Dynamic sampling from a discrete probability distribution with a known distribution of rates

Abstract

In this paper, we consider several efficient data structures for the problem of sampling from a dynamically changing discrete probability distribution, where some prior information is known on the distribution of the rates, in particular the maximum and minimum rate, and where the number of possible outcomes N is large. We consider three basic data structures, the Acceptance–Rejection method, the Complete Binary Tree and the Alias method. These can be used as building blocks in a multi-level data structure, where at each of the levels, one of the basic data structures can be used, with the top level selecting a group of events, and the bottom level selecting an element from a group. Depending on assumptions on the distribution of the rates of outcomes, different combinations of the basic structures can be used. We prove that for particular data structures the expected time of sampling and update is constant when the rate distribution follows certain conditions. We show that for any distribution, combining a tree structure with the Acceptance–Rejection method, we have an expected time of sampling and update of O(loglogrmax/rmin) is possible, where rmax is the maximum rate and rmin the minimum rate. We also discuss an implementation of a Two Levels Acceptance–Rejection data structure, that allows expected constant time for sampling, and amortized constant time for updates, assuming that rmax and rmin are known and the number of events is sufficiently large. We also present an experimental verification, highlighting the limits given by the constraints of a real-life setting.