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https://issues.apache.org/jira/browse/MATH-981?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13667402#comment-13667402
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Thomas Neidhart commented on MATH-981:
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First tests show that the error compared to the current implementation is never
bigger than 1e-8 in the interval [0, 1] with a stepping of 1e-6.
Using this algorithm also the nextGaussian() method of the BitsStreamGenerator
class could be improved by a factor of ~1.5
> 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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