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Finish numerics for Gaussian distributions

Open axch opened this issue 2 years ago • 0 comments

  • [ ] 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

axch avatar Sep 12 '22 17:09 axch