public void InverseCentralRegion()
{
var grid = GridUtils.RegularGrid(-2.0, 2.0, 1000);
foreach (var x in grid)
{
var p = NormalDistribution.Cumulative(x);
var proxy_x = NormalDistribution.CumulativeInverse(p);
var errRelative = Math.Abs(proxy_x - x);
Assert.IsTrue(errRelative < 13 * DoubleUtils.MachineEpsilon);
}
}
public void InverseHigherRegion()
{
var grid = GridUtils.RegularGrid(2.0, 6.0, 1000);
foreach (var x in grid)
{
var p = NormalDistribution.Cumulative(x);
var proxy_x = NormalDistribution.CumulativeInverse(p);
var err = Math.Abs((proxy_x - x) / x);
Assert.IsTrue(err < 1.0e-8);
}
}
public void FastVsPreciseInverse()
{
var bound = NormalDistribution.CumulativeInverse(1.0e-6);
var grid = GridUtils.RegularGrid(bound, -bound, 1000);
foreach (var x in grid)
{
var p = NormalDistribution.Cumulative(x);
var precise = NormalDistribution.CumulativeInverse(p);
var fast = NormalDistribution.FastCumulativeInverse(p);
var errRelative = Math.Abs(fast - precise);
Assert.IsTrue(errRelative < 3.0e-9);
}
}
