Marsaglia Polar Method - History

History

This idea dates back to Laplace, whom Gauss credits with finding the above

by taking the square root of

I^2 = \int_{-\infty}^\infty\int_{-\infty}^\infty e^{-(x^2+y^2)/2}\,dx\,dy =\int_0^{2\pi}\int_0^\infty re^{-r^2/2} \, dr \, d\theta.

The transformation to polar coordinates makes evident that θ is uniformly distributed (constant density) from 0 to 2π, and that the radial distance r has density

(Note that r2 has the appropriate chi square distribution.)

This method of producing a pair of independent standard normal variates by radially projecting a random point on the unit circumference to a distance given by the square root of a chi-square-2 variate is called the polar method for generating a pair of normal random variables,

Read more about this topic:  Marsaglia Polar Method

Famous quotes containing the word history:

    “A country grows in history not only because of the heroism of its troops on the field of battle, it grows also when it turns to justice and to right for the conservation of its interests.”
    —Aristide Briand (1862–1932)

    “There is no example in history of a revolutionary movement involving such gigantic masses being so bloodless.”
    —Leon Trotsky (1879–1940)

    “No event in American history is more misunderstood than the Vietnam War. It was misreported then, and it is misremembered now.”
    —Richard M. Nixon (b. 1913)