Rectangles algorithm for generating normal variates

Rectangles algorithm for generating normal variates

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Article ID: iaor201261
Volume: 59
Issue: 1
Start Page Number: 52
End Page Number: 57
Publication Date: Feb 2012
Journal: Naval Research Logistics (NRL)
Authors: ,
Keywords: heuristics
Abstract:

We propose an algorithm for generating normal random variates that is based on the acceptance–rejection method and uses a piecewise majorizing function. The piecewise function has 2048 equal-area pieces, 2046 of which are constant, and the two extreme pieces are curves that majorize the tails. The proposed algorithm has not only good performance from correlation induction perspective, but also works well from a speed perspective. It is faster than the inversion method by Odeh and Evans and most other methods.

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