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Acceptance mass for an unnormalized rejection envelope (pacc​=C/M)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Monte Carlo method Rejection sampling
2026-10-14  0 By others on same topic  0 Discussions Create my own version
If f≥0, C=∫f∈(0,∞) and f(x)≤Mg(x) for a proposal probability density function g, accept a proposal Y when an independent uniform distribution value is at most f(Y)/(Mg(Y)). Integrating the joint acceptance probability density function gives pacc​=C/M and conditional accepted probability density function f/C. For n independent proposals the accepted count has binomial distribution with parameters n,C/M.

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  1. Rejection sampling
  2. Monte Carlo method
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  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 33 / 1 / a / ii / Solution

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