Questions tagged [sampling]
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60
questions
1
vote
1answer
86 views
Sampling i.i.d. variables with restrictions
General Problem: Suppose $X_1,\ldots,X_n \sim \mathbb{P}_X^{\otimes n}$ is a finite sequence of i.i.d. (real- or integer-valued) random variables. Suppose $A\subseteq \mathbb{R}^n$ is a set of "...
3
votes
0answers
162 views
Probability that a random multigraph is simple
Question.
Consider a given sequence of $n$ integers $d_1$, $d_2$, $\cdots$, $d_n$ with $\sum_i d_i$ even and $d_i\le n$ for all $i$. One may sample a random multi-graph having this degree sequence ...
0
votes
0answers
20 views
Algorithm for sampling stratification-constrained permutations
Let $\mathcal{X}$ be some base space, and let $\mathbf{S} =S_1, \ldots, S_N$ be a cover (not a partition, i.e. they can overlap) of $\mathcal{X}$. I will refer to the $S_i$ as strata, and to the cover ...
1
vote
1answer
70 views
Interior point of a convex polytope
Suppose the convex polytope is the set of feasible solutions $\mathbf{x}\in\mathbb{R}^n$ for the linear system $\mathbf{A}\mathbf{x}=\mathbf{b}\,,\; \mathbf{A}\in\mathbb{R}^{m\times n}$ subject to ...
0
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0answers
28 views
Keeping track of the variance of a Metropolis-Hastings estimator
Let $(E,\mathcal E,\lambda)$ and $(E',\mathcal E',\lambda')$ be measure spaces, $p,q$ be probability densities on $(E,\mathcal E,\lambda)$, and $\varphi:E'\to E$ be bijective and $(\mathcal E',\...
0
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0answers
28 views
Condition on the point cloud matrix making the points “generic” in the uniform sense
For a matrix $X\in\mathbb{R}^{d\times n}$, what condition can I impose on $X$ to make the collection of its columns generic in the sense that they look like the result of uniformly sampling a convex ...
0
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0answers
35 views
Yates-Grundy draw-by-draw sampling inclusion probabilities
Is there an efficient algorithm to calculate the inclusion probabilities (the probability that an item will be included in a sample) in the Yates-Grundy draw-by-draw sampling?
Sampling description: ...
3
votes
2answers
201 views
Invariant measure vs Riemannian measure on Stiefel manifold
I'm interested in sampling uniformly from the Stiefel manifold $V(k, n)$, but while researching how to do this I came to wonder the following.
In Edelman et al. [1] there are presented two ...
0
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0answers
75 views
Minimizing weighted variance subject to constraints
Let $X$ be a random variable that is uniformly distributed on the
set $\Theta\equiv\left\{ 0,\frac{1}{n},\frac{2}{n},...,\frac{n-1}{n},1\right\} $ for some large $n$.
Suppose that the set $\Theta$ is ...
1
vote
1answer
115 views
Random optimization problem
Let $V$ be a set of $n$-dimensional vectors such that, for each ${\bf v}\in V$ and for each index $i\in [n-1]$, we have $0\le v_{i+1}\le v_i$. Let $P(\cdot)$ be a discrete probability distribution ...
5
votes
1answer
108 views
What is the pdf of Laplace distribution conditioned on a plane? How can I sample from it?
Our goal is to sample from the Laplace distribution conditioned on a linear subspace. Here are the details of this problem.
Let
$$p(x) \propto \exp(-\|x\|_1/\sigma)$$
be the pdf of the Laplace ...
-2
votes
1answer
44 views
Using common samples to numerically estimate pairwise equality of three random variables
Let $X,Y,Z$ be three discrete random variables which I can numerically sample. I need to numerically estimate the probability that $X=Y$ and the probability that $X=Z$. I would like to know whether ...
2
votes
0answers
104 views
Can computers take uniform samples from a polytope?
For each $r \in \mathbb N $ write $\mathbb Z/ 10^r = \{a/10^r: a \in \mathbb Z\}$ and $P(r)$ for the lattice $(\mathbb Z/10^r)^N \subset \mathbb R^N$.
Suppose the plane $P \subset \mathbb R^N$ is ...
0
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2answers
166 views
Use Importance sampling for multimodal and multivariate distribution draws, how to choose proposal distribution?
I'm in trouble trying to generate samples following a particular distribution which is not numerically known perfectly. Let us consider a $R^n$ space provided with an orthonormal base $( e_{1},...,e_{...
2
votes
2answers
85 views
Draw samples from distribitions in the neighborhood of a fixed distribution
Disclaimer
Sorry in advance for vagueness. I'm still trying to get my ideas right on this one.
Setup
So, let $P$ be a distribution on a Euclidean space $X$ with an $\ell_p$ metric, and let $P_\...
8
votes
1answer
264 views
Expectation inequality for sampling without replacement
Is the following proposition correct?
$X_1, X_2, X_3$ are uniformly at random sampled from a finite set $\mathcal X$ without replacement.
$f : \mathcal X^2 \rightarrow \mathbb R_{\ge0}$ is symmetric:...
4
votes
1answer
334 views
Minimize the variance of a Boltzmann distribution
N.B.: Sorry for cross-posting from https://stats.stackexchange.com/posts/347804/edit (I realized it was the wrong venue for the question, but couldn't find an easy way to transfer the question here).
...
1
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1answer
216 views
Uniform sampling of random connected graph with given number of vertices/edges
I am looking for algorithms for the exact uniform sampling of connected labelled graphs with $n$ vertices and $m$ edges. By "exact" I mean that every such graph should be generated with precisely (not ...
2
votes
1answer
63 views
Sampling with non-uniform probabilities
Let $p_1,p_2,...,p_n$ are given probabilities. ($\sum_{i=1}^n p_i =1, p_i \geq 0 $). Is there any distribution, which picks $k\leq n$ distinct elements from $1,2,...,n$ such that $P(i \in S) = k p_i$ ...
1
vote
1answer
108 views
Plancharel-Pólya inequality for functions of exponential type
If $f(z)$ is an entire function of exponential type $\tau$ and $p$ a positive number such that that $$\int_{-\infty}^{+\infty}|f(x)|^pdx<\infty$$
then it can be proven that $$\int_{-\infty}^{+\...
4
votes
1answer
241 views
Combinatorial computational problem about 0-1 vectors and sampling algorithms
Let $M \in \{0,1\}^{m\times n}$, where $n\gg 1$ and $m\le n$. A procedure consisting of the following three steps is repeated $t\gg 1$ times:
A row $\require{amsmath} \boldsymbol{r}$ of $M$ picked in ...
1
vote
1answer
117 views
Sampling set: relatively dense and uniformly discrete
The Paley-Wiener space of a domain $\Omega\subset\mathbb{R}^d$ is the set $$PW_\Omega:=\{f\in L^2(\mathbb{R}^d):\text{supp}\widehat{f}\subset\Omega\}.$$
We say that a discrete set $\Lambda\subset\...
6
votes
1answer
485 views
Randomly covering a sphere
Let $S$ be the $n$-dimensional unit sphere in the Euclidean space. Further,
let $X_1,\ldots,X_k$ and $Y_1,\ldots,Y_m$ be iid $S$-valued random variables with common (unknown) distribution $\mu$. With $...
4
votes
1answer
739 views
How to measure distribution of high-dimensional data
I have to methods of projecting random samples in $\mathbb{R}^n$ onto a manifold defined by $C(q)=0$, which is a lower-dimensional subset. Now, samples in $\mathbb{R}^n$ are uniformly distributed. ...
1
vote
0answers
40 views
RMHMC sampling in non-parametric setup
The aim is to sample distributions using Fisher information (as mass matrix in Hamiltonian MCMC sampling). Details can be found in http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.190.580&...
0
votes
0answers
129 views
Expected value of parametrized Gibbs distribution w.r.t another probability distribution
Let $\mu$ be a compactly supported probability measure on a finite-dimensional euclidean space (for simplicity) $\mathbb E$, and suppose $\mu$ has density. For a random point $x \sim \mu$,
consider ...
1
vote
1answer
172 views
How to sample a path between 2 states in a Markov chain
Given an ergodic Markov chain and 2 states $x$ and $y$, how may one algorithmically sample a path (of finite length) $x =: s_0 \rightarrow s_1 \rightarrow \ldots \rightarrow s_T = y$ between $x$ and $...
1
vote
1answer
99 views
Bounding function by random sampling
Let $f(x): \mathbf{C} \to \mathbf{C}$ be a complex valued polynomial of degree $n$, and suppose that for a random point $z$ sampled uniformly from the unit disk $|z|\leq 1$ we have
$$\mathbf{P}_{z}( |...
0
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1answer
122 views
Efficiently Sampling of Multivariate Distributions in the Vicinity of a Manifold
I am given a multivariate distribution, that maps each point of $\mathbb{R}^n$ to its probability of being drawn as sample and, the convolution $\mathcal{S_r}\times\mathcal{M}$ of a manifold $\mathcal{...
3
votes
1answer
610 views
Sampling from a particular multivariate probability distribution
Given $3$ real variables $x_1, x_2, x_3 \equiv \bf{x}$, consider their probability density function (PDF)
\begin{equation}
P({\bf x}) = C \, p(x_1) \cdots p(x_3) \exp[f({\bf x})],
\end{equation}
where ...
1
vote
0answers
57 views
2-step sampling from a conditional density
The setting is as follows:
We are given two random variables $X : \Omega \to \mathbb{R}$ and $\Theta : \Omega \to T$ for some 'parameter space' $T \subset \mathbb{R}$, and
1) we know the density of $...
3
votes
2answers
219 views
Sampling Theorem for non-bandlimited Functions
The classical Shannon sampling theorem states that
a bandlimited function with $\mbox{supp } \hat f\subset [-1/2,1/2]$ can be uniquely determined by its samples $(f(i))_{i\in \mathbb{Z}}$ (The symbol $...
1
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0answers
62 views
Simulate a graph from a certain distribution
I am wondering if anyone can indicate whether the following is a solved problem. I don't care about time of the algorithm currently.
Consider a general probability distribution F on simple graphs ...
6
votes
1answer
148 views
Sample integer points of cross-polytope uniformly
For $r,d\in\mathbb{N}$, let
$$C_{r,d}=\{x\in\mathbb{Z}^d: \|x\|_1\le r\}\subset\mathbb{Z}^d$$
be the set of integer points of the $d$-dimensional cross-polytope with radius $r$.
What is (...
0
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0answers
44 views
Efficient sampling from a polytope with large number of contraints [duplicate]
As far as I know, the most popular way to sample from a polytope (in H-representation)
\begin{equation}
\mathcal{P} := \{z \in \mathbb{R}^n | (Az)_j \le b_j\; \forall j=1,2,\ldots,m\}
\end{equation}
...
8
votes
4answers
226 views
Uniform Sampling Subject to Linear Equalities and Non-Negativity Constraint
I'm trying to sample uniformly on the intersections of faces of several simplicies, with all coordinates being non-negative. That is, given constraints
$$A\vec{w}=\vec{b} \ \ and \ \ \vec{w} \geq \vec{...
3
votes
1answer
701 views
Sampling point uniformly at random satisfying equality constraints
First of all, I apologize in advance if the question has already been asked in some way on this site and/or if there is a widely known solution to this problem.
The description of my problem is ...
2
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0answers
147 views
Probabilities involving Beurling density
I am interested in calculating probabilities involving Beurling densities. Since it's likely probabilists are not familiar with the definitions, I give them below.
Definitions.
A metric space is ...
2
votes
1answer
82 views
Estimating mean and variance of a distribution based on error-prone estimates of its cdf
Suppose I have some random variable $X$ taking values in $[a, b]$ with unknown distribution (I am happy to assume the distribution is smooth, though it would be nice to not have to).
I have a ...
5
votes
1answer
194 views
Exactly sampling from a distribution with access to the probabilities only
There is a discrete distribution where integers, $k$, from $1$ to $n$ occur with probability $p_{k}$, all $p_{k}$ are unknown.
Rather than having access to the distribution we have access to $n$ ...
0
votes
1answer
153 views
Monte Carlo estimator with autocorrelated samples
Given an integration problem $I=\int{f(x)dx}$, we can construct an ordinary Monte Carlo estimator as
$E[I]=\sum\limits_i\frac{f(x_i)}{p(x_i)}$
where the samples $x_i$ are usually i.i.d. and drawn ...
3
votes
2answers
2k views
Approximating Probability Distribution by Sampling
Consider a discrete probability distribution over $n$ events. Assume that the probabilistic kernel is a black box, that is, we can only sample from it without knowing anything about the type or ...
6
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0answers
206 views
Sampling from a Convex Body with Many Extremal Points
Let $p_{1}, \ldots, p_{N}$ be a collection of points in $\mathbb{R}^{n}$. I would like to sample uniformly from the convex hull of these $N$ points in an `efficienct' way. In my setting, I have $n$ ...
1
vote
2answers
181 views
Sampling uniformly from all possible line segments of a given length that fit inside a container
Consider that task of randomly placing a line segment of some length $L$ near a plane s.t. a point $p$ at the center of the line segment is at most a distance $H$ from the plane and intersections ...
1
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0answers
74 views
Stochastic process inference from partial observations
Consider a set $U$. My signal is a piece-wise constant "function"
$Sig: t \mapsto s$, i.e. the signal at time $t$ equals to some subset
$s \subset U$. One can see $Sig(t)$ as a stochastic process.
...
1
vote
1answer
419 views
Discretizing a cosine function?
I'd like to start by noting that for some fixed natural $N$ basis functions for my system will be generated by $f(k,x)$ as defined and explained here or in numerous other sources:
$$f(k,x) = \sqrt2 \...
1
vote
3answers
299 views
A sampling and learning question
Suppose there is an oracle that returns a number $b \in \mathbb{Z}_{n}$ whenever I press the button.
We have $b = a + e$, where $a \in \mathbb{Z}_n$ is a fixed number and $e$ is sampled according to ...
0
votes
1answer
559 views
transform a polynomial into another one upto a constant
I have a polynomial $p(x)=a_Nx^N+a_{N-1}x^{N-1}+\dots+a_0$. I want to convert this into another polynomial of same order, say $b_Ny^N+b_{N-1}y^{N-1}+\dots+b_0$. Is it possible to find a transformation ...
3
votes
2answers
1k views
Sampling without replacement until hitting a subset
I randomly sample uniformly from $ \{1,..,N \}$ without replacement until drawing a number $ \leq k$. Denote the expected number of draws by $R(N,k)$. I want a good approximation for $\sum_{k=1}^N R(...
3
votes
1answer
421 views
When can you describe a population and its component subpopulations with the same parametric family of distributions?
I believe that it is often the case that you are trying to select the best probability distribution to use to describe some phenomenon you are studying, and you have data not only for a population, ...
