Replace boost math functions. #85
Open
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Tests added using common input values and comparing against the output from original boost::math implementations. The normal distribution cdf function is taken from the example code at http://en.cppreference.com/w/cpp/numeric/math/erfc. The erf_inv is based on code accompanying the article "Approximating the erfinv function" in GPU Computing Gems, Volume 2.
Collaborator
|
So this fixes #48? Very cool, thanks! I shall review and merge this with the next batch of free time :D |
Author
|
Yep, I think it should fix #48 :) |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Tests added using common input values and comparing against the output
from original
boost::mathimplementations.The normal distribution CDF function is taken from the example code at
http://en.cppreference.com/w/cpp/numeric/math/erfc.
The
erf_invis based on code accompanying the article "Approximatingthe erfinv function" in GPU Computing Gems, Volume 2. Orginally I was using the approximation described at https://en.wikipedia.org/wiki/Error_function#Approximation_with_elementary_functions but found them to be a lot less accurate than the
boost::mathversion for some inputs.I don't have a great background in this kind of maths, I've found algorithm descriptions through Googling and checked correctness by comparing against the values returned by boost math. It seems to be OK.