Reservoir sampling

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Reservoir Sampling

How does one sample $k$ uniform random elements from a datastream where $N\gg k$, and:

1. N is huge.
2. N is unknown.

Resrvoir sampling works like this:

With a number $k$ and a datastream $x_1,x_2,\dots ,x_n$ with a length greater than $k$:

• Put the first $k$ elements of the stream into a set
• For $i\ge |\frac{k}{i}|$:
  • With probability $k/i$ replace a random entry of R with $x_i$.
• At the end of the stream, return the reservoir R.

At any time $t\ge k$, the reservoir, R, consists of a uniformly random subset of $k$ of the entries $x_1,\dots ,x_t$. This can be proven if $t\ge i$, $Pr[x_i\in R]=|\frac{k}{i}|$, and $x_i\in R$ is independent of the contents of the reservoir at times $t<i$.

Basic Probability Tools:

Theorem 2.1 (Markov’s Inequality): For a real-valued random variable X s.t. $X\ge 0$, for any $c>0$:

$Pr[X\ge cE[X]]\le |\frac{1}{c}|$

Basically, if we know the expectation of a distribution of numbers, and that is non-negative, Markov’s inequality can tell us a basic fact about the distribution.

For example, the probability that a student’s GPA is more than twice the average GPA is at most $|\frac{1}{2}|$.

Theorem 2.2 (Chebyshev’s Inequality): For a real-valued random variable X, and any $c>0$:

$Pr[|X-E[X]]\ge c\sqrt{Var[X]}]\le |\frac{1}{c^2}|$

This is useful for:

Example 2.3: How many people must we poll to estimate the percentage of people who support candidate C, where an accuracy of $\pm 1\%$, with a probability of at least $|\frac{3}{4}|$

In order to estimate the expectation of a 0/1 random variable to error $\pm ϵ$, we need roughly $O(|\frac{1}{{ϵ}^2}|)$ samples.

This can be used to prove “central limit” style exponential bounds on tail probabilities, like how flipping fewer than 400 heads in 1000 tosses of a fair coin is miniscule.

Importance Sampling

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