Rejection sampling a Beta(3,2) with the tightest box
Question
To simulate from , whose density is on , you draw points uniformly from the box and keep a point only if it falls under the graph of . Choose to minimise rejections. With this choice, what is the expected number of rejected points per accepted point?
Short answer
. The box must cover the density, so the best is . Each point is accepted with probability , so rejections before an acceptance are geometric with mean .
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- Random Variables and Probability Mass Functions
- Counting and Combinatorics
- Expectation, Mean, and Variance
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