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  1. Commons RNG
  2. RNG-151

Modified Ziggurat algorithm for normal and exponential sampling

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Details

    • Improvement
    • Status: Closed
    • Major
    • Resolution: Implemented
    • 1.3
    • 1.4
    • sampling
    • None

    Description

      The following paper describes a modification of the ziggurat method for sampling normal and exponential deviates:

      McFarland, C.D. (2016)
      "A modified ziggurat algorithm for generating exponentially and normally distributed pseudorandom numbers".
      Journal of Statistical Computation and Simulation 86, 1281-1294.
      

      McFarland (2016) JSCS 86, 1281-294

      Note: This method is the one that has been chosen as the default implementation for the java.util.random.RandomGenerator nextGaussian and nextExponential methods to be added in JDK 17.

      The method should be investigated in comparison to the current ziggurat method of Marsaglia used in ZigguratNormalizedGaussianSampler and ZigguratExponentialSampler.

       

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              Unassigned Unassigned
              aherbert Alex Herbert
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