George Forsythe's last paper

Details George Forsythe's last paper George Forsythe's last paper

2010-05-06

arxiv.org/abs/1005.0909v2

Computer Science

Numerical Analysis

10 pages. Text of an invited talk presented at the Stanford 50 Conference celebrating the 50th anniversary of George Forsythe'

Scientific paper

We describe von Neumann's elegant idea for sampling from the exponential distribution, Forsythe's generalization for sampling from a probability distribution whose density has the form exp(-G(x)), where G(x) is easy to compute (e.g. a polynomial), and my refinement of these ideas to give an efficient algorithm for generating pseudo-random numbers with a normal distribution. Later developments are also mentioned.

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