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Simple Rejection Sampling

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Simple Rejection Sampling

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Return values sampled from a user defined distribution. Samples are not guaranteed IID.

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Description

SAMPLEDIST Sample from an arbitrary distribution
    sampleDist(f,M,N,b) retruns an array of size X of random values sampled from the distribution defined by the probability density function referred to by handle f, over the range b = [min, max]. M is the threshold value for the proposal distribution, such that f(x) < M for all x in b.
 
    sampleDist(...,true) also generates a histogram of the results with an overlay of the true pdf.
 
    Examples:
    %Sample from a step function over [0,1]:
    X = sampleDist(@(x)1.3*(x>=0&x<0.7)+0.3*(x>=0.7&x<=1),...
                   1.3,1e6,[0,1],true);
    %Sample from a normal distribution over [-5,5]:
    X = sampleDist(@(x) 1/sqrt(2*pi) *exp(-x.^2/2),...
                   1/sqrt(2*pi),1e6,[-5,5],true);

MATLAB release MATLAB 7.9 (R2009b)
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