AI engineering glossary · Probability
What is inverse transform sampling?
Inverse transform sampling: A method for generating random values from any distribution: draw a uniform number u between 0 and 1 and return the quantile at u, that is, the inverse of the cumulative distribution function evaluated at u.
Inverse transform sampling: an example
For an exponential distribution with rate lambda, x = -ln(1 - u) / lambda turns uniform draws into exponential waiting times.
Related terms
More Probability terms
- Joint distribution
- Joint probability
- KL divergence
- Law of large numbers
- Law of total expectation
- Law of total probability
- Likelihood
- Linearity of expectation
Where you learn it
Inverse transform sampling is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.