// Licensed to the Apache Software Foundation (ASF) under one // or more contributor license agreements. See the NOTICE file // distributed with this work for additional information // regarding copyright ownership. The ASF licenses this file // to you under the Apache License, Version 2.0 (the // "License"); you may not use this file except in compliance // with the License. You may obtain a copy of the License at // // http://www.apache.org/licenses/LICENSE-2.0 // // Unless required by applicable law or agreed to in writing, // software distributed under the License is distributed on an // "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY // KIND, either express or implied. See the License for the // specific language governing permissions and limitations // under the License. #include "contrib/libs/apache/arrow_next/cpp/src/arrow/util/math_internal.h" #include #include "contrib/libs/apache/arrow_next/cpp/src/arrow/util/logging.h" namespace arrow20::internal { double NormalPPF(double p) { DCHECK(p >= 0.0 && p <= 1.0); if (p == 0.0) { return -HUGE_VAL; } if (p == 1.0) { return HUGE_VAL; } // Algorithm from https://doi.org/10.2307/2347330 // Wichura, M. J. (1988). // Algorithm AS 241: The Percentage Points of the Normal Distribution. // Journal of the Royal Statistical Society. Series C (Applied Statistics), // 37(3), 477-484. // // Copied from the Rust implementation at https://github.com/ankane/dist-rust/ double q = p - 0.5; if (std::abs(q) < 0.425) { double r = 0.180625 - q * q; return q * (((((((2.5090809287301226727e3 * r + 3.3430575583588128105e4) * r + 6.7265770927008700853e4) * r + 4.5921953931549871457e4) * r + 1.3731693765509461125e4) * r + 1.9715909503065514427e3) * r + 1.3314166789178437745e2) * r + 3.3871328727963666080e0) / (((((((5.2264952788528545610e3 * r + 2.8729085735721942674e4) * r + 3.9307895800092710610e4) * r + 2.1213794301586595867e4) * r + 5.3941960214247511077e3) * r + 6.8718700749205790830e2) * r + 4.2313330701600911252e1) * r + 1.0); } else { double r = q < 0.0 ? p : 1.0 - p; r = std::sqrt(-std::log(r)); if (r < 5.0) { r -= 1.6; r = (((((((7.74545014278341407640e-4 * r + 2.27238449892691845833e-2) * r + 2.41780725177450611770e-1) * r + 1.27045825245236838258e0) * r + 3.64784832476320460504e0) * r + 5.76949722146069140550e0) * r + 4.63033784615654529590e0) * r + 1.42343711074968357734e0) / (((((((1.05075007164441684324e-9 * r + 5.47593808499534494600e-4) * r + 1.51986665636164571966e-2) * r + 1.48103976427480074590e-1) * r + 6.89767334985100004550e-1) * r + 1.67638483018380384940e0) * r + 2.05319162663775882187e0) * r + 1.0); } else { r -= 5.0; r = (((((((2.01033439929228813265e-7 * r + 2.71155556874348757815e-5) * r + 1.24266094738807843860e-3) * r + 2.65321895265761230930e-2) * r + 2.96560571828504891230e-1) * r + 1.78482653991729133580e0) * r + 5.46378491116411436990e0) * r + 6.65790464350110377720e0) / (((((((2.04426310338993978564e-15 * r + 1.42151175831644588870e-7) * r + 1.84631831751005468180e-5) * r + 7.86869131145613259100e-4) * r + 1.48753612908506148525e-2) * r + 1.36929880922735805310e-1) * r + 5.99832206555887937690e-1) * r + 1.0); } return std::copysign(r, q); } } } // namespace arrow20::internal