Posted by
Luigi Ballabio on
Jun 03, 2010; 3:08pm
URL: http://quantlib.414.s1.nabble.com/Normal-Random-Generator-tp8012p8015.html
On Tue, 2010-06-01 at 21:59 +0000, Seb Venus wrote:
> There are a lot of different generators, but an obvious candidate is
> the Ziggurat method, which has become a standard method in the Matlab
> library.
>
http://www.mathworks.com/company/newsletters/news_notes/clevescorner/spring01_cleve.html>
> It is far faster than many other pseudo generators. I have some code
> that I could provide if it would be useful.
Sure, thanks. From the paper, it seems nice. I still have to figure
out if---being a rejection technique---it plays well with
low-discrepancy sequences. But in any case, it will be useful to have
it in the toolkit.
Luigi
--
Dealing with failure is easy: work hard to improve. Success is also
easy to handle: you've solved the wrong problem. Work hard to improve.
-- Alan Perlis
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