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Student Support Forum: 'inverse of cdf of standard normal distribution' topicStudent Support Forum > General > Archives > "inverse of cdf of standard normal distribution"

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mario
01/03/13 07:53am

My problem is as follows: I want mathematica to evaluate the inverse function of the distribution function of a standard normal distribution to be fast. I tried to comiple the function as follows:

oneinverse = InverseFunction[CDF[NormalDistribution[]]];
multiinverse =
Compile[{{x, _Real, 1}}, oneinverse /@ x, Parallelization -> True,
RuntimeOptions -> "Speed", CompilationTarget -> "C"];

x = Table[0.1, {2^18}];

Timing[multiinverse[x]][[1]]
Timing[Sin /@ x][[1]]

But it takes still much longer, then e.g. the Sin[] function. I'm using mathematica 8.

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Subject (listing for 'inverse of cdf of standard normal distribution')
Author Date Posted
inverse of cdf of standard normal distribution mario 01/03/13 07:53am
Re: inverse of cdf of standard normal distribut... yehuda 01/07/13 09:15am
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