probsys / optimal-approximate-sampling Goto Github PK

Include an example for finding the smallest set of weights (that is, the "precision" or the smallest sum of weights) that approximate a target probability distribution to a maximum tolerable divergence. Without an example, this is not exactly trivial to do because of the lack of documentation.

• Input: Target distribution; maximum divergence tolerable (e.g., 2^-64); kind of divergence; option to limit the sum of weights to a power of 2. The target distribution can be a list of ratios, but it would be preferred if it can also be a probability mass function that supports mpmath numbers (but I admit that mpmath numbers are ultimately ratios too).
• Output: Optimal probabilities in the form of integer weights.

EDIT: Clarification.