Importance Sampling

Module that contains function performing importance sampling.

monte.importance_sampling.importance(importance_sampler, importance_density, target_density, n)

Performs importance sampling from target_density distribution using importance distribution as proposal distribution.

Parameters:

• importance_sampler (callable) – Function that samples from our importance distribution. Should be a distribution that is easy to sample from.

• importance_density (callable) – Probability density/mass function of importance distribution.

• target_density (callable) – Probability density/mass function of the distribution we want to have samples from. Intended to be a distribution that is difficult to sample from.

• n (itn) – Number of samples to be sampled.

Returns:

Samples from our target_distribution that are obtained indirectly through importance sampling

Return type:

ndarray