Weighted samping in python 2 and 3. Released under CC0.

weighted_sampling.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-
from __future__ import print_function
import random

def get_weighted_sample(values, weights, return_index = False):
	cum = []
	tot = 0.0
	for w in weights:
		if w < 0.0:
			raise RuntimeError("Weights cannot be negative")
		tot += w
		cum.append(tot)
	if tot <= 0.0:
		raise RuntimeError("Total weight must be positive")

	r = random.random() * tot
	lastNonZeroInd = None
	for ind, (cw, w) in enumerate(zip(cum, weights)):
		if r < cw:
			if return_index:
				return ind
			return values[ind]
		if w > 0.0:
			lastNonZeroInd = ind
	if return_index:
		return lastNonZeroInd
	return values[lastNonZeroInd]

if __name__ == '__main__':
	import numpy as np
	import matplotlib.pyplot as plt
	
	values = [v + 5.0 for v in range(10)]
	weights = [v / 10.0 for v in range(10)]

	print (values)
	print (weights)

	samples = []

	for i in range(10000):
		s = get_weighted_sample(values, weights, return_index=False)
		samples.append(s)

	freq = np.bincount(samples)
	plt.plot(freq)
	plt.show()