normal(clojure.contrib.probabilities.monte-carlo)

Transform a sequence urs of uniform random number in the interval [0, 1) into a sequence of normal random numbers with mean mu and standard deviation sigma.

; clojure/contrib/probabilities/monte_carlo.clj:115
(defn normal
  [mu sigma]
  ; This function implements the Kinderman-Monahan ratio method:
  ;  A.J. Kinderman & J.F. Monahan
  ;  Computer Generation of Random Variables Using the Ratio of Uniform Deviates
  ;  ACM Transactions on Mathematical Software 3(3) 257-260, 1977
  (fn [rs]
    (let [[u1  rs] (stream-next rs)
	  [u2* rs] (stream-next rs)
	  u2 (- 1. u2*)
	  s (const (* 4 (/ (. Math exp (- 0.5)) (. Math sqrt 2.))))
	  z (* s (/ (- u1 0.5) u2))
	  zz (+ (* 0.25 z z) (. Math log u2))]
      (if (> zz 0)
	(recur rs)
	[(+ mu (* sigma z)) rs]))))

Copyright (c) Rich Hickey. All rights reserved.

The use and distribution terms for this software are covered by the Eclipse Public License 1.0, which can be found in the file epl-v10.html at the root of this distribution. By using this software in any fashion, you are agreeing to be bound by the terms of this license. You must not remove this notice, or any other, from this software.