混合模型采样的编程问题

我们经常遇到一些混合模型，该如何从这个混合模型中进行采样呢？

现有如下例子需要采样:

$$0.3 \times \mathcal{N}(0,1) + 0.5 \times \mathcal{N}(10,1) + 0.2 \times \mathcal{N}(3,1)$$

下面是在R中的几个实现：

N <- 100000

components <- sample(1:3,prob=c(0.3,0.5,0.2),size=N,replace=TRUE)
mus <- c(0,10,3)
sds <- sqrt(c(1,1,0.1))

samples <- rnorm(n=N,mean=mus[components],sd=sds[components])

简单说说这个的步骤：
1。从均匀分布中随机取一个值U
2。来比较权重的累计和序列和U的大小，U落在那个权重里面，就从这个分布里面随机取一个值.

#The number of samples from the mixture distribution
N = 100000                 

#Sample N random uniforms U
U =runif(N)

#Variable to store the samples from the mixture distribution                                             
rand.samples = rep(NA,N)

#Sampling from the mixture
for(i in 1:N){
    if(U[i]<.3){
        rand.samples[i] = rnorm(1,0,1)
    }else if(U[i]<.8){
        rand.samples[i] = rnorm(1,10,1)
    }else{
        rand.samples[i] = rnorm(1,3,.1)
    }
}

#Density plot of the random samples
plot(density(rand.samples),main="Density Estimate of the Mixture Model")

#Plotting the true density as a sanity check
x = seq(-20,20,.1)
truth = .3*dnorm(x,0,1) + .5*dnorm(x,10,1) + .2*dnorm(x,3,.1)
plot(density(rand.samples),main="Density Estimate of the Mixture Model",ylim=c(0,.2),lwd=2)
lines(x,truth,col="red",lwd=2)

legend("topleft",c("True Density","Estimated Density"),col=c("red","black"),lwd=2)