#include #include #include #include "erfinv.h" template static double polEval(double x, const std::array& coef) { static_assert(N > 0, "Array coef[] should not be empty."); return std::accumulate(coef.crbegin() + 1, coef.crend(), coef[N - 1], [x] (auto init, auto cur) { return std::move(init) * x + cur; }); } namespace NMathUdf { // https://www.jstor.org/stable/2347330 double ErfInv(double x) { static constexpr std::array a = { 1.1975323115670912564578e0, 4.7072688112383978012285e1, 6.9706266534389598238465e2, 4.8548868893843886794648e3, 1.6235862515167575384252e4, 2.3782041382114385731252e4, 1.1819493347062294404278e4, 8.8709406962545514830200e2, }; static constexpr std::array b = { 1., 4.2313330701600911252e1, 6.8718700749205790830e2, 5.3941960214247511077e3, 2.1213794301586595867e4, 3.9307895800092710610e4, 2.8729085735721942674e4, 5.2264952788528545610e3, }; static constexpr std::array c = { 1.42343711074968357734e0, 4.63033784615654529590e0, 5.76949722146069140550e0, 3.64784832476320460504e0, 1.27045825245236838258e0, 2.41780725177450611770e-1, 2.27238449892691845833e-2, 7.74545014278341407640e-4, }; static constexpr std::array d = { 1.4142135623730950488016887e0, 2.9036514445419946173133295e0, 2.3707661626024532365971225e0, 9.7547832001787427186894837e-1, 2.0945065210512749128288442e-1, 2.1494160384252876777097297e-2, 7.7441459065157709165577218e-4, 1.4859850019840355905497876e-9, }; static constexpr std::array e = { 6.65790464350110377720e0, 5.46378491116411436990e0, 1.78482653991729133580e0, 2.96560571828504891230e-1, 2.65321895265761230930e-2, 1.24266094738807843860e-3, 2.71155556874348757815e-5, 2.01033439929228813265e-7, }; static constexpr std::array f = { 1.414213562373095048801689e0, 8.482908416595164588112026e-1, 1.936480946950659106176712e-1, 2.103693768272068968719679e-2, 1.112800997078859844711555e-3, 2.611088405080593625138020e-5, 2.010321207683943062279931e-7, 2.891024605872965461538222e-15, }; if (isnan(x) || x <= -1. || x >= 1.) { if (x == 1.) { return std::numeric_limits::infinity(); } if (x == -1.) { return -std::numeric_limits::infinity(); } return std::numeric_limits::quiet_NaN(); } double sign = (x > 0) - (x < 0); x = abs(x); if (x < 1e-7) { return sign * x / M_2_SQRTPI; } double ans; if (x <= 0.85) { double r = 0.180625 - 0.25 * x * x; ans = x * polEval(r, a) / polEval(r, b); } else { double r = std::sqrt(M_LN2 - log(1. - x)) - 1.6; if (r <= 3.4) { ans = polEval(r, c) / polEval(r, d); } else { r -= 3.4; ans = polEval(r, e) / polEval(r, f); } } return ans * sign; } }