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  1. Commons Math
  2. MATH-280

bug in inverseCumulativeProbability() for Normal Distribution

    Details

    • Type: Bug
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 1.2
    • Fix Version/s: 2.0
    • Labels:
      None
    • Environment:

      Java 1.5

      Description

      • @version $Revision: 617953 $ $Date: 2008-02-02 22:54:00 -0700 (Sat, 02 Feb 2008) $
        */
        public class NormalDistributionImpl extends AbstractContinuousDistribution
      • @version $Revision: 506600 $ $Date: 2007-02-12 12:35:59 -0700 (Mon, 12 Feb 2007) $
        */
        public abstract class AbstractContinuousDistribution

      This code:

      DistributionFactory factory = app.getDistributionFactory();
      NormalDistribution normal = factory.createNormalDistribution(0,1);
      double result = normal.inverseCumulativeProbability(0.9772498680518209);

      gives the exception below. It should return (approx) 2.0000...

      normal.inverseCumulativeProbability(0.977249868051820); works fine

      These also give errors:
      0.9986501019683698 (should return 3.0000...)
      0.9999683287581673 (should return 4.0000...)

      org.apache.commons.math.MathException: Number of iterations=1, maximum iterations=2,147,483,647, initial=1, lower bound=0, upper bound=179,769,313,486,231,570,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000, final a value=0, final b value=2, f(a)=-0.477, f(b)=0
      at org.apache.commons.math.distribution.AbstractContinuousDistribution.inverseCumulativeProbability(AbstractContinuousDistribution.java:103)
      at org.apache.commons.math.distribution.NormalDistributionImpl.inverseCumulativeProbability(NormalDistributionImpl.java:145)

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            • Assignee:
              luc Luc Maisonobe
              Reporter:
              murkle Michael Borcherds
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              Dates

              • Created:
                Updated:
                Resolved: