Ziggurat algorithm

The ziggurat algorithm is an algorithm which generates normally-distributed pseudo-random numbers. The algorithm is considerably faster than the more commonly used Box-Muller transform, since the latter must discard on average more than 20% of the values it generated and calculate logaritms. The ziggurat algorithm on the other hand can generate normally-distributed random numbers as fast as uniformly-distributed ones.

The ziggurat algorithm is named after ziggurats because the basis of the algorithm is a step function which resembles a ziggurat.

See also

• Box-Muller transform

References

• Ziggurat algorithm generates normally distributed random numbers