time-to-botec

Benchmark sampling in different programming languages
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quantile.js (2057B)

      1 /**
      2 * @license Apache-2.0
      3 *
      4 * Copyright (c) 2018 The Stdlib Authors.
      5 *
      6 * Licensed under the Apache License, Version 2.0 (the "License");
      7 * you may not use this file except in compliance with the License.
      8 * You may obtain a copy of the License at
      9 *
     10 *    http://www.apache.org/licenses/LICENSE-2.0
     11 *
     12 * Unless required by applicable law or agreed to in writing, software
     13 * distributed under the License is distributed on an "AS IS" BASIS,
     14 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
     15 * See the License for the specific language governing permissions and
     16 * limitations under the License.
     17 */
     18 
     19 'use strict';
     20 
     21 // MODULES //
     22 
     23 var erfinv = require( '@stdlib/math/base/special/erfinv' );
     24 var isnan = require( '@stdlib/math/base/assert/is-nan' );
     25 var sqrt = require( '@stdlib/math/base/special/sqrt' );
     26 
     27 
     28 // MAIN //
     29 
     30 /**
     31 * Evaluates the quantile function for a normal distribution with mean `mu` and standard deviation `sigma` at a probability `p`.
     32 *
     33 * @param {Probability} p - input value
     34 * @param {number} mu - mean
     35 * @param {NonNegativeNumber} sigma - standard deviation
     36 * @returns {number} evaluated quantile function
     37 *
     38 * @example
     39 * var y = quantile( 0.8, 0.0, 1.0 );
     40 * // returns ~0.842
     41 *
     42 * @example
     43 * var y = quantile( 0.5, 4.0, 2.0 );
     44 * // returns 4.0
     45 *
     46 * @example
     47 * var y = quantile( 1.1, 0.0, 1.0 );
     48 * // returns NaN
     49 *
     50 * @example
     51 * var y = quantile( -0.2, 0.0, 1.0 );
     52 * // returns NaN
     53 *
     54 * @example
     55 * var y = quantile( NaN, 0.0, 1.0 );
     56 * // returns NaN
     57 *
     58 * @example
     59 * var y = quantile( 0.0, NaN, 1.0 );
     60 * // returns NaN
     61 *
     62 * @example
     63 * var y = quantile( 0.0, 0.0, NaN );
     64 * // returns NaN
     65 *
     66 * @example
     67 * // Negative standard deviation:
     68 * var y = quantile( 0.5, 0.0, -1.0 );
     69 * // returns NaN
     70 */
     71 function quantile( p, mu, sigma ) {
     72 	var A;
     73 	var B;
     74 
     75 	if (
     76 		isnan( mu ) ||
     77 		isnan( sigma ) ||
     78 		isnan( p ) ||
     79 		sigma < 0.0 ||
     80 		p < 0.0 ||
     81 		p > 1.0
     82 	) {
     83 		return NaN;
     84 	}
     85 	if ( sigma === 0.0 ) {
     86 		return mu;
     87 	}
     88 	A = mu;
     89 	B = sigma * sqrt( 2.0 );
     90 	return A + (B * erfinv( (2.0*p) - 1.0 ));
     91 }
     92 
     93 
     94 // EXPORTS //
     95 
     96 module.exports = quantile;