gaussian/lib/box-muller.js

A JavaScript model of a Gaussian distribution

/** 
 * Box-Muller implementation
 * https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
 */

(function(exports){
  const PRECISION = 1e9;
  const _2PI = Math.PI * 2;

  /**
   *
   * @param {number} mean
   * @param {number} std
   * @param randFn - an optional function that returns a float between 0 (inclusive) and 1
   * (exclusive).  Use this if you want to pass in a random number generator other than
   * Math.random().
   * @returns {number}
   */
  function generateGaussian(mean,std, randFn = null){
    var u1;
    var u2;
    if (randFn) {
      u1 = randFn();
      u2 = randFn();
    }
    else {
      u1 = Math.random();
      u2 = Math.random();
    }
    
    var z0 = Math.sqrt(-2.0 * Math.log(u1)) * Math.cos(_2PI * u2);
    var z1 = Math.sqrt(-2.0 * Math.log(u1)) * Math.sin(_2PI * u2);

    return z0 * std + mean;
  }

  exports(generateGaussian)
})
(typeof(exports) !== "undefined"
    ? function(e) { module.exports = e; }
    // istanbul ignore next
    : function(e) { this["boxmuller"] = e; });