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Re: Normal Random Generator

Posted by Seb Venus on Jun 03, 2010; 7:11pm
URL: http://quantlib.414.s1.nabble.com/Normal-Random-Generator-tp8012p8018.html

Note that the algorithm in boxmullergaussianrng.hpp is not an implementation of Box-Muller; it is actually the Marsaglia Polar method.
The Polar is also a rejection-based sampling method.
I am going to paste the Ziggurat code once I have finished testing it (very soon).

> Subject: Re: [Quantlib-users] Normal Random Generator
> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]; [hidden email]
> Date: Thu, 3 Jun 2010 17:35:14 +0200
>
> On Thu, 2010-06-03 at 17:18 +0200, Ferdinando Ametrano wrote:
> > if you don't use _all_ variates in the exact order they are generated
> > by the low-discrepancy uniform RNG then you're scrambling the
> > low-discrepancy property.
> > As such a rejection technique doesn't play well with low-discrepancy sequences
>
> Yes, I though as much.
>
> Thanks,
> Luigi
>
> --
>
> Cogito ergo I'm right and you're wrong.
> -- Blair Houghton
>
>


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