Specialize inverse_cdf for LogNormal distribution#127
Specialize inverse_cdf for LogNormal distribution#127Twister915 wants to merge 3 commits intostatrs-dev:masterfrom
Conversation
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erfc is the complementary error function, so I like the way the tests are done so we check the cdf against the inverse_cdf, could highlight problems such as 200 more clearly. |
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merge edits
I too like the symmetric tests. @henryjac iirc you wanted to rebase and merge so merge commits would represent PRs in history. Would you prefer that @Twister915 redo the changes atop master so we can rebase instead and keep that up? |
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Opted to do a local merge and push to master, will have to close this one manually. If anyone knows a way to manually modify this PR to "close as merged" by a specific commit, the SHA is ae5431f Thanks for implementing this along with a thorough write-up! |
Description
Specialize
inverse_cdfforLogNormaldistribution, because an equation exists and it is faster & more accurate than the default binary search implementation.Changes
inverse_cdfinContinuousCDFimpl forLogNormaldistribution, according to the definition I read here and some pen & paper verification of this definition.Review Notes
erf_inverse, and I don't know howerf_inverserelates toerfc_inverse.0.5and output=0.0000000015011556178148777579869633555518882664666520593658.