Results 1 to 2 of 2

Thread: Generating Gaussian Variables

  1. #1 Generating Gaussian Variables 
    Forum Freshman
    Join Date
    Aug 2013
    Hello, I need some help with an assignment. I have very minimal programming experience, and I'm lost on an assignment for one of my math classes. I need to generate sample paths of Brownian Motion. I'll be using a recursive formula based on Gaussian variables x1 ,x2, ..., xn. Now, can someone tell me how to generate, or direct me to a reference for generating Gaussian variables? Additionally, any discussion on whether or not its possible in Excel, and if so how to, convert uniform random variables to Gaussian variables would be very helpful!

    Reply With Quote  


  3. #2  
    Forum Professor
    Join Date
    Jul 2008
    New York State
    I will give you an algorithm, which I am getting from memory, but it may be completely wrong, so verify it.

    The basic idea is to generate standard Gaussian variables in pairs - the two variables will be independent.

    The density function is exp(-(x+y)/2)/2π. Convert to polar coordinates and the density function is exp(-r/2)r/2π.

    With a little manipulation, r=√(-2lnA) and θ = 2πB, where A and B are random variables, uniform between 0 and 1.

    Finally X = rcosθ and Y = rsinθ are independent standard Gaussian variables.

    Reply With Quote  

Similar Threads

  1. Limit of Gaussian function.
    By epidecus in forum Mathematics
    Replies: 5
    Last Post: December 7th, 2012, 01:24 AM
  2. Gaussian*x^n Integration
    By Golkarian in forum Mathematics
    Replies: 3
    Last Post: October 10th, 2011, 07:44 PM
  3. Gaussian Integration.
    By sox in forum Mathematics
    Replies: 10
    Last Post: November 19th, 2010, 01:25 PM
  4. Gaussian integrals in QFT
    By DrRocket in forum Mathematics
    Replies: 5
    Last Post: July 9th, 2009, 02:18 PM
  5. Need help, generating electricity.
    By Averagejoescientist in forum Physics
    Replies: 4
    Last Post: June 17th, 2008, 07:06 PM
Tags for this Thread

View Tag Cloud

Posting Permissions
  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts