public static double Sample(LocalRandom random, double mean, double standardDeviation)
{
const double epsilon = Double.Epsilon;
// note: could get two for the price of one if not static
//generate = !generate;
//if (!generate)
// return z1 * Parameter + Mean;
double u1, u2;
do
{
u1 = random.NextDouble();
u2 = random.NextDouble();
}while (u1 <= epsilon);
var z0 = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Cos(2 * Math.PI * u2);
// var z1 = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2*Math.PI * u2);
return(z0 * standardDeviation + mean);
}
public static double Sample(LocalRandom random, double mean = 0, double parameter = 1)
{
var u = random.NextDouble() - 0.5;
return(mean - parameter * Math.Sign(u) * Math.Log(1 - 2 * Math.Abs(u)));
}