We present a double precision algorithm based upon rational approximations for the
inverse standard normal first order loss function. This function is used frequently in inventory
management. No direct approximation or closed formulation exists for the inverse
standard normal first order loss function. Calculations are currently based on root-finding
methods and intermediate computations of the cumulative normal distribution or tabulations.
Results then depend on the accuracy and valid range of that underlying function. We
deal with these issues and present a direct, double precision accurate algorithm valid in the
full range of double precision floating point numbers.
20