Code to generate Gaussian (normally distributed) random numbers in Ruby

Question

What is some code to generate normally distributed random numbers in ruby?

(Note: I answered my own question, but I\'ll wait a few days before accepting to see if anyone

Answer 1

+1 on @antonakos's answer. Here's the implementation of Box-Muller that I've been using; it's essentially identical but slightly tighter code:

class RandomGaussian
  def initialize(mean = 0.0, sd = 1.0, rng = lambda { Kernel.rand })
    @mean, @sd, @rng = mean, sd, rng
    @compute_next_pair = false
  end

  def rand
    if (@compute_next_pair = !@compute_next_pair)
      # Compute a pair of random values with normal distribution.
      # See http://en.wikipedia.org/wiki/Box-Muller_transform
      theta = 2 * Math::PI * @rng.call
      scale = @sd * Math.sqrt(-2 * Math.log(1 - @rng.call))
      @g1 = @mean + scale * Math.sin(theta)
      @g0 = @mean + scale * Math.cos(theta)
    else
      @g1
    end
  end
end

Of course, if you really cared about speed, you should implement the Ziggurat Algorithm :).