A simple method for generating gamma variables
George Marsaglia, Wai Wan Tsang · ACM Transactions on Mathematical Software · 2000
We offer a procedure for generating a gamma variate as the cube of a suitably scaled normal variate. It is fast and simple, assuming one has a fast way to generate normal variables. In brief: generate a normal variate x and a uniform variate U until In ( U ) 1. The gamma procedure is particularly fst for C implementation if the normal variate is generated in-line, via the #define feature. We include such an inline version, based on our ziggurat method. With it, and an inline uniform generator, gamma variates can be produced in 400MHz CPUs at better than 1.3 million per second, with the parameter α changing from call to call.