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Rejection sampling
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Monte Carlo method
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Words: 52
Suppose
f
is a target probability density and
h
is a proposal density with
f
(
x
)
≤
M
h
(
x
)
. Draw
X
∼
h
and an independent
U
∼
Uniform
[
0
,
1
]
, and accept
X
when
U
≤
M
h
(
X
)
f
(
X
)
.
(229)
The accepted value has density
f
, the acceptance probability is
1/
M
, and the expected number of proposals is
M
.
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(5)
Monte Carlo method
Probability and statistics
Area of mathematics
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