A python method for weighted sampling without replacement based on roulette selection.

weighted_sample.py

def weighted_sample(weights, sample_size):
    """
    Returns a weighted sample without replacement. Note: weights.dtype should be float for speed, see: http://sociograph.blogspot.nl/2011/12/gotcha-with-numpys-searchsorted.html
    """
    totals = np.cumsum(weights)
    sample = []
    for i in xrange(sample_size):
        rnd = random.random() * totals[-1]
        idx = np.searchsorted(totals,rnd,'right')
        sample.append(idx)
        totals[idx:] -= weights[idx]
    return sample