[jira] [Created] (MATH-948) Add inverse error function and inverse complementary error function

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[jira] [Created] (MATH-948) Add inverse error function and inverse complementary error function

Matt Juntunen (Jira)
Luc Maisonobe created MATH-948:
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             Summary: Add inverse error function and inverse complementary error function
                 Key: MATH-948
                 URL: https://issues.apache.org/jira/browse/MATH-948
             Project: Commons Math
          Issue Type: Wish
    Affects Versions: 3.1.1
            Reporter: Luc Maisonobe
            Assignee: Luc Maisonobe
            Priority: Minor
             Fix For: 3.2


The Erf class provides only direct functions erf(double) and erfc(double).

The inverse of these functions are useful to compute accurately and efficiently the inverse cumulative probabilities of normal distribution and Lévy distribution.

An recent implementation as been designed by Mike Giles and published in a 2010 paper in CUDA Gems: Approximating the erfinv function. The paper is available at [http://people.maths.ox.ac.uk/gilesm/files/gems_erfinv.pdf]. The code implementing the double precision version with all the coefficients is available here: [http://gpucomputing.net/?q=node/1828].

After a direct contact with professor Giles, he gave is authorization to the Apache Commons project to use this code in the library.

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