normal_ode


normal_ode, an Octave code which describes an ordinary differential equation (ODE) for the normal probability density function (PDF).

The normal probability density function (PDF) can be written as

        y(t) = 1/sqrt(2 pi) e^(-t^2/2)
      
The derivative of the normal PDF is
        y'(t) = -t/sqrt(2 pi) e^(-t^2/2) = - t * y(t)
      

Thus, along with an initial condition, an ODE for the normal PDF can be written either as:

        y'(t) = -t/sqrt(2 pi) e^(-t^2/2)
      
or
        y'(t) = -t * y(t)
      
While both of these ODE's have the same solution, an ODE solver will generally have more difficulty solving the second version.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

normal_ode is available in a MATLAB version and an Octave version.

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Source Code:


Last revised on 12 October 2020.