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The fastest computer methods for sampling from a given density are those based on a mixture of a fast and slow part. This paper describes a new method of this type, suitable for any decreasing or symmetric unimodal density. It differs from others in that it is faster and more easily implemented, thereby providing a standard procedure for developing both the fast and the slow part for many given densities. It is called the ziggurat method, after the shape of a single, convenient density that provides for both the fast and the slow parts of the generating process. Examples are given for REXP and RNOR, subroutines that generate exponential and normal variates that, as assembler routines, are nearly twice as fast as the previous best assembler routines, and that, as Fortran subroutines, approach the limiting possible speed: the time for Fortran subroutine linkage conventions plus the time to generate one uniform variate.
Marsaglia et al. (Fri,) studied this question.