Wednesday, May 30, 2012

Random Sampling from a Discrete Distribution

I can't recommend enough the article "Darts, Dice, and Coins: Sampling from a Discrete Distribution". It develops Vose Alias Algorithm step by step from a series of algorithms with increasing performance, proving the correctness of each algorithm along the way. I feel like I have a much better intuition about this awesome algorithm now, and the pictures and examples went a long way in helping along the way.

Good stuff.

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