/** * @license Apache-2.0 * * Copyright (c) 2018 The Stdlib Authors. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ 'use strict'; // MODULES // var factory = require( './factory.js' ); // MAIN // /** * Generates a standard normally distributed random number. * * ## Method * * - Given two independent uniformly distributed random variables \\( U_1 \\) and \\( U_2 \\) in the interval \\( [0,1) \\), let * * ``` tex * \begin{align*} * Z_1 &= R \cos(\theta) = \sqrt{-2 \ln(U_1)} \cos(2\pi U_2) \\ * Z_2 &= R \sin(\theta) = \sqrt{-2 \ln(U_1)} \sin(2\pi U_2) * \end{align*} * ``` * * where \\( Z_1 \\) and \\( Z_2 \\) are independent random variables with a standard normal distribution. * * - As two uniform random variates are mapped to two standard normal random variates, one of the random variates is cached and returned upon the following invocation. * * * ## Notes * * - The minimum and maximum pseudorandom numbers which can be generated are dependent on the number of bits an underlying uniform pseudorandom number generator (PRNG) uses. For instance, if a PRNG uses \\( 32 \\) bits, the smallest non-zero number that can be generated is \\( 2^{-32}). When \\( U_1 \\) equals this value and \\( U_2 \\) equals \\( 0 \\), * * ``` tex * r = \sqrt{-2\ln(2^{-32})} \cos(2\pi) \approx 6.66 * ``` * * which means that the algorithm cannot produce random variates more than \\( 6.66 \\) standard deviations from the mean. * * * * This corresponds to a \\( 2.74 \times 10^{-11} \\) loss due to tail truncation. * * * * * ## References * * - Box, G. E. P., and Mervin E. Muller. 1958. "A Note on the Generation of Random Normal Deviates." _The Annals of Mathematical Statistics_ 29 (2). The Institute of Mathematical Statistics: 610–11. doi:[10.1214/aoms/1177706645](http://dx.doi.org/10.1214/aoms/1177706645). * - Bell, James R. 1968. "Algorithm 334: Normal Random Deviates." _Communications of the ACM_ 11 (7). New York, NY, USA: ACM: 498. doi:[10.1145/363397.363547](http://dx.doi.org/10.1145/363397.363547). * - Knop, R. 1969. "Remark on Algorithm 334 \[G5]: Normal Random Deviates." _Communications of the ACM_ 12 (5). New York, NY, USA: ACM: 281. doi:[10.1145/362946.362996](http://dx.doi.org/10.1145/362946.362996). * - Marsaglia, G., and T. A. Bray. 1964. "A Convenient Method for Generating Normal Variables." _SIAM Review_ 6 (3). Society for Industrial; Applied Mathematics: 260–64. doi:[10.1137/1006063](http://dx.doi.org/10.1137/1006063). * - Thomas, David B., Wayne Luk, Philip H.W. Leong, and John D. Villasenor. 2007. "Gaussian Random Number Generators." _ACM Computing Surveys_ 39 (4). New York, NY, USA: ACM. doi:[10.1145/1287620.1287622](http://dx.doi.org/10.1145/1287620.1287622). * * * @name randn * @type {PRNG} * @returns {number} pseudorandom number * * @example * var r = randn(); * // returns */ var randn = factory(); // EXPORTS // module.exports = randn;