The ziggurat method (on
the GSL web pages), maybe in the latest gsl release is faster than
Box-Müller for any gsl random number generator.
_______________________________________________
Help-gsl mailing list
[email protected]
http://lists.gnu.org/mailman/listinfo/help-gsl
