Description:
This is
a simple random-number generator providing deviates in the from a Gaussian distribution, with a period of
2∗∗26,
and to 6 or 7 digits accuracy. It is based upon Ahrens, Dieter & Grube’s TOMS599 routines.
Invocation
RESULT = PDA_RNNOR( MEAN, SIGMA )
Arguments
MEAN = REAL (Given)
The mean
value of the Gaussian distribution.
SIGMA = REAL (Given)
The standard deviation of the Gaussian
distribution.
Returned Value
PDA_RNNOR = REAL
The pseudo-random deviate.
Prior
Requirements
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.
References
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.