Returns pseudo-random numbers from a Gaussian distribution

This is
a simple random-number generator providing deviates in the from a Gaussian distribution, with a period of
2$\ast $$\ast $26,
and to 6 or 7 digits accuracy. It is based upon Ahrens, Dieter & Grube

`’`

s TOMS599 routines. RESULT = PDA_RNNOR( MEAN, SIGMA )

The mean
value of the Gaussian distribution.

The standard deviation of the Gaussian
distribution.

The pseudo-random deviate.

The initial seed MUST be set using routine PDA_RNSED (equivalent to NAG

`’`

s
G05CBF). If it has not, there is no guarantee that sensible values will be returned from this
function. Ahrens, J.H., & Dieter, U. 1973,

`"`

Extensions of Forsythe`’`

s Method for
Random Sampling from the Normal distribution`"`

, Math. Computing, 27(124), pp.927–937.