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