Box Muller Proof

Leah Ann Stokes

25th February 2019

Considering the following relation:

Z ∞
−x2
dxe 2 = 2π (1)
−∞

In order to prove the relation 1 it has to be squared (taking into account how said relation has no exact
solution.)
Z inf ty Z inf ty
−x2 −x2 +y 2
2
( dxe 2 ) = dxdye 2 (2)
−∞ −∞

Using polar coordinates

x = rcosθ (3)

y = rsinθ (4)

x2 + y 2 = R 2 (5)

y
tan−1 =θ (6)
x
∂(x, y)
| |=r (7)
∂(r, θ)
Z ∞ Z 2π Z ∞ Z ∞
−x2 +y 2 −R2
dxdye 2 = dθ dRRe 2 = 2π due−u = 2π[−e−u ]∞
0 = 2π (8)
−∞ 0 0 0
2
when u = R2
From the above it can be deduced that 1 is true and can modify it as follows
Z ∞
1 −x2 +y 2
1= dxdye 2 (9)
2π inf ty
If 2 is constrained to x2 + y 2 <= R2 then another function Y can be established
Z
−x2 +y 2
Y = dxdye 2 (10)
x2 +y 2 <=R2

Once again, polar coordinates can be used to simplify integration

R2
Z 2π Z R Z
1 −R2 2 −R2
Y = dθ dRRe 2 = due−u = 1 − e 2 (11)
2π 0 0 0
From 11 the following can be observed

1
 lim Y = 0 (12)
R→0

lim Y = 1 (13)
R→∞

Which is a logical, considering the normal distribution falls between the range 0 → 1.
Solving for R in terms of Y gives
p
R = −2ln(1 − Y ) (14)
Reverting back to polar coordinates from 3 and 4
p
x = −2ln(1 − Y )cos(2π)X (15)

p
y= −2ln(1 − Y )sin(2π)X (16)
Where X is another random variable.
Equations 15 and 16 can be generalized even more by adding the mean and variance.
p
x = µ + σ −2ln(1 − Y )cos(2π)X (17)

p
y =µ+σ −2ln(1 − Y )sin(2π)X (18)