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Algorithm for normal random numbers

J. F. Fernandez·Carlos Criado
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Abstract

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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J. F. Fernandez, Carlos Criado. 1999-01-20. Algorithm for normal random numbers. https://doi.org/10.1103/physreve.60.3361

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