[jira] [Commented] (MATH-981) An improved algorithm for computing the inverse cumulative probability for the normal distribution

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[jira] [Commented] (MATH-981) An improved algorithm for computing the inverse cumulative probability for the normal distribution

Otto Fowler (Jira)

    [ https://issues.apache.org/jira/browse/MATH-981?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13667402#comment-13667402 ]

Thomas Neidhart commented on MATH-981:
--------------------------------------

First tests show that the error compared to the current implementation is never bigger than 1e-8 in the interval [0, 1] with a stepping of 1e-6.

Using this algorithm also the nextGaussian() method of the BitsStreamGenerator class could be improved by a factor of ~1.5
               

> 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.

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