標準正規分布に従う乱数を取得する

box_muller.rb

class BoxMuller
    def initialize(seed = Random.new_seed)
        @prng = Random.new(seed)
        @next = nil
    end

    def next
        if @next
            v = @next
            @next = nil
            v
        else
            r = Math::sqrt(-2 * Math::log(@prng.rand))
            theta = 2 * Math::PI * @prng.rand
            @next = r * Math::sin(theta)
            r * Math::cos(theta)
        end
    end

end

# Usage:
# b = BoxMuller.new		# You can give a random seed.
# b.next