Systematic Alias Sampling

Abstract

In this article, we combine the Alias method with the concept of systematic sampling, a method commonly used in particle filters for efficient low-variance resampling. The proposed method allows very fast sampling from a discrete distribution: drawing k samples is up to an order of magnitude faster than binary search from the cumulative distribution function (cdf) or inversion methods used in many libraries. The produced empirical distribution function is evaluated using a modified Cramér-Von Mises goodness-of-fit statistic, showing that the method compares very favorably to multinomial sampling. As continuous distributions can often be approximated with discrete ones, the proposed method can be used as a very general way to efficiently produce random samples for particle filter proposal distributions, for example, for motion models in robotics.