Imports System.Collections.Concurrent
Imports System.Threading

Public Class Form1
    Const TCOUNT As Integer = 100000

    Dim rBag As ConcurrentBag(Of Double)


    Private Sub Button1_Click(ByVal sender As Object, ByVal e As EventArgs) Handles Button1.Click
        rBag = New ConcurrentBag(Of Double)

        Dim swTimer As Stopwatch = Stopwatch.StartNew()

        For i = 1 To TCOUNT
            ThreadPool.QueueUserWorkItem(New WaitCallback(AddressOf DoWork), i)
        Next

        Do Until rBag.Count = TCOUNT
            Thread.Sleep(0)
        Loop

        swTimer.Stop()

        MessageBox.Show("Run time = " & swTimer.ElapsedMilliseconds.ToString & " miliseconds.")
    End Sub

    Private Sub DoWork(ByVal i As Integer)
        rBag.Add(NormalFunctions.StandardNormalInverse(0.00001 * (CInt(i) - 0.5)))
    End Sub

End Class


Public Class NormalFunctions
    Private Shared ReadOnly k As Double = 0.2316419
    Private Shared ReadOnly a() As Double = {0.31938153, -0.356563782, 1.781477937, -1.821255978, 1.330274429}

    Private Shared Function Density(x As Double) As Double
        Return Math.Pow(2 * Math.PI, -0.5) * Math.Exp(-0.5 * x * x)
    End Function

    Private Shared Function StandardNormal(x As Double) As Double
        Dim L As Double, q As Double, nx As Double, snd As Double, j As Integer, s As Double

        L = Math.Abs(x)
        q = 1 / (1 + k * L)
        nx = Density(L)
        'nx == f(abs(x))

        For j = 0 To 4
            s = s + a(j) * q ^ (j + 1)
        Next j

        snd = 1 - nx * s
        'SND = PHI(abs(x))

        If (x < 0) Then
            snd = 1 - snd
        End If
        'NOW SND = PHI(x)

        Return snd
    End Function

    Public Shared Function StandardNormalInverse(r As Double) As Double
        Dim Delta As Double, X As Double, Y As Double

        X = 0
        Delta = 1
        Do Until Delta <= 0.000000001
            Y = X - (StandardNormal(X) - r) / Density(X)
            Delta = Math.Abs(Y - X)
            X = Y
        Loop

        Return Y
    End Function


End Class