Box–Muller
 
 
Let U1 and U2 be independent samples chosen from the uniform distribution on the unit interval (0,1). Let Z0 = R cosΘ = sqrt(-2 ln U1) cos(2πU2) and Z1 = R sinΘ = sqrt(-2 ln U1) sin(2πU2). Then Z0 and Z1 are independent random variables with a standard normal distribution.
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IXΛ 28 Feb 2018 @ 1:03am 
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