float normcdfi(float p, float mu, float sigma2)
{
//Inverse CDF of normal distribution
//default: mu=0.0, sigma2=1.0
if (mu == 0.0 && sigma2 == 1.0)
//return sqrt(2) * erfi(2 * p - 1);
return 1.4142135623730951 * erfi(2 * p - 1);
else
return mu + sqrt(sigma2) * normcdfi(p, mu, sigma2); //default: mu=0.0, sigma2=1.0
}
double lerfi_diff(double x1, double x0)
{
/*
same comment apply as for lerf_diff
*/
double limit = 25.0, xmin, dx, value;
if (x1 == x0)
{
return -DBL_MAX;
}
else
{
if (ABS(x1) < limit || ABS(x0) < limit)
return log(erfi(x1)-erfi(x0));
else
{
xmin = MIN(x0, x1);
dx = MAX(x0, x1) -xmin;
value = SQR(xmin) + log((exp(2.*dx*xmin)-1.0)/(2.*xmin)) + log(TWODIVSQRTPI);
}
}
return value;
}
Real invertCDF(const Real input) const {
return std::sqrt(2.*variance_)*erfi(2.*input-1.) + mean_;
}
