Random Gaussian Variables


Question

Is there a class in the standard library of .NET that gives me the functionality to create random variables that follow Gaussian distribution?

1
106
4/11/2015 11:59:56 PM

Accepted Answer

Jarrett's suggestion of using a Box-Muller transform is good for a quick-and-dirty solution. A simple implementation:

Random rand = new Random(); //reuse this if you are generating many
double u1 = 1.0-rand.NextDouble(); //uniform(0,1] random doubles
double u2 = 1.0-rand.NextDouble();
double randStdNormal = Math.Sqrt(-2.0 * Math.Log(u1)) *
             Math.Sin(2.0 * Math.PI * u2); //random normal(0,1)
double randNormal =
             mean + stdDev * randStdNormal; //random normal(mean,stdDev^2)
164
1/30/2017 2:58:59 PM

This question appears to have moved on top of Google for .NET Gaussian generation, so I figured I'd post an answer.

I've made some extension methods for the .NET Random class, including an implementation of the Box-Muller transform. Since they're extensions, so long as the project is included (or you reference the compiled DLL), you can still do

var r = new Random();
var x = r.NextGaussian();

Hope nobody minds the shameless plug.

Sample histogram of results (a demo app for drawing this is included):

enter image description here


Licensed under: CC-BY-SA with attribution
Not affiliated with: Stack Overflow
Icon