Science Done Right

Rejection Sampling

1 min read

Algorithm Rejection Sampling We want to sample from PDF , but this is difficult to do. Suppose we have proposed PDF , then we can:

  1. Generate from
  2. Accept with probability Or equivalently,
  3. Generate from
  4. Generate from
  5. Accept if where we require for all . For efficiency, we can let . rejSamp|500

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