int size = 100000000;
double sizeInMegabytes = (size * 8.0) / 1024.0 / 1024.0; //762 mb
double[] randomNumbers = new double[size];

private static IRandomGenerator rnd = new MersenneTwister();
private static IDistribution dist = new DiscreteNormalDistribution(1048576);
private static List<double> ndRandomNumbers = new List<double>();

private static void AddNDRandomNumbers(int numberOfRandomNumbers) {
    for (int i = 0; i < numberOfRandomNumbers; i++) {
      ndRandomNumbers.Add(dist.ICDF(rnd.nextUniform()));
  }
}

int blockSize = 1000000;

while (true) {
  try
  {
    AddNDRandomNumbers(blockSize);
  }
  catch (System.OutOfMemoryException ex)
  {
    break;
  }
}
double arrayTotalSizeInMegabytes = (ndRandomNumbers.Count * 8.0) / 1024.0 / 1024.0;

private static IEnumerable<double> MakeRandomNumbers(int numberOfRandomNumbers)
{
    for (int i = 0; i < numberOfRandomNumbers; i++)
    {
        yield return randomGenerator.GetAnotherRandomNumber();
    }
}


...

// Hooray, we won't run out of memory!
foreach(var number in MakeRandomNumbers(int.MaxValue))
{
    Console.WriteLine(number);
}