CodingTrain / CodingTrain/Suggestion-Box
Ziggurat algorithm and use it Monte Carlo integration Challenge
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Description
Its a pseudo-random number generator that generates a normal distribution. It is a extremely fast and accurate sampling that uses precomputed tabled values equal to wi = xi/32, ki = 2^32(x(i-1)/xi).
More information about the algorithm can be found here:
[ziggurat.pdf](https://github.com/CodingTrain/Rainbow-Topics/files/1887569/ziggurat.pdf)
Once done use the the ziggurat algorithm to implement random walkers for monte carlo integration of a nontrivial function. example of such function is:
x*e^(-a*x)*sin(b*x) and compare to the known solution 2*a*b/(a^2+b^2)^2
bounds of integration are 0 to infinity.
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