Converting a Uniform Distribution to a Normal Distribution

algorithmlanguage-agnostic

How can I convert a uniform distribution (as most random number generators produce, e.g. between 0.0 and 1.0) into a normal distribution? What if I want a mean and standard deviation of my choosing?

Best Solution

The Ziggurat algorithm is pretty efficient for this, although the Box-Muller transform is easier to implement from scratch (and not crazy slow).