RE: [AMPL 3549] How to returns the inverse of the normal cumulative distribution.

[Robert Fourer]

Inverse normal distribution functions are not built into AMPL. They can be
added by use of the user-defined function feature of AMPL, which is
described in section 4 of Hooking Your Solver to AMPL
(www.ampl.com/REFS/hooking2.pdf). This requires writing and compiling an
appropriate C function, however, and involves a number of complications that
are best left to experienced programmers. As an example, see the function
at orfe.princeton.edu/~rvdb/ampl/nlmodels/funcadd.c (written by Professor
Robert Vanderbei).

Professor Michael Chen of York University has submitted to COIN-OR a project
that would make available to AMPL users pre-written user-defined functions
for many of the routines of the GNU Scientific Library, including various
probability distributions. (The purpose of COIN-OR, www.coin-or.org, is to
develop and distribute open-source software of value to operations research
and related disciplines; its activities are overseen by a non-profit
organization.) COIN-OR is currently looking for a volunteer to manage this
submission. If this sounds like something that would interest you, let me
know and I'll pass your name along.

Bob Fourer
4...@ampl.com

> -----Original Message-----
> From: am...@googlegroups.com [mailto:am...@googlegroups.com]
> On Behalf Of enhany75 [enha...@yahoo.com]
> Sent: Wednesday, March 31, 2010 5:01 PM
> To: AMPL Modeling Language
> Subject: [AMPL 3549] How to returns the inverse of the normal
> cumulative distribution.
>
> Hi,
>
> Is there any function in AMPL that returns the inverse of the normal
> cumulative distribution for the specified mean and standard deviation,
> or even for the standard normal case?
>
> Thanks
>

[enhany75]

I found an approximation, which probably I gonna use, proposed in this
paper.

Approximations to the Inverse Cumulative Normal Function for Use on
Hand Calculators
Journal of the Royal Statistical Society. Series C (Applied
Statistics), Vol. 28, No. 2
(1979), pp. 175-176

On Apr 6, 7:45 pm, "Robert Fourer" <4...@ampl.com> wrote:
> Inverse normal distribution functions are not built into AMPL.  They can be
> added by use of the user-defined function feature of AMPL, which is
> described in section 4 of Hooking Your Solver to AMPL
> (www.ampl.com/REFS/hooking2.pdf).  This requires writing and compiling an
> appropriate C function, however, and involves a number of complications that
> are best left to experienced programmers.  As an example, see the function
> at orfe.princeton.edu/~rvdb/ampl/nlmodels/funcadd.c (written by Professor
> Robert Vanderbei).
>
> Professor Michael Chen of York University has submitted to COIN-OR a project
> that would make available to AMPL users pre-written user-defined functions
> for many of the routines of the GNU Scientific Library, including various

> probability distributions.  (The purpose of COIN-OR,www.coin-or.org, is to