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).


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 pseudo-random numbers with a normal distribution. Later developments are also mentioned.


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—

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