ExRandom

ExRandom is a small header-only C++11 library for exact sampling from the normal, exponential, and discrete normal distributions (provided that the underlying generator is perfect). This library provides an implementation of the algorithms described in

• C. F. F. Karney,
  Sampling exactly from the normal distribution,
  ACM Trans. Math. Software 42(1), 3:1–14 (Jan. 2016).
  doi:10.1145/2710016
  arXiv:1303.6257v2
• Y. Du, B. Fan, and B. Wei,
  An improved exact sampling algorithm for the standard normal distribution,
  preprint: arXiv:2008.03855v1 (Aug. 2020).

• Main project page
• Library documentation
• Download the code
• RandomLib, the library where these algorithms first appeared