Sample from Given Distribution

Definition:

• Repeated simulation to draw $N$ Episodes from a distribution
• Compute and approximate posterior probability and show that it converges to the true probability $P$
• Steps:
  1. Allocate range of each outcome to a range over 1, ex: 0-0.1 is A, 0.1 to 0.4 is B,…
  2. Get samples $u$ from uniform distribution over [0,1)
  3. Compare to see which of the domain corresponding to $u$, thats the outcome