gaussrand.txt

生成标准正态分布的随机数

标准正态分布随机数生成函数
生成标准正态分布的随机数，也可由此随机数生成其他的随机数，数对数正态分布随机数。
Public Function gaussrand() As Double
    Static GUUSSRANDV1, GUUSSRANDV2, GUUSSRANDS As Double
    Static GUUSSRANDphase As Integer
    GUUSSRANDphase = 0
    Dim GUUSSRANDx, GUUSSRANDU1, GUUSSRANDU2 As Double
    If GUUSSRANDphase = 0 Then
        Do
            GUUSSRANDU1 = Rnd()
            GUUSSRANDU2 = Rnd()
            GUUSSRANDV1 = 2 * GUUSSRANDU1 - 1
            GUUSSRANDV2 = 2 * GUUSSRANDU2 - 1
            GUUSSRANDS = GUUSSRANDV1 ^ 2 + GUUSSRANDV2 ^ 2
        Loop While GUUSSRANDS >= 1# Or GUUSSRANDS = 0#
        GUUSSRANDx = GUUSSRANDV1 * Sqr(-2 * Log(GUUSSRANDS) / GUUSSRANDS)
    Else
        GUUSSRANDx = GUUSSRANDV2 * Sqr(-2 * Log(GUUSSRANDS) / GUUSSRANDS)
        GUUSSRANDphase = 1 - GUUSSRANDphase
    End If
    gaussrand = GUUSSRANDx
End Function



C++原码
'//标准正态分布（Marsaglia & Knuth)
'double gaussrand()
'{
'    static double V1, V2, S;
'    static int phase = 0;
'    double X;
'    if(phase == 0)
'    {
'        Do
'        {
'            double U1 = (double)rand() / RAND_MAX;
'            double U2 = (double)rand() / RAND_MAX;
'            V1 = 2 * U1 - 1;
'            V2 = 2 * U2 - 1;
'            S = V1 * V1 + V2 * V2;
'        } while(S  >= 1  | | S == 0);
'        X = V1 * sqrt(-2 * log(S) / S);
'    } else
'    X = V2 * sqrt(-2 * log(S) / S);
'    phase = 1 - phase;
'    return X;
'}