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Port of scipy's inverse Standard Gaussian CDF (ndtri.c) in Pytorch (c. 6x performance with CUDA).

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PyTorch implementation of the percent point function (PPF) for a Gaussian distribution, i.e., inverse CDF of a Gaussian distribution.

The goal is to enable using the PPF function in CUDA to go back and forth from a Gaussian to a Uniform distribution.

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The function emulates the behavior of scipy.special.ndtri but on either GPU or CPU.Tested on Google Colab with a T100, process got a 6x improvement on GPU (performance is worse on CPU):

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Port of scipy's inverse Standard Gaussian CDF (ndtri.c) in Pytorch (c. 6x performance with CUDA).

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