ZigguratNormalizedGaussianSampler

Marsaglia and Tsang "Ziggurat" method for sampling from a Gaussian distribution with mean 0 and standard deviation 1. The algorithm is explained in this paper and this implementation has been adapted from the C code provided therein.

Based on Commons RNG implementation. See https://commons.apache.org/proper/commons-rng/commons-rng-sampling/apidocs/org/apache/commons/rng/sampling/distribution/ZigguratNormalizedGaussianSampler.html.

Functions

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open override fun sample(generator: RandomGenerator): BlockingDoubleChain

Generates a chain of samples.

Sources

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