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PR 681: Add ndtri function, the inverse of the normal distribution function.

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This commit is contained in:
Srinivas Vasudevan
2019-08-12 19:26:29 -04:00
parent f59bed7a13
commit e38dd48a27
20 changed files with 498 additions and 70 deletions
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20
unsupported/test/special_functions.cpp
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@@ -133,6 +133,26 @@ template<typename ArrayType> void array_special_functions()
}
#endif // EIGEN_HAS_C99_MATH
// Check the ndtri function against scipy.special.ndtri
{
ArrayType x(7), res(7), ref(7);
x << 0.5, 0.2, 0.8, 0.9, 0.1, 0.99, 0.01;
ref << 0., -0.8416212335729142, 0.8416212335729142, 1.2815515655446004, -1.2815515655446004, 2.3263478740408408, -2.3263478740408408;
CALL_SUBTEST( verify_component_wise(ref, ref); );
CALL_SUBTEST( res = x.ndtri(); verify_component_wise(res, ref); );
CALL_SUBTEST( res = ndtri(x); verify_component_wise(res, ref); );
// ndtri(normal_cdf(x)) ~= x
CALL_SUBTEST(
ArrayType m1 = ArrayType::Random(32);
using std::sqrt;
ArrayType cdf_val = (m1 / sqrt(2.)).erf();
cdf_val = (cdf_val + 1.) / 2.;
verify_component_wise(cdf_val.ndtri(), m1););
}
// Check the zeta function against scipy.special.zeta
{
ArrayType x(7), q(7), res(7), ref(7);