added inverse gaussian cdf plus tests

shogun-toolbox · Jul 30, 2012 · f3492a1 · f3492a1
1 parent ab98ca5
commit f3492a1
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Showing 3 changed files with 35 additions and 2 deletions.
diff --git a/examples/undocumented/libshogun/statistics.cpp b/examples/undocumented/libshogun/statistics.cpp
@@ -112,7 +112,7 @@ void test_gamma_cdf()
 	ASSERT(difference<=10E-15);
 }
 
-void test_normal()
+void test_normal_cdf()
 {
 	/* some tests for high precision MATLAB comparison */
 	float64_t difference=CStatistics::normal_cdf(1);
@@ -134,6 +134,28 @@ void test_normal()
 	ASSERT(difference<=10E-16);
 }
 
+void test_inverse_normal_cdf()
+{
+	/* some tests for high precision MATLAB comparison */
+	float64_t difference=CStatistics::inverse_normal_cdf(0.4, 0, 1);
+	SG_SPRINT("inverse_normal_cdf(0.4, 0, 1)=%f\n", difference);
+	difference-=-0.253347103135800;
+	difference=CMath::abs(difference);
+	ASSERT(difference<=10E-16);
+
+	difference=CStatistics::inverse_normal_cdf(0.8, 0.2, 2.2);
+	SG_SPRINT("inverse_normal_cdf(0.8, 0.2, 2.2)=%f\n", difference);
+	difference-=2.051566713860412;
+	difference=CMath::abs(difference);
+	ASSERT(difference<=10E-16);
+
+	difference=CStatistics::inverse_normal_cdf(0.1, 0.1, 1.2);
+	SG_SPRINT("inverse_normal_cdf(0.1, 0.1, 1.2)=%f\n", difference);
+	difference-=-1.437861878653521;
+	difference=CMath::abs(difference);
+	ASSERT(difference<=10E-16);
+}
+
 void test_error_function()
 {
 	/* some tests for high precision MATLAB comparison */
@@ -227,7 +249,8 @@ int main(int argc, char **argv)
 	test_incomplete_gamma();
 	test_gamma_cdf();
 	test_inverse_gamma_cdf();
-	test_normal();
+	test_normal_cdf();
+	test_inverse_normal_cdf();
 	test_error_function();
 	test_error_function_complement();
 

diff --git a/src/shogun/mathematics/Statistics.cpp b/src/shogun/mathematics/Statistics.cpp
@@ -741,6 +741,12 @@ float64_t CStatistics::incomplete_beta(float64_t a, float64_t b, float64_t x)
 	return result;
 }
 
+float64_t CStatistics::inverse_normal_cdf(float64_t y0, float64_t mean,
+		float64_t std_dev)
+{
+	return inverse_normal_cdf(y0)*std_dev+mean;
+}
+
 float64_t CStatistics::inverse_normal_cdf(float64_t y0)
 {
 	float64_t expm2;

diff --git a/src/shogun/mathematics/Statistics.h b/src/shogun/mathematics/Statistics.h
@@ -157,6 +157,10 @@ class CStatistics: public CSGObject
 	 */
 	static float64_t inverse_normal_cdf(float64_t y0);
 
+	/** same as other version, but with custom mean and variance */
+	static float64_t inverse_normal_cdf(float64_t y0, float64_t mean,
+				float64_t std_dev);
+
 	/** @return natural logarithm of the gamma function of input */
 	static inline float64_t lgamma(float64_t x)
 	{