Box-Muller Transform

The Box-Muller transform is a method for generating pairs of independent, standard, normally distributed random numbers starting from a source of uniformly distributed random numbers. It is named after George Edward Pelham Box and Mervin Edgar Muller, who published the method, although the underlying idea was mentioned earlier by Raymond Paley and Norbert Wiener in their 1934 work on Fourier transforms. The transform was developed as a computationally efficient alternative to inverse transform sampling for producing Gaussian random values, though newer methods such as the ziggurat algorithm now outperform it on some hardware.