Add ICDF function to laplace distribution

Adds ICDF (quantile) function for the laplace distribution. Source https://en.wikipedia.org/wiki/Laplace_distribution

Issue #6612

Author: james-2001

pymc/distributions/continuous.py

@@ -1489,6 +1489,19 @@ def logcdf(value, mu, b):
             msg="b > 0",
         )
 
+    def icdf(value, mu, b):
+        res = pt.switch(
+            pt.le(value, 0.5),
+            mu + b * np.log(2 * value),
+            mu - b * np.log(2 - 2 * value)
+        )
+        res = check_icdf_value(res, value)
+        return check_icdf_parameters(
+            res,
+            b > 0,
+            msg="b > 0"
+        )
+
 
 class AsymmetricLaplaceRV(RandomVariable):
     name = "asymmetriclaplace"

tests/distributions/test_continuous.py

@@ -466,6 +466,11 @@ def test_laplace(self):
             {"mu": R, "b": Rplus},
             lambda value, mu, b: st.laplace.logcdf(value, mu, b),
         )
+        check_icdf(
+            pm.Laplace,
+            {"mu": R, "b": Rplus},
+            lambda q, mu, b: st.laplace.ppf(q, mu, b)
+        )
 
     def test_laplace_asymmetric(self):
         check_logp(