How To Sample Random Numbers

  • Thread starter Watts
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  • #1
Watts
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I had a Monte Carlo class many moons ago. I was wondering if some one could jog my memory on how to sample random numbers from a normal distribution. I could do it but the normal distributions CDF is a non elementary integral. I can't get past that part.
 

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  • #2
EnumaElish
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Let U1 and U2 be two independent uniforrm random variables over the unit square. Then two independent standard normal random variables can be generated as [itex]N_1 = \sqrt{-2 \log (U_1)} \sin (2\pi U_2)[/itex] and [itex]N_2 = \sqrt{-2 \log (U_1)} \cos (2\pi U_2)[/itex].

P.S. Any software with an intrinsic normal distribution function will also do the trick.
 
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  • #3
Watts
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Explain

Explain intrinsic normal distribution function(the intrinsic part).
 
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  • #4
lurflurf
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Watts said:
I had a Monte Carlo class many moons ago. I was wondering if some one could jog my memory on how to sample random numbers from a normal distribution. I could do it but the normal distributions CDF is a non elementary integral. I can't get past that part.
The obvious method would be to generate uniform ramdon numbers on [0,1] then invert the normal CDF, but that is not computationally practical. What is often done is using the law of large numbers. The average of a large number of nonpathological random variables will be normal. Uniform randoms on [0,1] work well and are often the basis for other distributions. Also as was mentioned one could use a program/library that includes a random normal generator.
 
  • #5
HallsofIvy
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Watts said:
Explain intrinsic normal distribution function(the intrinsic part).

"Intrinsic" here just means that the software has a built in function that will calculate the normal distribution for you.
 

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