I am trying to generate a set of N random numbers where the set has a normal distribution.
I'm currently using a brute force approach:
- Randomly select N numbers from a normal distribution.
- Check the set's standard deviation (more important than mean).
- If it is the best set so far, keep it.
- Repeat 10000 times, and use the best set.
Is there any better approach? Anyone know where I could look?
Thanks in advance!