Package dev.nm.stat.random.rng.univariate.normal

Class Ziggurat2000

java.lang.Object

dev.nm.stat.random.rng.univariate.normal.Ziggurat2000

All Implemented Interfaces:

RandomStandardNormalGenerator, RandomNumberGenerator, Seedable

public class Ziggurat2000
extends Object
implements RandomStandardNormalGenerator

The Ziggurat algorithm is an algorithm for pseudo-random number sampling from the Normal distribution. This is considerably faster than the two more commonly used methods to generate normally distributed random numbers, the Marsaglia polar method or the Box-Muller transform, which require at least a logarithm and a square root. Empirically, however, the Marsaglia polar method and the BoxMuller transform seem to have better distributional properties. There are implementation problems in the original uniform random number generator proposed in the paper. To improve the quality, we use MWC8222 for the uniform random number generation.

See Also:

• • "George Marsaglia, Wai Wan Tsang, "The Ziggurat Method for Generating Random Variables," Journal of Statistical Software 5 (8), 2000"
  • Wikipedia: Ziggurat algorithm
  • a C implementation of the Ziggurat algorithm
  • another C implementation of the Ziggurat algorithm
  • Boaz Nadler. "Design Flaws in the Implementation of the Ziggurat and Monty Python methods (and some remarks on Matlab randn)," The Journal of Business. arXiv:math/0603058v1. 2 March 2006.

Constructor Summary

Constructors

Constructor	Description
Ziggurat2000()	Construct a Ziggurat random normal generator.
Ziggurat2000(RandomLongGenerator uniform)	Construct a Ziggurat random normal generator.

Method Summary

Modifier and Type	Method	Description
double	nextDouble()	Get the next random double.
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

Ziggurat2000

public Ziggurat2000(RandomLongGenerator uniform)

Construct a Ziggurat random normal generator.

Parameters:

uniform - a uniform random number generator

Ziggurat2000

public Ziggurat2000()

Construct a Ziggurat random normal generator.

Method Details

seed

public void seed(long... seeds)

Description copied from interface: Seedable

Seed the random number/vector/scenario generator to produce repeatable experiments.

Specified by:

seed in interface Seedable

Parameters:

seeds - the seeds

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator

Get the next random double.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number