随机高斯变量 [英] Random Gaussian Variables

问题描述

有一类在.NET的标准库，让我的功能来创建符合高斯分布的随机变量？

Is there a class in the standard library of .NET that gives me the functionality to create random variables that follow Gaussian distribution?

推荐答案

用箱穆勒变换贾勒特的建议是很好的一个快速和肮脏的解决方案。一个简单的实现：

Jarrett's suggestion of using a Box-Muller transform is good for a quick-and-dirty solution. A simple implementation:

Random rand = new Random(); //reuse this if you are generating many
double u1 = rand.NextDouble(); //these are uniform(0,1) random doubles
double u2 = rand.NextDouble();
double randStdNormal = Math.Sqrt(-2.0 * Math.Log(u1)) *
             Math.Sin(2.0 * Math.PI * u2); //random normal(0,1)
double randNormal =
             mean + stdDev * randStdNormal; //random normal(mean,stdDev^2)

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