c/c++/c# 快速計算 Cumulative Normal Distribution 正態累積函數CDF

時間 2019-11-10

標籤 c++ c# 快速計算 cumulative normal distribution 累積函數 cdf 欄目 C&C++ 简体版

原文原文鏈接

連接:
http://stackoverflow.com/questions/2328258/cumulative-normal-distribution-function-in-c-c
http://www.johndcook.com/blog/cpp_phi/markdown

我的使用的是以下的代碼:函數

static double CND(double d)
{
    const double       A1 = 0.31938153;
    const double       A2 = -0.356563782;
    const double       A3 = 1.781477937;
    const double       A4 = -1.821255978;
    const double       A5 = 1.330274429;
    const double RSQRT2PI = 0.39894228040143267793994605993438;

    double
    K = 1.0 / (1.0 + 0.2316419 * fabs(d));

    double
    cnd = RSQRT2PI * exp(- 0.5 * d * d) *
          (K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));

    if (d > 0)
        cnd = 1.0 - cnd;

    return cnd;
}