chore: import upstream snapshot with attribution

books/PRML/PRML-master-Python/prml/sampling/rejection_sampling.py

@@ -0,0 +1,34 @@
+import random
+import numpy as np
+
+
+def rejection_sampling(func, rv, k, n):
+    """
+    perform rejection sampling n times
+
+    Parameters
+    ----------
+    func : callable
+        (un)normalized distribution to be sampled from
+    rv : RandomVariable
+        distribution to generate sample
+    k : float
+        constant to be multiplied with the distribution
+    n : int
+        number of samples to draw
+
+    Returns
+    -------
+    sample : (n, ndim) ndarray
+        generated sample
+    """
+    assert hasattr(rv, "draw"), "the distribution has no method to draw random samples"
+    sample = []
+    while len(sample) < n:
+        sample_candidate = rv.draw()
+        accept_proba = func(sample_candidate) / (k * rv.pdf(sample_candidate))
+        if random.random() < accept_proba:
+            sample.append(sample_candidate[0])
+    sample = np.asarray(sample)
+    assert sample.shape == (n, rv.ndim), sample.shape
+    return sample