Understanding and Implementing the Box-Muller Transform in Python
When simulating random variables in statistics or machine learning, we often need samples from a standard normal distribution. However, programming languages that are not focused on statistics often lack a rich suite of random number generators for various distributions. Therefore, it is essential to know how to implement such generators from scratch, typically using uniformly distributed pseudo-random numbers. This is where the Box-Muller Transform comes into play—a clever method to transform two uniform random variables into two independent standard normal random variables. ...