乱数生成:採択棄却法
- \(P(I=1)=\frac cM\)の導出
\begin{eqnarray}
P(I=1)
&=&
\int P(I=1|X=x)g(x)dx \\ \\
&=&
\int P(U\leq r)g(x)dx \\ \\
&=&
\int P(U\leq \frac{l(x)}{Mg(x)})g(x)dx \\ \\
&=&
\int P(U\leq \frac{cf(x)}{Mg(x)})g(x)dx \\ \\
&=&
\int \frac{cf(x)}{Mg(x)}g(x)dx \\ \\
&=&
\int \frac{cf(x)}{M}dx \\ \\
&=&
\frac{c}{M}\int f(x)dx \\ \\
&=&
\frac{c}{M} \\ \\
\end{eqnarray}