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Let's say we have a mixture distribution, defined by density $f(x)= w_1 p_1(x) + w_2 p_2(x)$, where $w_i$ is a scalar weight. Furthermore, we have efficient methods to evaluate the pdf and cdf/icdf for the distribution $D_i$ corresponding to density $p_i$. I would like to sample from such a distribution.

The method I currently employ is an implementation of rejection sampling. I construct a proposal function $M*u(x)$, where $u \sim \text{Unif}(lb,ub)$ ($lb,ub$ are constructed such that at least 99% of the cdf of each $D_i$ is contained within, using icdf) and $M$ is constructed by finding the $\max_{x \in [lb,ub],i} p_i(x)$. Because such proposal function envelopes $f$, I am able to sample $f$ by choosing $x \in X \sim \text{Unif}(lb,ub) \times \text{Unif}(0,M)$ and rejecting if $\pi_2 x > f(x)$ [$\pi_2 x$ being the second coordinate of $x$].

However, doing this is quite slow. Not only is the proposal function inopportune (it is scaled uniform, which likely will lead to many rejections), but the construction of $M$ is very slow, as maximizing a function is a non-trivial task. Is there a more efficient way to sample such a distribution? I had considered icdf sampling, but constructing the icdf for $f$ seems non-trivially difficult. Is this impression incorrect? Or perhaps is there some other effective method? If it is helpful, I am implementing this in python and am currently using the scipy and pytorch libraries.

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    $\begingroup$ Can you draw a random variable with density $p_i$? If yes, then do the following two-stage process. Stage 1. Draw a random variable $X$ (selector, if I remember correctly), such that it draws 1 with probability $w_i$ and 2 with probability $w_2$. Stage 2. If $X=1$ in the previous stage, draw according to $p_1$, else, draw according to $p_2$. $\endgroup$ Sep 18 '20 at 19:35
  • $\begingroup$ @kate-melnykova I can't believe I hadn't thought of that — yes that should work, I believe $\endgroup$ Sep 18 '20 at 19:51
  • $\begingroup$ I will copy-paste the solution below, so the question will look like answered. $\endgroup$ Sep 18 '20 at 20:04
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The mixture distribution can be obtained in the following way.

Let $f(x)=w_1p_1(x) + w_2p_2(x) + ... + w_np_n(x)$, where $p_i$ are density functions and $w_i>0$. Note that $f(x)$ is a density function if the sum of all weights is one.

Then, we use the following two-stage process.

Stage 1. Draw a random variable $X$ (selector, if I remember correctly), such that $P(X=i)=w_i$ for $i=1,2,...,n$.

Stage 2. Return a random variable drawn accordingly to $p_X$, where $X$ is the index obtained in the stage 1.

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