Converting a Uniform Distribution to a Normal Distribution

If X is normal with mean 0 and standard deviation sigma, it must hold

P = Prob[ -a <= X <= a ] = Prob[ -a/sigma <= N <= a/sigma ]
  = 2 Prob[ 0 <= N <= a/sigma ]
  = 2 ( Prob[ N <= a/sigma ] - 1/2 )

where N is normal with mean 0 and standard deviation 1. Hence

P/2 + 1/2 = Prob[ N <= a/sigma ] = Phi(a/sigma)

Where Phi is the cumulative distribution function (cdf) of a normal variable with mean 0 and stddev 1. Now we need the inverse normal cdf (or the "percent point function"), which in Python is scipy.stats.norm.ppf(). Sample code:

from scipy.stats import norm
P = 0.3456
a = 3.0

a_sigma = float(norm.ppf(P/2 + 0.5))   # a/sigma
sigma = a/a_sigma   # Here is the standard deviation

For example, we know that the probability of a N(0,1) variable falling int the interval [-1.1] is ~ 0.682 (the dark blue area in this figure). If you set P = 0.682 and a = 1.0 you obtain sigma ~ 1.0, which is indeed the standard deviation.

Here's a summary of Dimitris Andreou's link.

Remember sum of i-th powers, where i=1,2,..,k. This reduces the problem to solving the system of equations

a₁ + a₂ + ... + a_k = b₁

a₁² + a₂² + ... + a_k² = b₂

...

a₁^k + a₂^k + ... + a_k^k = b_k

Using Newton's identities, knowing b_i allows to compute

c₁ = a₁ + a₂ + ... a_k

c₂ = a₁a₂ + a₁a₃ + ... + a_k-1a_k

...

c_k = a₁a₂ ... a_k

If you expand the polynomial (x-a₁)...(x-a_k) the coefficients will be exactly c₁, ..., c_k - see Viète's formulas. Since every polynomial factors uniquely (ring of polynomials is an Euclidean domain), this means a_i are uniquely determined, up to permutation.

This ends a proof that remembering powers is enough to recover the numbers. For constant k, this is a good approach.

However, when k is varying, the direct approach of computing c₁,...,c_k is prohibitely expensive, since e.g. c_k is the product of all missing numbers, magnitude n!/(n-k)!. To overcome this, perform computations in Z_q field, where q is a prime such that n <= q < 2n - it exists by Bertrand's postulate. The proof doesn't need to be changed, since the formulas still hold, and factorization of polynomials is still unique. You also need an algorithm for factorization over finite fields, for example the one by Berlekamp or Cantor-Zassenhaus.

High level pseudocode for constant k:

• Compute i-th powers of given numbers
• Subtract to get sums of i-th powers of unknown numbers. Call the sums b_i.
• Use Newton's identities to compute coefficients from b_i; call them c_i. Basically, c₁ = b₁; c₂ = (c₁b₁ - b₂)/2; see Wikipedia for exact formulas
• Factor the polynomial x^k-c₁x^k-1 + ... + c_k.
• The roots of the polynomial are the needed numbers a₁, ..., a_k.

For varying k, find a prime n <= q < 2n using e.g. Miller-Rabin, and perform the steps with all numbers reduced modulo q.

EDIT: The previous version of this answer stated that instead of Z_q, where q is prime, it is possible to use a finite field of characteristic 2 (q=2^(log n)). This is not the case, since Newton's formulas require division by numbers up to k.