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A bounded target-to-proposal density ratio
Example
On with counting measure, let the target masses be and the proposal masses be . The density ratio is bounded by . Rejection sampling has acceptance probability , returns the target law, and has expected proposal count .
Facts & Assumptions
The sample space is the two-point set with counting measure. The listed target and proposal functions are nonnegative.
Counting measure on an arbitrary set, Counting measure is a measure, The integral of a nonnegative simple function, and The nonnegative integral agrees with the simple integral on simple functions: on this finite space, the integral of a nonnegative function is the sum of its two values.
Rejection sampling has the target acceptance law: normalized shapes with envelope constant have accepted density and acceptance probability .
Expected proposal count under a finite rejection envelope: for normalized target and proposal densities, the expected count is .
Rejection sampling: for normalized shapes, a proposal with is accepted when .
Verification
Given: The target and proposal masses in the Example, and the algorithm's ideal independent proposal-uniform draws.
By [F1], and . The ratios are and , so is a finite envelope and is the least such constant.
Applying [F2] gives the accepted masses and acceptance probability ; [F3] gives expected proposal count . The two-point calculation is exact: accepted submasses are at and at , totaling ; the factors follow from [F4], and dividing by gives .
Depends on
- Rejection sampling
- Counting measure on an arbitrary set
- The integral of a nonnegative simple function
- Counting measure is a measure
- The nonnegative integral agrees with the simple integral on simple functions
- Expected proposal count under a finite rejection envelope
- Rejection sampling has the target acceptance law
Used by
Nothing in the library uses this result yet.
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Sources
- Art B. Owen, Monte Carlo Theory, Methods and Examples, Chapter 4 §4.7 (standard reference, not scraped)
- Computational Statistics with R, Chapter 6 §6.1 (standard reference, not scraped)