Rejection Sampling
A Monte Carlo algorithm used to generate data samples from a complex target probability distribution by sampling from an easier, bounding distribution.
Think of It Like This
Like a casting director auditioning everyone who walks through the door, but immediately rejecting anyone who doesn't perfectly fit the character description.
When a target distribution is mathematically intractable to sample from directly, a simpler proposal distribution (like a Gaussian) is used. A sample is drawn, and then accepted or rejected based on the ratio between the true and proposal distributions. It is fundamental in probabilistic modeling and specialized data generation tasks.