ziggurat, a C++ code which generates random variates from the uniform, normal or exponential distributions, by Marsaglia and Tsang.
The uniform numbers are generated directly. The ziggurat method is used to compute the normal and exponential values.
In the inline version, the underlying generators are implemented "inline", invoking a function call only in exceptional cases. This results in very fast execution.
In this implementation, the advantages of inline code are not used. All the routines and inline functions are isolated in a separate file, so that a user invokes them through the familiar library interface.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
ziggurat is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
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George Marsaglia, Wai Wan Tsang.