Smooth Random Number Functions

[jackninja1]

Dear Dr. Fog,

First, thank you for your valuable work with your VCL software. All your work is a very valuable resource when in comes to high performance code.

My question concerns the following: I am looking for resources about smooth random number generators. Do you happen to know what a good place is to find information about that topic? To my understanding, all your work around random number generators is for completely random numbers. Are there any performant libraries that allow for the generation of random numbers that are locally smooth around a N-dimensional point?

I imagine that you are very busy and I am not even sure if you are open to these types of questions. In any case, again, thank you for your work and I wish you all the best!

Kind regard,

Jackninja1,
The Netherlands

[agner]

I guess you mean a multivariate normal distribution.
You can make N independent normally distributed variables using the Box Muller transform.