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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