Marsaglia Polar Method
The polar method (attributed to George Marsaglia, 1964) is a pseudo-random number sampling method for generating a pair of independent standard normal random variables. While it is superior to the Box–Muller transform, the Ziggurat algorithm is even more efficient.
Standard normal random variables are frequently used in computer science, computational statistics, and in particular, in applications of the Monte Carlo method.
The polar method works by choosing random points (x, y) in the square −1 < x < 1, −1 < y < 1 until
and then returning the required pair of normal random variables as
Read more about Marsaglia Polar Method: Theoretical Basis, History, Practical Considerations, Implementation
Famous quotes containing the words polar and/or method:
“In time your relatives will come to accept the idea that a career is as important to you as your family. Of course, in time the polar ice cap will melt.”
—Barbara Dale (b. 1940)
“The good husband finds method as efficient in the packing of fire-wood in a shed, or in the harvesting of fruits in the cellar, as in Peninsular campaigns or the files of the Department of State.”
—Ralph Waldo Emerson (1803–1882)