從高斯分佈中抽取隨機值的最快方法是什麼？

Box-Muller transform是從高斯分佈中採樣隨機值的優雅且合理的高性能方法。從高斯分佈中抽取隨機值的最快方法是什麼？

我正在尋找一種清晰寫入並以C＃編寫的更快速的方法。

僅供參考這裏的箱穆勒執行充當性能比較基準的實現......

public class GaussianGenerator 
{ 
    FastRandom _rng = new FastRandom(); 
    double? _spareValue = null; 

    /// <summary> 
    /// Get the next sample point from the gaussian distribution. 
    /// </summary> 
    public double NextDouble() 
    { 
     if(null != _spareValue) 
     { 
      double tmp = _spareValue.Value; 
      _spareValue = null; 
      return tmp; 
     } 

     // Generate two new gaussian values. 
     double x, y, sqr; 

     // We need a non-zero random point inside the unit circle. 
     do 
     { 
      x = 2.0 * _rng.NextDouble() - 1.0; 
      y = 2.0 * _rng.NextDouble() - 1.0; 
      sqr = x * x + y * y; 
     } 
     while(sqr > 1.0 || sqr == 0); 

     // Make the Box-Muller transformation. 
     double fac = Math.Sqrt(-2.0 * Math.Log(sqr)/sqr); 

     _spareValue = x * fac; 
     return y * fac; 
    } 

    /// <summary> 
    /// Get the next sample point from the gaussian distribution. 
    /// </summary> 
    public double NextDouble(double mu, double sigma) 
    { 
     return mu + (NextDouble() * sigma); 
    } 
}

來源

2011-08-24 redcalx

您有問題嗎？ –

您是否在C＃中使用了Ziggurat算法？ – redcalx

你想要速度和優雅？實行制服比例！ Ziggurat在我看來是醜陋而難以調整的。 –