diff --git a/src/Stats.jl b/src/Stats.jl
index 72eede5567cf9..700505e6ee6a0 100644
--- a/src/Stats.jl
+++ b/src/Stats.jl
@@ -28,7 +28,9 @@ module Stats
            tiedrank,
            weighted_mean,
            randshuffle!,
-           randsample
+           randsample,
+           sample_by_weights
+
 
     # Weighted mean
     # NB: Weights should include 1/n factor
@@ -639,4 +641,35 @@ module Stats
 
     randsample{T}(x::AbstractVector{T}, n::Integer) = x[randsample(1:length(x), n)]
 
+
+    ###########################################################
+    #
+    #   A fast sampling method to sample x ~ p,
+    #   where p is proportional to given weights.
+    #
+    #   This algorithm performs the sampling without
+    #   computing p (normalizing the weights).
+    #
+    #   This function is particularly useful in many MCMC
+    #   algorithms.
+    #
+    ###########################################################
+
+    function sample_by_weights(w::Vector{Float64}, totalw::Float64)
+        n = length(w)
+        t = rand() * totalw
+
+        x = 1
+        s = w[1]
+
+        while x < n && s < t
+            x += 1
+            s += w[x]
+        end
+        return x
+    end
+
+    sample_by_weights(w::Vector{Float64}) = sample_by_weights(w, sum(w))
+
 end # module
+
diff --git a/test/rands.jl b/test/rands.jl
index 1850cf56f8cab..915652e8f79f0 100644
--- a/test/rands.jl
+++ b/test/rands.jl
@@ -24,7 +24,6 @@ function verify_randsample(r::Matrix{Int}, m::Int, tol::Float64)
 end
 
 
-
 # rand shuffle
 
 m = 5
@@ -67,3 +66,17 @@ for i = 1 : n
 end
 @test verify_randsample(r, m, 0.02)
 
+# sample_by_weights
+
+w = [1., 2., 3., 4.]
+n = 1000000
+
+cnts = zeros(Int, 4)
+for i = 1 : n
+    xi = sample_by_weights(w, 10.)
+    cnts[xi] += 1
+end
+p = cnts / n
+p0 = w / sum(w)
+@test all(abs(p - p0) .< 0.01)
+