rng Namespace Reference

Random number generation. More...

Classes
struct	basic_rng_t
	Random number generator wrapper around an rng engine. More...
struct	rng_t
struct	xorshift1024_t
	XORSHIFT-1024 Random Number Generator. More...
struct	xorshift128_t
	RNG Engines. More...
struct	xoshiro256plus_t
	xoshiro256+ Random Number Generator More...

Functions
double	stdnormal_cdf (double u)
	The standard normal CDF, for one random variable. More...
double	stdnormal_inv (double p)
	The inverse standard normal distribution. More...

Detailed Description

Random number generation.

Function Documentation

stdnormal_cdf()

double rng::stdnormal_cdf

(

double

u

)

The standard normal CDF, for one random variable.

Author: W. J. Cody URL: http://www.netlib.org/specfun/erf Source: http://home.online.no/~pjacklam/notes/invnorm/

This is the erfc() routine only, adapted by the transform stdnormal_cdf(u)=(erfc(-u/sqrt(2))/2;

stdnormal_inv()

double rng::stdnormal_inv

(

double

p

)

The inverse standard normal distribution.

This is used to get the normal distribution inverse for our user-specifiable confidence levels. For example for the default 95% confidence level, this function will return the well known number of 1.96, so we know that 95% of the distribution is between -1.96 and +1.96 std deviations from the mean.

Author: Peter John Acklam pjack.nosp@m.lam@.nosp@m.onlin.nosp@m.e.no URL: http://home.online.no/~pjacklam Source: http://home.online.no/~pjacklam/notes/invnorm/

This function is based on the MATLAB code from the address above, translated to C, and adapted for our purposes.