com.numericalmethod.suanshu.stats.random.univariate.normal

Class MarsagliaBray1964

java.lang.Object

com.numericalmethod.suanshu.stats.random.univariate.normal.MarsagliaBray1964

All Implemented Interfaces:

RandomStandardNormalNumberGenerator, RandomNumberGenerator, java.io.Serializable

public class MarsagliaBray1964
extends java.lang.Object
implements RandomStandardNormalNumberGenerator

The polar method (attributed to George Marsaglia, 1964) is a pseudo-random number sampling method for generating a pair of independent standard normal random variables. This is an acceptance-rejection method so there is no upper-bound on the number of uniforms it may use to generate a sample. Hence, this method is not applicable to quasi-Monte Carlo simulation.

See Also:

• Wikipedia: Marsaglia polar method
• "G. Marsaglia, and T. A. Bray, "A convenient method for generating normal variates," SIAM Review 6:260-264, 1964."

, Serialized Form

Constructor Summary

Constructors

Constructor and Description
MarsagliaBray1964() Construct a random number generator to sample from the standard Normal distribution.
MarsagliaBray1964(RandomLongGenerator uniform) Construct a random number generator to sample from the standard Normal distribution.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

MarsagliaBray1964

public MarsagliaBray1964(RandomLongGenerator uniform)

Construct a random number generator to sample from the standard Normal distribution.

Parameters:

uniform - a uniform random number generator

MarsagliaBray1964

public MarsagliaBray1964()

Construct a random number generator to sample from the standard Normal distribution.

Method Detail

seed

public void seed(long... seeds)

Description copied from interface: RandomNumberGenerator

Seed the random number generator to produce repeatable sequences.

Specified by:

seed in interface RandomNumberGenerator

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