Algorithm for normal random numbers
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.
Cite
@article{arxiv.cond-mat/9901202,
title = {Algorithm for normal random numbers},
author = {J. F. Fernandez and Carlos Criado},
journal= {arXiv preprint arXiv:cond-mat/9901202},
year = {2009}
}
Comments
5 pages, 3 encapsulated Postscript Figures. Submitted to Phys.Rev.Letters. For related work, see http://pipe.unizar.es/~jff