import {SQRT2, SQRT2PI} from './constants'; import {random} from './random'; let nextSample = NaN; export function sampleNormal(mean, stdev) { mean = mean || 0; stdev = stdev == null ? 1 : stdev; let x = 0, y = 0, rds, c; if (nextSample === nextSample) { x = nextSample; nextSample = NaN; } else { do { x = random() * 2 - 1; y = random() * 2 - 1; rds = x * x + y * y; } while (rds === 0 || rds > 1); c = Math.sqrt(-2 * Math.log(rds) / rds); // Box-Muller transform x *= c; nextSample = y * c; } return mean + x * stdev; } export function densityNormal(value, mean, stdev) { stdev = stdev == null ? 1 : stdev; const z = (value - (mean || 0)) / stdev; return Math.exp(-0.5 * z * z) / (stdev * SQRT2PI); } // Approximation from West (2009) // Better Approximations to Cumulative Normal Functions export function cumulativeNormal(value, mean, stdev) { mean = mean || 0; stdev = stdev == null ? 1 : stdev; let cd, z = (value - mean) / stdev, Z = Math.abs(z); if (Z > 37) { cd = 0; } else { let sum, exp = Math.exp(-Z * Z / 2); if (Z < 7.07106781186547) { sum = 3.52624965998911e-02 * Z + 0.700383064443688; sum = sum * Z + 6.37396220353165; sum = sum * Z + 33.912866078383; sum = sum * Z + 112.079291497871; sum = sum * Z + 221.213596169931; sum = sum * Z + 220.206867912376; cd = exp * sum; sum = 8.83883476483184e-02 * Z + 1.75566716318264; sum = sum * Z + 16.064177579207; sum = sum * Z + 86.7807322029461; sum = sum * Z + 296.564248779674; sum = sum * Z + 637.333633378831; sum = sum * Z + 793.826512519948; sum = sum * Z + 440.413735824752; cd = cd / sum; } else { sum = Z + 0.65; sum = Z + 4 / sum; sum = Z + 3 / sum; sum = Z + 2 / sum; sum = Z + 1 / sum; cd = exp / sum / 2.506628274631; } } return z > 0 ? 1 - cd : cd; } // Approximation of Probit function using inverse error function. export function quantileNormal(p, mean, stdev) { if (p < 0 || p > 1) return NaN; return (mean || 0) + (stdev == null ? 1 : stdev) * SQRT2 * erfinv(2 * p - 1); } // Approximate inverse error function. Implementation from "Approximating // the erfinv function" by Mike Giles, GPU Computing Gems, volume 2, 2010. // Ported from Apache Commons Math, http://www.apache.org/licenses/LICENSE-2.0 function erfinv(x) { // beware that the logarithm argument must be // commputed as (1.0 - x) * (1.0 + x), // it must NOT be simplified as 1.0 - x * x as this // would induce rounding errors near the boundaries +/-1 let w = - Math.log((1 - x) * (1 + x)), p; if (w < 6.25) { w -= 3.125; p = -3.6444120640178196996e-21; p = -1.685059138182016589e-19 + p * w; p = 1.2858480715256400167e-18 + p * w; p = 1.115787767802518096e-17 + p * w; p = -1.333171662854620906e-16 + p * w; p = 2.0972767875968561637e-17 + p * w; p = 6.6376381343583238325e-15 + p * w; p = -4.0545662729752068639e-14 + p * w; p = -8.1519341976054721522e-14 + p * w; p = 2.6335093153082322977e-12 + p * w; p = -1.2975133253453532498e-11 + p * w; p = -5.4154120542946279317e-11 + p * w; p = 1.051212273321532285e-09 + p * w; p = -4.1126339803469836976e-09 + p * w; p = -2.9070369957882005086e-08 + p * w; p = 4.2347877827932403518e-07 + p * w; p = -1.3654692000834678645e-06 + p * w; p = -1.3882523362786468719e-05 + p * w; p = 0.0001867342080340571352 + p * w; p = -0.00074070253416626697512 + p * w; p = -0.0060336708714301490533 + p * w; p = 0.24015818242558961693 + p * w; p = 1.6536545626831027356 + p * w; } else if (w < 16.0) { w = Math.sqrt(w) - 3.25; p = 2.2137376921775787049e-09; p = 9.0756561938885390979e-08 + p * w; p = -2.7517406297064545428e-07 + p * w; p = 1.8239629214389227755e-08 + p * w; p = 1.5027403968909827627e-06 + p * w; p = -4.013867526981545969e-06 + p * w; p = 2.9234449089955446044e-06 + p * w; p = 1.2475304481671778723e-05 + p * w; p = -4.7318229009055733981e-05 + p * w; p = 6.8284851459573175448e-05 + p * w; p = 2.4031110387097893999e-05 + p * w; p = -0.0003550375203628474796 + p * w; p = 0.00095328937973738049703 + p * w; p = -0.0016882755560235047313 + p * w; p = 0.0024914420961078508066 + p * w; p = -0.0037512085075692412107 + p * w; p = 0.005370914553590063617 + p * w; p = 1.0052589676941592334 + p * w; p = 3.0838856104922207635 + p * w; } else if (Number.isFinite(w)) { w = Math.sqrt(w) - 5.0; p = -2.7109920616438573243e-11; p = -2.5556418169965252055e-10 + p * w; p = 1.5076572693500548083e-09 + p * w; p = -3.7894654401267369937e-09 + p * w; p = 7.6157012080783393804e-09 + p * w; p = -1.4960026627149240478e-08 + p * w; p = 2.9147953450901080826e-08 + p * w; p = -6.7711997758452339498e-08 + p * w; p = 2.2900482228026654717e-07 + p * w; p = -9.9298272942317002539e-07 + p * w; p = 4.5260625972231537039e-06 + p * w; p = -1.9681778105531670567e-05 + p * w; p = 7.5995277030017761139e-05 + p * w; p = -0.00021503011930044477347 + p * w; p = -0.00013871931833623122026 + p * w; p = 1.0103004648645343977 + p * w; p = 4.8499064014085844221 + p * w; } else { p = Infinity; } return p * x; } export default function(mean, stdev) { var mu, sigma, dist = { mean: function(_) { if (arguments.length) { mu = _ || 0; return dist; } else { return mu; } }, stdev: function(_) { if (arguments.length) { sigma = _ == null ? 1 : _; return dist; } else { return sigma; } }, sample: () => sampleNormal(mu, sigma), pdf: value => densityNormal(value, mu, sigma), cdf: value => cumulativeNormal(value, mu, sigma), icdf: p => quantileNormal(p, mu, sigma) }; return dist.mean(mean).stdev(stdev); }