乱数ライブラリー

Standard exponential distribution

Probability density function of the standard exponential distribution with average 1 is as follows,

$ f(x)=\left\{
\begin{array}{cc}
e^{-x} & x\geq 0 \\
0 & x<0 \\
\end{array}
\right.$



If $U$ is the uniform random number on $[0,1)$, it is possible to obtain a standard exponential random number $X$ with mean 1 by the following equation.

$X=-\log U$


Reference:
  • JIS Z 9031:2012, Procedure for random number generation and randomization
  • M.Fushimi, Random number, UP Sensho Applied Mathematics, University of Tokyo Press, 1989



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