Is there a C# library that will perform the Excel NORMINV function?

Question

I'm running some Monte Carlo simulations and making extensive use of the Excel function NORM.INV using Office Interrop. This functions takes three arguments (probability, average, standard deviation) and returns the inverse of the cumulative distribution.

I'd like to move my code into a web app, but that will require installing Excel on the server. Does anybody know of a C# statistics library that has an equivalent function to NORM.INV?

Answer 1

Meta.Numerics has exactly what you are looking for. Here is the code to do it using that library:

Distribution n = new NormalDistribution(mean, standardDeviation);
double x = n.InverseLeftProbability(probability);

If you are doing this in order to generate normal deviates, the GetRandomValue function is even faster.

Answer 2

I was also needing a C# implementation of NORMINV, the closest thing I found was a C++ implementation http://www.wilmott.com/messageview.cfm?catid=10&threadid=38771, so I made a quick and dirty translation to C#, the details here http://weblogs.asp.net/esanchez/archive/2010/07/29/a-quick-and-dirty-implementation-of-excel-norminv-function-in-c.aspx. I have made only a few basic tests so be careful if you decide to use it, anyway, hope it helps!