SRI Authors: Charles Karney
C. Karney, “Sampling Exactly from the Normal Distribution,” ACM Transactions on Mathematical Software 42(1), 3:1-14 (2016)
An algorithm for sampling exactly from the normal distribution is given. The algorithm reads some number of uniformly distributed random digits in a given base and generates an initial portion of the representation of a normal deviate in the same base. Thereafter, uniform random digits are copied directly into the representation of the normal deviate. Thus, in contrast to existing methods, it is possible to generate normal deviates exactly rounded to any precision with a mean cost that scales linearly in the precision. The method performs no extended precision arithmetic, calls no transcendental functions, and uses no floating point arithmetic whatsoever; it uses only simple integer operations. It can easily be adapted to sample exactly from the discrete normal distribution whose parameters are rational numbers.