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# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import numpy as np
# Calculate {1 \over { \sqrt{2 \pi}}} \int_{\infty}^d e^{-x^2/2} dx
class NormalCumulativeDistribution :
# constructor
def __init__(self) :
return None
# calculate the value function
# p_x point where the function is evaluated
# return function value
def operator(self, p_x) :
p = 0.2316419
b1 = 0.319381530
b2 = -0.356563782
b3 = 1.781477937
b4 = -1.821255978
b5 = 1.330274429
if p_x > 0. :
t = 1. / (1. + p * p_x)
return 1. - np.exp(-p_x * p_x / 2.) * t * (b1 + t * (b2 + t * (b3 + t * (b4 + t * b5)))) / (np.sqrt(2. * np.pi))
elif p_x < 0. :
t = 1. / (1. - p * p_x)
return np.exp(-p_x * p_x / 2.) * t * (b1 + t * (b2 + t * (b3 + t * (b4 + t * b5)))) / (np.sqrt(2. * np.pi))
else :
return 0.5
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