A simple procedure for sampling a distribution to look like another. A method through binning and another by kde estimation. The binning idea came from this stats exchange question and the kde method came from other studies of mine.

subsampling_by_kde.R

library(tidyverse)
library(broom)


df <- 
tibble(
	label = factor(c(rep("group1", 8E4), rep("group2", 1E4))),
 var = c(rnorm(n = 8E4, mean =2, sd= 5), c( rnorm(n = 5E3,mean =-2, sd= 0.5), rnorm(n=5E3, mean = 1, sd = 0.5)))
)

df %>% 
	ggplot(aes(var)) + 
	geom_histogram(aes(fill = label), bins=100,  position = 'identity', alpha=0.8)


# densities by binning
df <- 
df %>% 
	mutate(bins = cut(var, breaks = 100)) 

df %>% 
	group_by(label, bins) %>% 
	summarise(total = n()) %>% 
	mutate(prop = total/sum(total)) %>% 
	select(-total) %>% 
	spread(label, prop,  fill = 0) -> densities

df %>% 
	filter(label == 'group1') %>% 
	left_join(densities, by = 'bins') %>% 
	mutate(weight = group2/group1) %>% 
	sample_n(20000, replace = T, weight = weight) %>% 
	mutate(label = 'group1 (sampled)') %>% 
	bind_rows(df) %>% 
	ggplot(aes(var)) + 
	geom_histogram(aes(fill = label), bins=100,  position = 'identity', alpha=0.8)
	
# density by kde

kde_function_group1 <- df %>% filter(label == 'group1') %>% pull(var) %>% density(.) %>% approxfun(.)
kde_function_group2 <- df %>% filter(label == 'group2') %>% pull(var) %>% density(.) %>% approxfun(.)

df %>% 
	filter(label == 'group1') %>% 
	mutate(g2d = kde_function_group2(var), g1d = kde_function_group1(var),
				 weight = coalesce(g2d/g1d, 0) #sample importance
				 ) %>% 
	sample_n(20000, replace = T, weight = weight) %>% 
	mutate(label = 'group1 (sampled)') %>% 
	bind_rows(df) %>% 
	ggplot(aes(var)) + 
	geom_histogram(aes(fill = label), bins=100,  position = 'identity', alpha=0.8)