Discussion
What is the difficulty with rejection sampling given evidence?
Answer: B
If the evidence is unlikely, almost every sample is thrown away and the effective sample size collapses, which is why likelihood weighting and Markov chain methods were developed. The retained samples are correctly distributed, continuity is handled, and sampling needs only the local tables. A method that is correct and wasteful, in proportion to how informative the evidence is, is exactly the situation importance weighting was invented to address.
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