[

https://issues.apache.org/jira/browse/MATH-981?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13667405#comment-13667405 ]

Thomas Neidhart edited comment on MATH-981 at 5/26/13 9:23 PM:

---------------------------------------------------------------

With the outlined refinement the error is never bigger than 1e-10.

Edit: correction, with the refinement, the algorithm is actually slower.

was (Author: tn):

With the outlined refinement the error is never bigger than 1e-10, and it is still way faster than the original method.

> An improved algorithm for computing the inverse cumulative probability for the normal distribution

> --------------------------------------------------------------------------------------------------

>

> Key: MATH-981

> URL:

https://issues.apache.org/jira/browse/MATH-981> Project: Commons Math

> Issue Type: Sub-task

> Reporter: Thomas Neidhart

> Priority: Minor

>

> The following page outlines an algorithm (and alternative algorithms) to compute the inverse cumulative probability for the normal distribution:

>

http://home.online.no/~pjacklam/notes/invnorm/> An implementation of this is also included in the referred contribution for a Monte Carlo engine.

--

This message is automatically generated by JIRA.

If you think it was sent incorrectly, please contact your JIRA administrators

For more information on JIRA, see:

http://www.atlassian.com/software/jira