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Uniform-envelope rejection sampling for a beta distribution (r(x)=xa−1(1−x)b−1,a,b≥1)

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
For a,b>1, the maximum of r on [0,1] occurs at (a−1)/(a+b−2). If one parameter is one, the maximum is attained at the corresponding endpoint; if both are one, r is constant. Let M=supr. Accept an independent uniform distribution proposal X when another uniform draw is at most r(X)/M. The accepted probability density function is the beta distribution, and acceptance probability is B(a,b)/M.

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  • Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 40 / 3 / iii / Solution

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