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Finish numerics for Gaussian distributions #1063

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axch opened this issue Sep 12, 2022 · 0 comments

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axch commented Sep 12, 2022

Find or implement erfinv (apparently CUDA has one but LLVM and libm do not) and plug it in for NormalDist quantile
Implement the derivatives of erf and erfc so that Gaussian CDF can be differentiated (the formulas are easy)
Implement a more numerically accurate approximation to the Gaussian CDF, e.g. with Cephes/TFP’s ndtr https://github.com/tensorflow/probability/blob/main/tensorflow_probability/python/internal/special_math.py

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ararslan mentioned this issue

Implement erfinv for Float32 and Float64 #1344

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