Machine Learning, Aritificial Intelligence, Data Science, Programming, Deep Learning.
The concept of rejection sampling is simple. Let’s explain it for cases when p(x) is easy to calculate but sample from p is hard first. We design an easy to sample distribution q. We sample from it and say, the sampled value is xᵢ. We accept xᵢ as a sample with probability p(x)/q(x). Intuitively,