Computing the Normal Distribution Function

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Every once in a while, I need to evaluate the normal distribution function $\Phi(x)$: $$ \Phi(x) = \frac{1}{\sqrt{2 \pi}} \int_{-\infty}^x \! e^{-\frac{1}{2}t^2} \, dt $$ Unfortunately, it is not always available in the standard math libraries, and hence I have to implement a “good-enough” version myself. Here are some options.

Read on /blog/2024/computing-the-normal-distribution-function/ ↗