Invent random_normal() to provide normally-distributed random numbers.

There is already a version of this in contrib/tablefunc, but it
seems sufficiently widely useful to justify having it in core.

Paul Ramsey

Discussion: https://postgr.es/m/CACowWR0DqHAvOKUCNxTrASFkWsDLqKMd6WiXvVvaWg4pV1BMnQ@mail.gmail.com

doc/src/sgml/func.sgml

@@ -1815,6 +1815,28 @@ repeat('Pg', 4) <returnvalue>PgPgPgPg</returnvalue>
        </para></entry>
       </row>
 
+      <row>
+       <entry role="func_table_entry"><para role="func_signature">
+        <indexterm>
+         <primary>random_normal</primary>
+        </indexterm>
+
+         <function>random_normal</function> (
+         <optional> <parameter>mean</parameter> <type>double precision</type>
+         <optional>, <parameter>stddev</parameter> <type>double precision</type> </optional></optional> )
+         <returnvalue>double precision</returnvalue>
+       </para>
+       <para>
+        Returns a random value from the normal distribution with the given
+        parameters; <parameter>mean</parameter> defaults to 0.0
+        and <parameter>stddev</parameter> defaults to 1.0
+       </para>
+       <para>
+        <literal>random_normal(0.0, 1.0)</literal>
+        <returnvalue>0.051285419</returnvalue>
+       </para></entry>
+      </row>
+
       <row>
        <entry role="func_table_entry"><para role="func_signature">
         <indexterm>
@@ -1824,7 +1846,8 @@ repeat('Pg', 4) <returnvalue>PgPgPgPg</returnvalue>
         <returnvalue>void</returnvalue>
        </para>
        <para>
-        Sets the seed for subsequent <literal>random()</literal> calls;
+        Sets the seed for subsequent <literal>random()</literal> and
+        <literal>random_normal()</literal> calls;
         argument must be between -1.0 and 1.0, inclusive
        </para>
        <para>
@@ -1848,6 +1871,7 @@ repeat('Pg', 4) <returnvalue>PgPgPgPg</returnvalue>
    Without any prior <function>setseed()</function> call in the same
    session, the first <function>random()</function> call obtains a seed
    from a platform-dependent source of random bits.
+   These remarks hold equally for <function>random_normal()</function>.
   </para>
 
   <para>

src/backend/catalog/system_functions.sql

@@ -66,6 +66,13 @@ CREATE OR REPLACE FUNCTION bit_length(text)
  IMMUTABLE PARALLEL SAFE STRICT COST 1
 RETURN octet_length($1) * 8;
 
+CREATE OR REPLACE FUNCTION
+ random_normal(mean float8 DEFAULT 0, stddev float8 DEFAULT 1)
+ RETURNS float8
+ LANGUAGE internal
+ VOLATILE PARALLEL RESTRICTED STRICT COST 1
+AS 'drandom_normal';
+
 CREATE OR REPLACE FUNCTION log(numeric)
  RETURNS numeric
  LANGUAGE sql

src/backend/utils/adt/float.c

@@ -2743,13 +2743,11 @@ datanh(PG_FUNCTION_ARGS)
 
 
 /*
- *		drandom		- returns a random number
+ * initialize_drandom_seed - initialize drandom_seed if not yet done
  */
-Datum
-drandom(PG_FUNCTION_ARGS)
+static void
+initialize_drandom_seed(void)
 {
-	float8		result;
-
 	/* Initialize random seed, if not done yet in this process */
 	if (unlikely(!drandom_seed_set))
 	{
@@ -2769,6 +2767,17 @@ drandom(PG_FUNCTION_ARGS)
 		}
 		drandom_seed_set = true;
 	}
+}
+
+/*
+ *		drandom		- returns a random number
+ */
+Datum
+drandom(PG_FUNCTION_ARGS)
+{
+	float8		result;
+
+	initialize_drandom_seed();
 
 	/* pg_prng_double produces desired result range [0.0 - 1.0) */
 	result = pg_prng_double(&drandom_seed);
@@ -2776,6 +2785,27 @@ drandom(PG_FUNCTION_ARGS)
 	PG_RETURN_FLOAT8(result);
 }
 
+/*
+ *		drandom_normal	- returns a random number from a normal distribution
+ */
+Datum
+drandom_normal(PG_FUNCTION_ARGS)
+{
+	float8		mean = PG_GETARG_FLOAT8(0);
+	float8		stddev = PG_GETARG_FLOAT8(1);
+	float8		result,
+				z;
+
+	initialize_drandom_seed();
+
+	/* Get random value from standard normal(mean = 0.0, stddev = 1.0) */
+	z = pg_prng_double_normal(&drandom_seed);
+	/* Transform the normal standard variable (z) */
+	/* using the target normal distribution parameters */
+	result = (stddev * z) + mean;
+
+	PG_RETURN_FLOAT8(result);
+}
 
 /*
  *		setseed		- set seed for the random number generator

src/bin/pgbench/pgbench.c

@@ -1136,8 +1136,8 @@ getGaussianRand(pg_prng_state *state, int64 min, int64 max,
 	Assert(parameter >= MIN_GAUSSIAN_PARAM);
 
 	/*
-	 * Get user specified random number from this loop, with -parameter <
-	 * stdev <= parameter
+	 * Get normally-distributed random number in the range -parameter <= stdev
+	 * < parameter.
 	 *
 	 * This loop is executed until the number is in the expected range.
 	 *
@@ -1149,25 +1149,7 @@ getGaussianRand(pg_prng_state *state, int64 min, int64 max,
 	 */
 	do
 	{
-		/*
-		 * pg_prng_double generates [0, 1), but for the basic version of the
-		 * Box-Muller transform the two uniformly distributed random numbers
-		 * are expected to be in (0, 1] (see
-		 * https://en.wikipedia.org/wiki/Box-Muller_transform)
-		 */
-		double		rand1 = 1.0 - pg_prng_double(state);
-		double		rand2 = 1.0 - pg_prng_double(state);
-
-		/* Box-Muller basic form transform */
-		double		var_sqrt = sqrt(-2.0 * log(rand1));
-
-		stdev = var_sqrt * sin(2.0 * M_PI * rand2);
-
-		/*
-		 * we may try with cos, but there may be a bias induced if the
-		 * previous value fails the test. To be on the safe side, let us try
-		 * over.
-		 */
+		stdev = pg_prng_double_normal(state);
 	}
 	while (stdev < -parameter || stdev >= parameter);
 

src/common/pg_prng.c

@@ -19,11 +19,17 @@
 
 #include "c.h"
 
-#include <math.h>				/* for ldexp() */
+#include <math.h>
 
 #include "common/pg_prng.h"
 #include "port/pg_bitutils.h"
 
+/* X/Open (XSI) requires <math.h> to provide M_PI, but core POSIX does not */
+#ifndef M_PI
+#define M_PI 3.14159265358979323846
+#endif
+
+
 /* process-wide state vector */
 pg_prng_state pg_global_prng_state;
 
@@ -235,6 +241,35 @@ pg_prng_double(pg_prng_state *state)
 	return ldexp((double) (v >> (64 - 52)), -52);
 }
 
+/*
+ * Select a random double from the normal distribution with
+ * mean = 0.0 and stddev = 1.0.
+ *
+ * To get a result from a different normal distribution use
+ *   STDDEV * pg_prng_double_normal() + MEAN
+ *
+ * Uses https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
+ */
+double
+pg_prng_double_normal(pg_prng_state *state)
+{
+	double		u1,
+				u2,
+				z0;
+
+	/*
+	 * pg_prng_double generates [0, 1), but for the basic version of the
+	 * Box-Muller transform the two uniformly distributed random numbers are
+	 * expected to be in (0, 1]; in particular we'd better not compute log(0).
+	 */
+	u1 = 1.0 - pg_prng_double(state);
+	u2 = 1.0 - pg_prng_double(state);
+
+	/* Apply Box-Muller transform to get one normal-valued output */
+	z0 = sqrt(-2.0 * log(u1)) * sin(2.0 * M_PI * u2);
+	return z0;
+}
+
 /*
  * Select a random boolean value.
  */

src/include/catalog/catversion.h

@@ -57,6 +57,6 @@
  */
 
 /*							yyyymmddN */
-#define CATALOG_VERSION_NO	202301091
+#define CATALOG_VERSION_NO	202301092
 
 #endif

src/include/catalog/pg_proc.dat

@@ -3359,6 +3359,10 @@
 { oid => '1598', descr => 'random value',
   proname => 'random', provolatile => 'v', proparallel => 'r',
   prorettype => 'float8', proargtypes => '', prosrc => 'drandom' },
+{ oid => '8074', descr => 'random value from normal distribution',
+  proname => 'random_normal', provolatile => 'v', proparallel => 'r',
+  prorettype => 'float8', proargtypes => 'float8 float8',
+  prosrc => 'drandom_normal' },
 { oid => '1599', descr => 'set random seed',
   proname => 'setseed', provolatile => 'v', proparallel => 'r',
   prorettype => 'void', proargtypes => 'float8', prosrc => 'setseed' },

src/include/common/pg_prng.h

@@ -55,6 +55,7 @@ extern uint32 pg_prng_uint32(pg_prng_state *state);
 extern int32 pg_prng_int32(pg_prng_state *state);
 extern int32 pg_prng_int32p(pg_prng_state *state);
 extern double pg_prng_double(pg_prng_state *state);
+extern double pg_prng_double_normal(pg_prng_state *state);
 extern bool pg_prng_bool(pg_prng_state *state);
 
 #endif							/* PG_PRNG_H */

src/test/regress/expected/random.out

@@ -51,3 +51,31 @@ SELECT AVG(random) FROM RANDOM_TBL
 -----
 (0 rows)
 
+-- now test random_normal()
+TRUNCATE random_tbl;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(0, 1) < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(0) < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal() < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(stddev => 1, mean => 0) < 0;
+-- expect similar, but not identical values
+SELECT random, count(random) FROM random_tbl
+  GROUP BY random HAVING count(random) > 3;
+ random | count 
+--------+-------
+(0 rows)
+
+-- approximately check expected distribution
+SELECT AVG(random) FROM random_tbl
+  HAVING AVG(random) NOT BETWEEN 400 AND 600;
+ avg 
+-----
+(0 rows)
+

src/test/regress/sql/random.sql

@@ -42,3 +42,27 @@ SELECT random, count(random) FROM RANDOM_TBL
 
 SELECT AVG(random) FROM RANDOM_TBL
   HAVING AVG(random) NOT BETWEEN 80 AND 120;
+
+-- now test random_normal()
+
+TRUNCATE random_tbl;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(0, 1) < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(0) < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal() < 0;
+INSERT INTO random_tbl (random)
+  SELECT count(*)
+  FROM onek WHERE random_normal(stddev => 1, mean => 0) < 0;
+
+-- expect similar, but not identical values
+SELECT random, count(random) FROM random_tbl
+  GROUP BY random HAVING count(random) > 3;
+
+-- approximately check expected distribution
+SELECT AVG(random) FROM random_tbl
+  HAVING AVG(random) NOT BETWEEN 400 AND 600;