rejection sampling

Rejection sampling from the (pseudo) pdf f in the interval between x_min and x_max. Returns n samples. Note that values of f below 0 are capped to zero

Usage

rej_samp(f, x_min, x_max, n = 1L, f_max = 1, max_try = 10^4)

Arguments

f

function. (pseudo) pdf from which the sample is drawn

x_min

scalar. lower limit of the examined interval

x_max

scalar. upper limit of the examined interval

n

integer. number of samples drawn

f_max

maximum value of f in the interval from x_min to x_max. If f attains values larger than f_max a warning is throw, f_max is adjusted, and sampling is started again

max_try

maximum number of tries in the rejection sampling algorithm. If more tries are needed, an error is thrown. If this is the case, inspect of your function f is well-defined and positive, and if f_max provides a reasonable upper bound on it. Adjust max_try if you are certain that both is the case, e.g. if f is highly irregular.

Value

numeric vector, sample of size n drawn from the (pseudo) pdf specified by f

See also

p3_var_rate() for the derived variable rate Poisson point process implementation.

Examples

f = sin
x = rej_samp(f, 0, 3*pi, n = 100)
hist(x) # note that no samples are drawn where sin is negative