Rejection Sampling

Creator
Creator
Seonglae ChoSeonglae Cho
Created
Created
2024 Oct 22 23:55
Editor
Edited
Edited
2025 Apr 29 2:6
Refs
Refs

Using proxy distribution to sample target distribution .

When we can calculate p values but it's difficult to sample from the entire p distribution
A technique that draws samples from a proposal distribution and determines the final sample based on evaluating the validity of these samples. Only assumption is that you know how to sample a density such that where is a known constant.
  1. Sample from q
  1. Sample
  1. If , accept else go back to 1 (
    Importance sampling
    like approach but only for criteria)
On average, iterations needed to obtain one point sampled from . is better to be smaller.
Because the acceptance probability is
on average you need iterations to obtain one accepted samples.
 
 
 
 

Recommendations