rusampling

lynnejewson.github.io/rusampling

A Python package for Ratio-of-Uniforms sampling in multiple dimensions.

Ratio-of-Uniforms is a method of sampling random variables that uses the pdf, which does not need to be normalised, and requires minimal setup.

Install from the terminal with pip install RUSampling.

Development of this package was funded by the Lighthill Risk Network: https://lighthillrisknetwork.org.

Many thanks to Paul Northrop, the author of RUST, the package for Ratio-of-Uniforms sampling in R, and who helped me with the development of this project.

Usage

• Create an instance of the Ru class, passing the log-pdf logf, the dimension d (default 1), and any extra arguments that the log-pdf takes.
• Call this object's rvs method, passing the number of samples n to generate. This returns a (n, d)- dimensional numpy array of samples.

Example: Sampling the log-normal distribution

import numpy as np
import scipy
from ru import Ru

logf = scipy.stats.lognorm.logpdf

t = Ru(logf, s=1)
samples = t.rvs(n=100000)
t.plot()