Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 208 / 4 / a

Draw independent $U_1,U_2$ uniformly on $(0,1)$, and setThis is the Box-Muller transform. The endpoint $U_1=0$ has probability zero; an implementation should avoid evaluating its logarithm.

For $r\ge 0$, $P(R\le r)=1-e^{-r^2/2}$, so $R$ has density $r{e}^{-r^2/2}$. It is independent of the angle, which has a uniform distribution on $[0,2\pi )$, and their joint density is $(2\pi {)}^{-1}r{e}^{-r^2/2}$. Transforming to Cartesian coordinates divides by the polar-coordinate Jacobian $r$, yieldingThus the outputs are independent random variables with the standard normal distribution, proving the algorithm.