George Forsythe's last paper
arXiv:1005.0909
Abstract
We describe von Neumann's elegant idea for sampling from the exponential distribution, Forsythe's generalization for sampling from a probability distribution whose density has the form exp(-G(x)), where G(x) is easy to compute (e.g. a polynomial), and my refinement of these ideas to give an efficient algorithm for generating pseudo-random numbers with a normal distribution. Later developments are also mentioned.
10 pages. Text of an invited talk presented at the Stanford 50 Conference celebrating the 50th anniversary of George Forsythe's arrival at Stanford and the 75th birthday of Gene Golub. For further details see http://wwwmaths.anu.edu.au/~brent/pub/pub238.html