Rejection sampling

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Rejection sampling is an important concept in MC simulation.

Here is an example to illustrate the idea.

The details refer to the link below.

http://en.wikipedia.org/wiki/Rejection_sampling

****reject sampling ****;
%let target_dist_pdf=pdf('normal',x);
%let sample_dist_pdf=pdf('CAUCHY',x);
%let m=sqrt(2*constant('pi')/CONSTANT('E'));
;
data t1;
  CALL STREAMINIT(123);

  do i=1 to 10000;
    u=rand('unif');
    x=rand('cauchy');
    if u <=&target_dist_pdf/(&m*&sample_dist_pdf) then flag=1;
    else flag=0;

    output;
  end;
  run;

  proc print data=t1(obs=10);
  run;

  proc freq data=t1;
  table flag;
  run;

  proc univariate data=t1;
  var x;
  histogram x/normal;
  where flag=1;
  run;

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关键词：rejection Sampling Reject AMPL amp important details example normal