Function peroxide::statistics::rand::prs

pub fn prs<F>(
    f: F,
    n: usize,
    (a, b): (f64, f64),
    m: usize,
    eps: f64,
) -> Result<Vec<f64>>
where
    F: Fn(f64) -> f64 + Copy,

Piecewise Rejection Sampling

Arguments

• f - Function to sample (unnormalized function is allowed)
• n - Number of samples
• (a, b) - Range of sampling
• m - Number of pieces
• eps - Epsilon for max pooling

Examples

use peroxide::fuga::*;

fn main() -> Result<(), Box<dyn Error>> {
    let f = |x: f64| {
        if (0f64..=2f64).contains(&x) {
            -(x - 1f64).powi(2) + 1f64
        } else {
            0f64
        }
    };

    let samples = prs(f, 1000, (-1f64, 3f64), 200, 1e-4)?;
    samples.mean().print(); // near 1

    Ok(())
}