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From "Michael Borcherds (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-280) bug in inverseCumulativeProbability() for Normal Distribution
Date Mon, 06 Jul 2009 21:27:15 GMT
bug in inverseCumulativeProbability() for Normal Distribution
-------------------------------------------------------------

                 Key: MATH-280
                 URL: https://issues.apache.org/jira/browse/MATH-280
             Project: Commons Math
          Issue Type: Bug
    Affects Versions: 1.2
         Environment: Java 1.5
            Reporter: Michael Borcherds



 * @version $Revision: 617953 $ $Date: 2008-02-02 22:54:00 -0700 (Sat, 02 Feb 2008) $
 */
public class NormalDistributionImpl extends AbstractContinuousDistribution 


 * @version $Revision: 506600 $ $Date: 2007-02-12 12:35:59 -0700 (Mon, 12 Feb 2007) $
 */
public abstract class AbstractContinuousDistribution


This code:

        	DistributionFactory factory = app.getDistributionFactory();
        	NormalDistribution normal = factory.createNormalDistribution(0,1);
        	double result = normal.inverseCumulativeProbability(0.9772498680518209);

gives the exception below. It should return (approx) 2.0000...

normal.inverseCumulativeProbability(0.977249868051820); works fine

These also give errors:
0.9986501019683698 (should return 3.0000...)
0.9999683287581673 (should return 4.0000...)

org.apache.commons.math.MathException: Number of iterations=1, maximum iterations=2,147,483,647,
initial=1, lower bound=0, upper bound=179,769,313,486,231,570,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,
final a value=0, final b value=2, f(a)=-0.477, f(b)=0
	at org.apache.commons.math.distribution.AbstractContinuousDistribution.inverseCumulativeProbability(AbstractContinuousDistribution.java:103)
	at org.apache.commons.math.distribution.NormalDistributionImpl.inverseCumulativeProbability(NormalDistributionImpl.java:145)




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