TRUNCATED_NORMAL_RULE Quadrature Rule for Truncated Normal Distribution

TRUNCATED_NORMAL_RULE, a MATLAB program which computes a quadrature rule for a normal probability density function (PDF), sometimes called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Languages:

TRUNCATED_NORMAL_RULE is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs:

ALPERT_RULE, a MATLAB library which can set up an Alpert quadrature rule for functions which are regular, log(x) singular, or 1/sqrt(x) singular.

CHEBYSHEV1_RULE, a MATLAB program which can compute and print a Gauss-Chebyshev type 1 quadrature rule.

CHEBYSHEV2_RULE, a MATLAB program which can compute and print a Gauss-Chebyshev type 2 quadrature rule.

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LEGENDRE_RULE, a MATLAB program which can compute and print a Gauss-Legendre quadrature rule.

PATTERSON_RULE, a MATLAB program which computes a Gauss-Patterson quadrature rule.

TRUNCATED_NORMAL, a MATLAB library which works with the truncated normal distribution over [A,B], or [A,+oo) or (-oo,B], returning the probability density function (PDF), the cumulative density function (CDF), the inverse CDF, the mean, the variance, and sample values.

TRUNCATED_NORMAL_SPARSE_GRID, a MATLAB program which computes a sparse grid based on a normal probability density function (PDF), also called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Reference:

1. Gene Golub, John Welsch,