fix infinite loop of Newton's method #666
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quantile_newton and cquantile_newton find a quantile of a distribution using Newton's method. However, their convergence will never be satisfied when the initial point and the mode are the same. For example, quantile_newton(Normal(0, 1), 0.5) will result in an infinite loop. This patch fixes the problem by relaxing the convergence criterion.
LebedevRI
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Sep 12, 2024
This is what the `quantile_newton()`/`cquantile_newton()` does, because otherwise they were able to end up in an endless loops, when the initial point and the mode are the same, see JuliaStats#666. I'm not sure this is needed here, but the next change is going to refactor them to use general `newton()`, which would make this change anyway, so unless we need the current behaviour, let's do this change explicitly.
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quantile_newton and cquantile_newton find a quantile of a distribution
using Newton's method. However, their convergence will never be
satisfied when the initial point and the mode are the same. For example,
quantile_newton(Normal(0, 1), 0.5) will result in an infinite loop. This
patch fixes the problem by relaxing the convergence criterion.
This must be merged before #665.