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

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

ASF GitHub Bot (Jira)

     [ https://issues.apache.org/jira/browse/MATH-948?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Luc Maisonobe updated MATH-948:
-------------------------------

    Description:
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.

A 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 his authorization to the Apache Commons project to use this code in the library.

  was:
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.

   

> 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.
> A 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 his authorization to the Apache Commons project to use this code in the library.

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