Gaussian (VSL_RNG_METHOD_GAUSSIAN_ICDF)
Random number generator of normal (Gaussian) distribution with parameters
a
and
s
. You can obtain any successive random number
x
of the standard normal distribution by the inverse transformation method from the following formula:
where
.
u
is a random number uniformly distributed over the interval (-1, 1), and
erf
-1
(u
) is inverse to the error function
.
The normal distribution with parameters
a
and
s
is transformed to the random number
y
by scaling and the shift
y = sx+a
.See
Intel® oneAPI Math Kernel Library Vector Statistics Random Number Generator Performance Data for test results summary.