Gaussian Random Variable generation C code

가우시안 r.v. 생성하는 C 코드

 

#define A 16807.0

#define M 2147483647.0

static double r_seed = 1.0;

double rnd() // uniform random variable (1,0)

{

r_seed=fmod(A*r_seed,M);

return (r_seed*4.656612875e-10);

}

/* Gaussian random variable woth mean a and standard deviation d  */

double gaussian(double a,double d)

{

static double t=0.0;

double x,v1,v2,r;

if (t==0.0) {

do{

v1=2.0*rnd()-1.0;

v2=2.0*rnd()-1.0;

r=v1*v1+v2*v2;

}

while (r>=1.0);

r=sqrt((-2.0*log(r))/r);

t=v2*r;

return (a+v1*r*d);

}

else {

x=t;

t=0.0;

return (a+x*d);

}

}