Box-Muller算法
当x和y是两个独立且服从(0,1)均匀分布的随机变量时,有:
Z1 = cos(2\pi x)*\sqrt{-2ln(1-y))} Z2 = sin(2\pi x)*\sqrt{-2ln(1-y))} Z1和Z2独立且服从标准正态分布,当带入均值和方差时:
Z = Z1(Z2)*\sigma +\mu
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