Try again - using resampling and weighted observation model

2022-12-05 22:27:51 +00:00
parent bac9e4b69c
commit 543f4f3f0b
13 changed files with 1519 additions and 58 deletions
@@ -0,0 +1,16 @@
+import random
+import math
+
+def get_standard_normal_sample():
+    """Using the Marsaglia Polar method"""
+    # timeit on mac says - 0.915
+    while True:
+        u = random.uniform(-1, 1)
+        v = random.uniform(-1, 1)
+        s = u * u + v * v
+        if s >= 1:
+            continue
+        return u * math.sqrt(-2 * math.log(s) / s)
+
+def get_gaussian_sample(mean, standard_deviation):
+    return get_standard_normal_sample() * standard_deviation + mean