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Rectangles algorithm for generating normal variates

Authors

  • Rui Zhang,

    1. Department of Decision and Information Technologies, The Robert H. Smith School of Business, University of Maryland, College Park, Maryland 20742–1815
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  • Lawrence M. Leemis

    Corresponding author
    1. Department of Mathematics, The College of William & Mary, Williamsburg, Virginia 23187–8795
    • Department of Mathematics, The College of William & Mary, Williamsburg, Virginia 23187–8795
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Abstract

We propose an algorithm for generating normal random variates that is based on the acceptance–rejection method and uses a piecewise majorizing function. The piecewise function has 2048 equal-area pieces, 2046 of which are constant, and the two extreme pieces are curves that majorize the tails. The proposed algorithm has not only good performance from correlation induction perspective, but also works well from a speed perspective. It is faster than the inversion method by Odeh and Evans and most other methods. © 2011 Wiley Periodicals, Inc. Naval Research Logistics, 2011

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