Add random variable.

1 files changed, 17 insertions, 0 deletions

diff --git a/random/src/normal.c b/random/src/normal.c
new file mode 100644
index 0000000..d4bcac1
--- /dev/null
+++ b/random/src/normal.c
@@ -0,0 +1,17 @@
+#include <random/normal.h>
+
+#include <math.h>
+
+// Generate two samples in the standard normal distribution using the
+// Box-Muller transform.
+// https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
+void normal2(double u, double v, double* z0, double* z1) {
+  const double r = sqrt(-2 * log(u));
+  const double x = 2 * M_PI * v;
+  *z0 = r * cos(x);
+  *z1 = r * sin(x);
+}
+
+double normal_transform(double z, double mu, double sigma) {
+  return z*sigma + mu;
+}