Stand-alone Python implementation of Φ(x)

The function Φ(x) is the cumulative density function (CDF) of a standard normal (Gaussian) random variable. It is closely related to the error function erf(x).

import math

def phi(x):
    # constants
    a1 =  0.254829592
    a2 = -0.284496736
    a3 =  1.421413741
    a4 = -1.453152027
    a5 =  1.061405429
    p  =  0.3275911

    # Save the sign of x
    sign = 1
    if x < 0:
        sign = -1
    x = abs(x)/math.sqrt(2.0)

    # A&S formula 7.1.26
    t = 1.0/(1.0 + p*x)
    y = 1.0 - (((((a5*t + a4)*t) + a3)*t + a2)*t + a1)*t*math.exp(-x*x)

    return 0.5*(1.0 + sign*y)

A&S refers to Handbook of Mathematical Functions by Abramowitz and Stegun. See Stand-alone error function for details of the algorithm.

This code is in the public domain. Do whatever you want with it, no strings attached.

Other versions: C++, C#

Stand-alone numerical code

 

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