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Simple Rejection Sampling

version 1.0.0.0 (1.68 KB) by Dmitry Savransky
Return values sampled from a user defined distribution. Samples are not guaranteed IID.

1.3K Downloads

Updated 12 May 2010

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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);

Cite As

Dmitry Savransky (2021). Simple Rejection Sampling (https://www.mathworks.com/matlabcentral/fileexchange/27590-simple-rejection-sampling), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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