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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-981) An improved algorithm for computing the inverse cumulative probability for the normal distribution
Date Sun, 26 May 2013 21:21:20 GMT

    [ https://issues.apache.org/jira/browse/MATH-981?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13667405#comment-13667405
] 

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

With the outlined refinement the error is never bigger than 1e-10, and it is still way faster
than the original method.
                
> 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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