# A minimax near-optimal algorithm for adaptive rejection sampling

arXiv: https://arxiv.org/abs/1810.09390 · HTML: https://mlsanity.com/paper/1810.09390/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 22 Oct 2018.

## Built on by (most cited first, 1 of 1)

- [Convergence Rates for Non-Log-Concave Sampling and Log-Partition Estimation](https://mlsanity.com/paper/2303.03237/) (2023)

## Abstract (arXiv)

Rejection Sampling is a fundamental Monte-Carlo method. It is used to sample from distributions admitting a probability density function which can be evaluated exactly at any given point, albeit at a high computational cost. However, without proper tuning, this technique implies a high rejection rate. Several methods have been explored to cope with this problem, based on the principle of adaptively estimating the density by a simpler function, using the information of the previous samples. Most of them either rely on strong assumptions on the form of the density, or do not offer any theoretical performance guarantee. We give the first theoretical lower bound for the problem of adaptive rejection sampling and introduce a new algorithm which guarantees a near-optimal rejection rate in a minimax sense.