/**
* Generic means to compute inverse cumulative probability values. This method uses the bisection
* method to find inverse CDF values.
*
* @param p the cumulative probability.
* @param lower the global lower bound of the inverse CDF value.
* @param initial an initial guess at the inverse CDF value.
* @param upper the global upper bound of the inverse CDF value.
* @return x such that P(X < x) = p
* @throws NumericException if the inverse cumulative probability can not be computed.
*/
protected double findInverseCumulativeProbability(
final double p, double lower, double initial, double upper) throws NumericException {
Function f =
new Function() {
public double evaluate(double x) throws NumericException {
return cumulativeProbability(x) - p;
}
};
Bracket b = new Bracket(f);
double[] bracket = b.bracketOut(lower, initial, upper);
BisectionRootFinder bisection = new BisectionRootFinder(f);
return bisection.findRoot(bracket[0], bracket[1]);
}