Numerical Methods II - People
https://people.maths.ox.ac.uk/gilesm/mc/mc/lec1.pdfThe Box-Muller method takes y1,y2, two independent uniformly distributed random variables on (0,1) and defines x1 = p −2log(y1) cos(2πy2) x2 = p −2log(y1) sin(2πy2) It can be proved that x1 and x2 are N(0,1) random variables, and independent. A log, cos and sin operation per 2 Normals makes this a slightly expensive method. MC Lecture 1 ...
Program for Muller Method - GeeksforGeeks
www.geeksforgeeks.org › program-muller-methodApr 26, 2021 · Muller Method is a root-finding algorithm for finding the root of a equation of the form, f(x)=0. It was discovered by David E. Muller in 1956. It begins with three initial assumptions of the root, and then constructing a parabola through these three points, and takes the intersection of the x-axis with the parabola to be the next approximation.