Algorithm for normal random numbers

Details Algorithm for normal random numbers Algorithm for normal random numbers

1999-01-20

arxiv.org/abs/cond-mat/9901202v1

Phys. Rev. E v60 p3361 (1999)

Physics

Condensed Matter

5 pages, 3 encapsulated Postscript Figures. Submitted to Phys.Rev.Letters. For related work, see http://pipe.unizar.es/~jff

Scientific paper

10.1103/PhysRevE.60.3361

We propose a simple algorithm for generating normally distributed pseudo random numbers. The algorithm simulates N molecules that exchange energy among themselves following a simple stochastic rule. We prove that the system is ergodic, and that a Maxwell like distribution that may be used as a source of normally distributed random deviates follows when N tends to infinity. The algorithm passes various performance tests, including Monte Carlo simulation of a finite 2D Ising model using Wolff's algorithm. It only requires four simple lines of computer code, and is approximately ten times faster than the Box-Muller algorithm.

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