Double precision rational approximation algorithm for the inverse standard normal second order loss function

Steven K. De Schrijver, El-Houssaine Aghezzaf and Hendrik Vanmaele

Applied Mathematics and Computation, 2014, vol. 232, issue C, 247-253

Abstract: We present a double precision algorithm based upon rational approximations for the inverse standard normal second order loss function. This function is used frequently in inventory management. No direct approximation or closed formulation exists for the inverse standard normal second order loss function. Calculations are currently based on root-finding methods and intermediate computations of the cumulative normal distribution or tabulations. Results then depend on the accuracy and valid range of that underlying function. We deal with these issues and present a direct, double precision accurate algorithm valid in the full range of double precision floating point numbers.

Keywords: Normal distribution; Repeated integrals; Normal integral; Inventory system; Rational approximation; Loss function (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:232:y:2014:i:c:p:247-253

DOI: 10.1016/j.amc.2013.12.192

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