Probabilistic divide-and-conquer: a new exact simulation method, with integer partitions as an example (1110.3856v7)

Abstract: We propose a new method, probabilistic divide-and-conquer, for improving the success probability in rejection sampling. For the example of integer partitions, there is an ideal recursive scheme which improves the rejection cost from asymptotically order $n^{3/4}$ to a constant. We show other examples for which a non--recursive, one--time application of probabilistic divide-and-conquer removes a substantial fraction of the rejection sampling cost. We also present a variation of probabilistic divide-and-conquer for generating i.i.d. samples that exploits features of the coupon collector's problem, in order to obtain a cost that is sublinear in the number of samples.