Gumbel (VSL_RNG_METHOD_GUMBEL_ICDF)
Random number generator of the Gumbel distribution with parameters
a
and
β
. You can generate any successive random number
x
of the Gumbel distribution by the inverse transformation method from the formula
where
y
is a successive random number of an exponential distribution with the parameters
a =
0 and
β =
0.
The random numbers of the exponential distribution are generated using method
VSL_RNG_METHOD_EXPONENTIAL_ICDF.
See
Intel® oneAPI Math Kernel Library Vector Statistics Random Number Generator Performance Data for test results summary.