George Forsythe's Last Paper
238. R. P. Brent,
George Forythe's last paper,
6 May 2010, 10 pages,
arXiv:1005.0909v2.
Paper:
pdf (120K).
Abstract
We describe von Neumann's elegant idea for sampling from the exponential
distribution, Forsythe's generalization for sampling from a probability
distribution whose density has the form exp(G(x)),
where G(x) is easy
to compute (e.g. a polynomial), and my refinement of these ideas to give
an efficient algorithm for generating pseudorandom numbers with a normal
distribution. Later developments are also mentioned.
Remarks
This paper is dedicated to the memory of
George and
Sandra Forsythe, friends and role models for both my late wife
Erin and myself.
For one of my 1990 Forsythe memorial lectures,
see [119].
Since the theory is described in [23],
there are no plans to submit the present paper
for publication except on the arXiv.
The paper is the text of an invited talk presented at the
Stanford 50 Conference,
held at Stanford University
in March 2007—

Stanford 50: State of the Art and Future Directions of Computational
Mathematics and Numerical Computing.
A conference celebrating the 50th anniversary of George Forsythe's arrival
at Stanford and the 75th birthday of Professor Gene Golub.
 Some photos from the conference may be found
here and
here.
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