The Box-Muller algorithm rejects roughly 22.5% of the
generated points. I'm not aware of any bound on the number
of consecutive rejections, other than a statistical one, hence
my statement. I would welcome correction if this is not the case.
Regards
Ian
"Radford Neal" <[EMAIL PROTECTED]> wrote in message
[EMAIL PROTECTED]">news:[EMAIL PROTECTED]...
> >Box-Muller does not work for real time requirements.
>
> This isn't true, of course. A "real time" application is one where
> one must guarantee that an operation takes no more than some
specified
> maximum time. The Box-Muller method for generating normal random
> variates does not involve any operations that could take arbitrary
> amounts of time, and so is suitable for real-time applications.
>
> This assumes that the time needed for Box-Muller is small enough,
> which will surely often be true. If the time allowed is very small,
> then of course one might need to use some other method.
>
> Rejection sampling methods would not be suitable for real-time
> applications, since there is no bound on how many points may be
> rejected before one is accepted, and hence no bound on the time
> required to generate a random normal variate.
>
> Radford Neal
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