Provide a simple, efficient, and correct implementation to sample Gaussian random variables

[gkronber]

We currently use the Ziggurat method which is fast but not straight-forward. abeham made some tests and found significant deviations of the empirical distributions of samples generated with our implementation compared to other implementations.

[gkronber]

Code from Sim#:

    const double NormalMagicConst = 4 * Math.Exp(-0.5) / Math.Sqrt(2.0);
    public double RandNormal(double mu, double sigma) {
      double z, zz, u1, u2;
      do {
        u1 = Random.NextDouble();
        u2 = 1 - Random.NextDouble();
        z = NormalMagicConst * (u1 - 0.5) / u2;
        zz = z * z / 4.0;
      } while (zz > -Math.Log(u2));
      return mu + z * sigma;
    }

[gkronber]

Performance comparison (1mio samples, release build):

FastRandom:
N(0,1)-hl: 28,7
N(0,1)-Sim#: 53,9
N(0,1)-alglib: 69,7

MersenneTwister:
N(0,1)-hl: 92,3
N(0,1)-Sim#: 174,1