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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:

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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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