random_normal.js

/**
 * Returns a normally distributed random variable.
 *
 * Adapted from http://blog.yjl.im/2010/09/simulating-normal-random-variable-using.html
 * To the extent I have the ability to do so, this code is released into the public domain.
 */
function random_normal(mean, variance) {
    if (typeof mean === 'undefined') {
        mean = 0.0;
    }
    if (typeof variance === 'undefined') {
        variance = 1.0;
    }

    var V1, V2, S = 2;
    while (S > 1) {
        var U1 = Math.random();
        var U2 = Math.random();
        V1 = 2 * U1 - 1;
        V2 = 2 * U2 - 1;
        S = V1 * V1 + V2 * V2;
    }

    var X = Math.sqrt(-2 * Math.log(S) / S) * V1;
    X = mean + Math.sqrt(variance) * X;
    return X;
}