Generating Gaussian Random Numbers, Taygeta Scientific Inc.

From the page: “This note is about the topic of generating Gaussian pseudo-random numbers given a source of uniform pseudo-random numbers. This topic comes up more frequently than I would have expected, so I decided to write this up on one of the best ways to do this. At the end of this note there is a list of references in the literature that are relevant to this topic. You can see some code examples that implement the technique, and a step-by-step example for generating Weibull distributed random numbers.”

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