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by PV
February 10th, 2010, 10:01 am
Forum: Numerical Methods Forum
Topic: New Approximation to the Normal Distribution Quantile Function
Replies: 14
Views: 40772

New Approximation to the Normal Distribution Quantile Function

oops,and that same person also berates me for underselling myself:there is also a branchless approximation in my paper (Section 3) which should compare well speed-wise with Shaw-Brickman on a GPU.And on a CPU, my branched approximation performs much better than theirs speed-wise.PV
by PV
February 7th, 2010, 9:07 pm
Forum: Numerical Methods Forum
Topic: New Approximation to the Normal Distribution Quantile Function
Replies: 14
Views: 40772

New Approximation to the Normal Distribution Quantile Function

<t>hi again guys,thanks for the good comments. It was encouraging and informative to receive them.Getting in touch with William Shaw is definitely on my to-do list. Interestingly, someone else (who knows both of us) also thinks that the two of us would get on.Quick reply to why we are happy with tha...
by PV
February 3rd, 2010, 8:29 pm
Forum: Numerical Methods Forum
Topic: New Approximation to the Normal Distribution Quantile Function
Replies: 14
Views: 40772

New Approximation to the Normal Distribution Quantile Function

<r>hi,I hope this information is helpful, and even better useful, to people.For some recent work on a risk system, we needed a very fast way to approximate the inverse of the normal distribution CDF with "reasonable" accuracy. I found the following, which I couldn't find in the literature anywhere:<...
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