Learning Probabilistic Graphical Models in R

Rejection sampling

Suppose we want to sample from a distribution that is not a simple one. Let's call this distribution p(x) and let's assume we can evaluate p(x) for any given value x, up to a normalizing constant Z, that is:

In this context, p(x) is too complex to sample from but we have another simpler distribution q(x) from which we can draw samples. Next, we assume there exists a constant k such that for all values of x. The function kq(x) is the comparison function as shown in the following figure:

The distribution p(x) has been generated with ...