[jira] [Created] (RNG-151) Modified Ziggurat algorithm for normal and exponential sampling

["Alex Herbert (Jira)" <ji...@apache.org>]

Alex Herbert created RNG-151:
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             Summary: Modified Ziggurat algorithm for normal and exponential sampling
                 Key: RNG-151
                 URL: https://issues.apache.org/jira/browse/RNG-151
             Project: Commons RNG
          Issue Type: Improvement
          Components: sampling
    Affects Versions: 1.3
            Reporter: Alex Herbert


The following paper describes a modification of the ziggurat method for sampling normal and exponential deviates:
{noformat}
McFarland, C.D. (2016)
"A modified ziggurat algorithm for generating exponentially and normally distributed pseudorandom numbers".
Journal of Statistical Computation and Simulation 86, 1281-1294.
{noformat}
[McFarland (2016) JSCS 86, 1281-294|https://www.tandfonline.com/doi/abs/10.1080/00949655.2015.1060234]

Note: This method is the one that has been chosen as the default implementation for the java.util.random.RandomGenerator nextGaussian and nextExponential methods to be added in JDK 17.

The method should be investigated in comparison to the current ziggurat method of Marsaglia used in ZigguratNormalizedGaussianSampler and ZigguratExponentialSampler.

 



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