This class can also be used to generate a gaussian normal
distribution from a uniform distribution.
This is especially useful when a gaussian normal distribution
is generated from a low discrepancy uniform distribution:
in this case the traditional Box-Muller approach and its
variants would not preserve the sequence's low-discrepancy.
value for average=0, sigma=1
Compared to operator(), this method avoids 2 floating point
operations (we use average=0 and sigma=1 most of the
time). The speed difference is noticeable.
Inverse cumulative normal distribution function
Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula here ...
It use Acklam's approximation: by Peter J. Acklam, University of Oslo, Statistics Division. URL: http://home.online.no/~pjacklam/notes/invnorm/index.html
This class can also be used to generate a gaussian normal distribution from a uniform distribution. This is especially useful when a gaussian normal distribution is generated from a low discrepancy uniform distribution: in this case the traditional Box-Muller approach and its variants would not preserve the sequence's low-discrepancy.