walker_sample


walker_sample, a MATLAB code which efficiently samples a discrete probability vector.

For outcomes labeled 1, 2, 3, ..., N, a discrete probability vector X is an array of N non-negative values which sum to 1, such that X[i] is the probability of outcome i.

To sample the probability vector is to produce a sequence of outcomes i1, i2, i3, ..., which are each drawn with probability corresponding to X. For a general discrete probability vector X, a single sample operation might be expected to take a time that is proportional to O(N), the number of outcomes. Walker showed that, by constructing a new data structure, it was possible to carry out a sample in time of order O(1), that is, independent of the number of possible outcomes.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

walker_sample is available in a C version and a C++ version and a FORTRAN90 version and a Matlab version and a Python version.

Related Data and Programs:

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histogram_pdf_sample, a MATLAB code which demonstrates how sampling can be done by starting with the formula for a PDF, creating a histogram, constructing a histogram for the CDF, and then sampling.

histogram_pdf_2d_sample, a MATLAB code which demonstrates how uniform sampling of a 2D region with respect to some known Probability Density Function (PDF) can be approximated by decomposing the region into rectangles, approximating the PDF by a piecewise constant function, constructing a histogram for the CDF, and then sampling.

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rejection_sample, a MATLAB code which demonstrates acceptance/rejection sampling.

walker_sample_test

Reference:

  1. Donald Knuth,
    Seminumerical algorithms,
    Addison-Wesley-Longman, 1999.
  2. Warren Smith,
    How to sample from a probability distribution,
    April 18, 2002.
  3. Alastair Walker,
    An efficient method for generating discrete random variables with general distributions,
    ACM Transactions on Mathematical Software,
    Volume 3, Number 3, September 1977, pages 253-256.

Source Code:


Last revised on 21 June 2021.