/** * @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 * * The basic Ziggurat method works as follows: * * * ```tex * x_{C-1}(r) \left[ f(0) - f\left( x_{C-1}(r) \right) \right] - V(r) = 0 * ``` * * where * * ```tex * V(r) = r \; f(r) + \int_r^\infty \; f(x) \; dx * ``` * * and \\( r \\) denotes the right-most \\( x_1 \\). * * - We then use the following rejection algorithm: * * - Draw a box \\( B_i \\) at random with probability \\( \tfrac{1}{C} \\). * - Draw a random number from the box as \\( z = U_0 x_i \\) for \\( i > 0 \\) and \\( z = U_0 V / f(x_1) \\). * - If \\( z < x_{i+1} \\), accept \\( z \\). * - If \\( i = 0 \\), accept a \\( v \\) by transforming the tail of the normal distribution to the unit interval and then use rejection technique by Marsaglia, G. (1964) to generate a standard normal variable. Otherwise, if \\( i > 0 \\) and \\( U_1 \left[ f(x_i) - f(x_{i+1})\right] < f(z) - f(x_{i+1}) \\) accept \\( z \\). * - Go back to the first step. * * - The improved version by Doornik (2005) changes step four in order to correct a deficiency of the original Ziggurat algorithm. The updated version requires the generation of two random numbers, a uniform variable drawn from \\( U(-1,1) \\) and the last seven bits of a random integer. * * ## References * * - Doornik, Jurgen A. 2005. "An Improved Ziggurat Method to Generate Normal Random Samples." . * - Marsaglia, George, and Wai Wan Tsang. 2000. "The Ziggurat Method for Generating Random Variables." _Journal of Statistical Software_ 5 (1): 1–7. doi:[10.18637/jss.v005.i08](http://dx.doi.org/10.18637/jss.v005.i08). * - Marsaglia, George. 1964. "Generating a Variable from the Tail of the Normal Distribution." _Technometrics_ 6 (1): 101–2. doi:[10.1080/00401706.1964.10490150](http://dx.doi.org/10.1080/00401706.1964.10490150). * * * @name randn * @type {PRNG} * @returns {number} pseudorandom number * * @example * var r = randn(); * // returns */ var randn = factory(); // EXPORTS // module.exports = randn;