draw a random number from Gaussian N(0,1)

diff --git a/kmath.c b/kmath.c
index 9807b00ee5fee69a3903c734b87bddd2af9039f8..1a90044e942c49c00a6133957efc4b570237d056 100644 (file)
--- a/kmath.c
+++ b/kmath.c
@@ -22,7 +22,8 @@
 #define KR_LM 0x7FFFFFFFULL /* Least significant 31 bits */
 
 struct _krand_t {
-       int mti;
+       int mti, n_iset;
+       double n_gset;
        krint64_t mt[KR_NN];
 };
 
@@ -36,7 +37,7 @@ static void kr_srand0(krint64_t seed, krand_t *kr)
 krand_t *kr_srand(krint64_t seed)
 {
        krand_t *kr;
-       kr = malloc(sizeof(krand_t));
+       kr = (krand_t*)calloc(1, sizeof(krand_t));
        kr_srand0(seed, kr);
        return kr;
 }
@@ -68,6 +69,25 @@ krint64_t kr_rand(krand_t *kr)
     return x;
 }
 
+double kr_normal(krand_t *kr)
+{ 
+       if (kr->n_iset == 0) {
+               double fac, rsq, v1, v2; 
+               do { 
+                       v1 = 2.0 * kr_drand(kr) - 1.0;
+                       v2 = 2.0 * kr_drand(kr) - 1.0; 
+                       rsq = v1 * v1 + v2 * v2;
+               } while (rsq >= 1.0 || rsq == 0.0);
+               fac = sqrt(-2.0 * log(rsq) / rsq); 
+               kr->n_gset = v1 * fac; 
+               kr->n_iset = 1;
+               return v2 * fac;
+       } else {
+               kr->n_iset = 0;
+               return kr->n_gset;
+       }
+}
+
 #ifdef _KR_MAIN
 int main(int argc, char *argv[])
 {

diff --git a/kmath.h b/kmath.h
index 2c3e77969ab03eb9e4a2543fd35402cda03872ba..c5f7933bb6234c0a6540d63f2630ef84ab7655aa 100644 (file)
--- a/kmath.h
+++ b/kmath.h
@@ -21,6 +21,7 @@ extern "C" {
 
        krand_t *kr_srand(krint64_t seed);
        krint64_t kr_rand(krand_t *kr);
+       double kr_normal(krand_t *kr);
 
        /**************************
         * Non-linear programming *