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The '''inverse transform sampling method''' is a method of sampling a number at random from any [[probability distribution]] given its [[cumulative distribution function]] (cdf). This method is generally applicable, but may be too computationally expensive in practice for some probability distributions. See [[Box-Muller transform]] for an example of an algorithm which is less general but more computationally efficient.
The problem that the inverse transform sampling method solves is as follows:
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