Rejection Sampling

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A Rejection Sampling is a mathematical technique to generation observations from a distribution.



References

2017

  • (Wikipedia, 2017) ⇒ https://en.wikipedia.org/wiki/rejection_sampling Retrieved:2017-2-7.
    • In mathematics, rejection sampling is a basic technique used to generate observations from a distribution. It is also commonly called the acceptance-rejection method or "accept-reject algorithm" and is a type of Monte Carlo method. The method works for any distribution in [math]\displaystyle{ \mathbb{R}^m }[/math] with a density.

      Rejection sampling is based on the observation that to sample a random variable one can perform a uniformly random sampling of the 2D cartesian graph, and keep the samples in the region under the graph of its density function. Note that this property can be extended to N-dimension functions.


2017