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

c# excel statistics montecarlo
Portman picture Portman · May 25, 2010 · Viewed 10.7k times · Source

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

David Wright picture David Wright · Apr 13, 2011

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.

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