# REJECTION_SAMPLE Acceptance/rejection sampling

REJECTION_SAMPLE, a MATLAB library which demonstrates acceptance/rejection sampling.

We suppose that for A <= X <= B, we are given a probability density function PDF(X), and wish to randomly sample X. If it is not feasible to compute the cumulative density function CDF(X) and invert it to X(CDF), then acceptance/rejection sampling can provide an alternate way of carrying out the sampling.

Briefly, a comparison curve Z(X) must be determined, such that PDF(X) <= Z(X) for all A <= X <= B, and with the property that data can be uniformly sampled under the Z curve.

If that is the case, then we uniformly sample an X value under the Z curve. Then we pick an R value uniformly between 0 and Z(X). We accept X if R <= PDF(X); otherwise, we reject this X and prepare to generate and test another value.

### Languages:

REJECTION_SAMPLE is available in a Matlab version.

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### Source Code:

Last revised on 07 March 2019.