Add random variable.

2 files changed, 11 insertions, 0 deletions

diff --git a/random/include/random/normal.h b/random/include/random/normal.h
new file mode 100644
index 0000000..bee32a9
--- /dev/null
+++ b/random/include/random/normal.h
@@ -0,0 +1,9 @@
+#pragma once
+
+/// Generate two samples from the standard normal distribution.
+///
+/// |u| and |v| must be uniformly distributed in (0,1).
+void normal2(double u, double v, double* z0, double* z1);
+
+/// Map a sample from a standard normal distribution to an arbitrary normal.
+double normal_transform(double z, double mu, double sigma);
diff --git a/random/include/random/random.h b/random/include/random/random.h
index 5499f62..1f4a48d 100644
--- a/random/include/random/random.h
+++ b/random/include/random/random.h
@@ -1,3 +1,5 @@
 #pragma once
 
 #include <random/mt19937-64.h>
+#include <random/normal.h>
+