diff --git a/benches/weighted.rs b/benches/weighted.rs
index 68722908a9e..6c61bf09022 100644
--- a/benches/weighted.rs
+++ b/benches/weighted.rs
@@ -15,20 +15,106 @@ use rand::Rng;
 use test::Bencher;
 
 #[bench]
-fn weighted_index_creation(b: &mut Bencher) {
+fn weighted_index_assignment(b: &mut Bencher) {
     let mut rng = rand::thread_rng();
-    let weights = [1u32, 2, 4, 0, 5, 1, 7, 1, 2, 3, 4, 5, 6, 7];
+    let weights = &[1u32, 2, 3, 0, 5, 6, 7, 1, 2, 3, 4, 5, 6, 7][..];
+    let mut distr = WeightedIndex::new(weights).unwrap();
     b.iter(|| {
-        let distr = WeightedIndex::new(weights.to_vec()).unwrap();
+        distr.assign_new_weights(weights).unwrap();
+        rng.sample(&distr)
+    })
+}
+
+#[bench]
+fn weighted_index_assignment_large(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights: Vec<u64> = (0u64..1000).collect();
+    let mut distr = WeightedIndex::new(&weights).unwrap();
+    b.iter(|| {
+        distr.assign_new_weights(&weights).unwrap();
+        rng.sample(&distr)
+    })
+}
+
+#[bench]
+fn weighted_index_new(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights = &[1u32, 2, 4, 0, 5, 1, 7, 1, 2, 3, 4, 5, 6, 7][..];
+    b.iter(|| {
+        let distr = WeightedIndex::new(weights).unwrap();
         rng.sample(distr)
     })
 }
 
+#[bench]
+fn weighted_index_new_large(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights: Vec<u64> = (0u64..1000).collect();
+    b.iter(|| {
+        let distr = WeightedIndex::new(&weights).unwrap();
+        rng.sample(&distr)
+    })
+}
+
+#[bench]
+fn weighted_index_from_cumulative_weights(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights = vec![1u32, 2, 4, 0, 5, 1, 7, 1, 2, 3, 4, 5, 6, 7];
+    let cumulative_weights: Vec<_> = weights
+        .into_iter()
+        .scan(0, |acc, item| {
+            *acc += item;
+            Some(*acc)
+        })
+        .collect();
+    b.iter(|| {
+        let distr = WeightedIndex::from_cumulative_weights_unchecked(cumulative_weights.clone());
+        rng.sample(distr)
+    })
+}
+
+#[bench]
+fn weighted_index_from_cumulative_weights_large(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights: Vec<u64> = (0u64..1000).collect();
+    let cumulative_weights: Vec<_> = weights
+        .into_iter()
+        .scan(0, |acc, item| {
+            *acc += item;
+            Some(*acc)
+        })
+        .collect();
+    b.iter(|| {
+        let distr = WeightedIndex::from_cumulative_weights_unchecked(cumulative_weights.clone());
+        rng.sample(&distr)
+    })
+}
+
+#[bench]
+fn weighted_index_from_weights(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights = vec![1u32, 2, 4, 0, 5, 1, 7, 1, 2, 3, 4, 5, 6, 7];
+    b.iter(|| {
+        let distr = WeightedIndex::from_weights(weights.clone()).unwrap();
+        rng.sample(distr)
+    })
+}
+
+#[bench]
+fn weighted_index_from_weights_large(b: &mut Bencher) {
+    let mut rng = rand::thread_rng();
+    let weights: Vec<u64> = (0u64..1000).collect();
+    b.iter(|| {
+        let distr = WeightedIndex::from_weights(weights.clone()).unwrap();
+        rng.sample(&distr)
+    })
+}
+
 #[bench]
 fn weighted_index_modification(b: &mut Bencher) {
     let mut rng = rand::thread_rng();
-    let weights = [1u32, 2, 3, 0, 5, 6, 7, 1, 2, 3, 4, 5, 6, 7];
-    let mut distr = WeightedIndex::new(weights.to_vec()).unwrap();
+    let weights = &[1u32, 2, 3, 0, 5, 6, 7, 1, 2, 3, 4, 5, 6, 7][..];
+    let mut distr = WeightedIndex::new(weights).unwrap();
     b.iter(|| {
         distr.update_weights(&[(2, &4), (5, &1)]).unwrap();
         rng.sample(&distr)
diff --git a/src/distributions/weighted_index.rs b/src/distributions/weighted_index.rs
index 32da37f6cd3..dd8d147810e 100644
--- a/src/distributions/weighted_index.rs
+++ b/src/distributions/weighted_index.rs
@@ -13,6 +13,7 @@ use crate::distributions::Distribution;
 use crate::Rng;
 use core::cmp::PartialOrd;
 use core::fmt;
+use core::iter::ExactSizeIterator;
 
 // Note that this whole module is only imported if feature="alloc" is enabled.
 use alloc::vec::Vec;
@@ -130,6 +131,119 @@ impl<X: SampleUniform + PartialOrd> WeightedIndex<X> {
         })
     }
 
+    /// Reuses the weighted index by assigning a new set of weights without changing the number of
+    /// weights.
+    ///
+    /// Returns an error if:
+    ///
+    /// + the number of items in the iterator does not match the number of items used to create the
+    /// distribution;
+    /// + the iterator yields invalid values (such as `f64::NAN`);
+    /// + the weights yielded by the iterator sum up to zero.
+    ///
+    /// NOTE: If this method fails the distribution should no longer be used for sampling, because
+    /// results of sampling from it are undefined.
+    pub fn assign_new_weights<I>(&mut self, weights: I) -> Result<(), WeightedError >
+    where
+        I: IntoIterator,
+        I::IntoIter: ExactSizeIterator,
+        I::Item: SampleBorrow<X>,
+        X: for<'a> ::core::ops::AddAssign<&'a X> + Clone + Default,
+    {
+        let mut iter = weights.into_iter();
+
+        if iter.len() != self.cumulative_weights.len() + 1 {
+            return Err(WeightedError::LenMismatch);
+        }
+
+        let mut total_weight: X = iter.next().ok_or(WeightedError::NoItem)?.borrow().clone();
+        let zero = <X as Default>::default();
+
+        if !(total_weight >= zero) {
+            return Err(WeightedError::InvalidWeight);
+        }
+
+        for (w, c) in iter.zip(self.cumulative_weights.iter_mut()) {
+            if !(w.borrow() >= &zero) {
+                return Err(WeightedError::InvalidWeight);
+            }
+            *c = total_weight.clone();
+            total_weight += w.borrow();
+        }
+
+        if total_weight == zero {
+            return Err(WeightedError::AllWeightsZero);
+        };
+
+        self.weight_distribution = X::Sampler::new(zero, total_weight.clone());
+        self.total_weight = total_weight;
+        Ok(())
+    }
+
+    /// Create a `WeightedIndex` from a vector of cumulative weights without verification.
+    pub fn from_cumulative_weights_unchecked(ws: Vec<X>) -> Self
+    where
+        X: Clone + Default,
+    {
+        let mut cumulative_weights = ws;
+        let total_weight = cumulative_weights.pop().unwrap();
+        let zero = <X as Default>::default();
+        let weight_distribution = X::Sampler::new(zero, total_weight.clone());
+        Self {
+            cumulative_weights,
+            total_weight,
+            weight_distribution,
+        }
+    }
+
+    /// Create a `WeightedIndex` from a vector of cumulative weights without verification.
+    pub fn from_weights(ws: Vec<X>) -> Result<Self, WeightedError>
+    where
+        X: for<'a> ::core::ops::AddAssign<&'a X> + Clone + Default,
+        for<'a> &'a X: SampleBorrow<X>,
+    {
+        let mut cumulative_weights = ws;
+        let mut iter = cumulative_weights.iter_mut();
+
+        let mut total_weight: X = iter.next().ok_or(WeightedError::NoItem)?.borrow().clone();
+        let zero = <X as Default>::default();
+
+        if !(total_weight >= zero) {
+            return Err(WeightedError::InvalidWeight);
+        }
+
+        for w in iter {
+            if !(w.borrow() >= &zero) {
+                return Err(WeightedError::InvalidWeight);
+            }
+            total_weight += w.borrow();
+            *w = total_weight.clone();
+        }
+
+        if total_weight == zero {
+            return Err(WeightedError::AllWeightsZero);
+        };
+
+        let weight_distribution = X::Sampler::new(zero, total_weight.clone());
+        cumulative_weights.pop().unwrap();
+        Ok(Self {
+            cumulative_weights,
+            total_weight,
+            weight_distribution,
+        })
+    }
+
+    /// Remove the inner vector containing the cumulative weights.
+    pub fn into_cumulative_weights(self) -> Vec<X> {
+        let Self {
+            mut cumulative_weights,
+            total_weight,
+            ..
+        } = self;
+        cumulative_weights.push(total_weight);
+        cumulative_weights
+    }
+
     /// Update a subset of weights, without changing the number of weights.
     ///
     /// `new_weights` must be sorted by the index.
@@ -389,6 +503,55 @@ mod test {
         }
     }
 
+    #[test]
+    fn test_assign_new_weights() {
+        let data = [
+            (
+                &[10u32, 2, 3, 4][..],
+                &[10, 100, 4, 4][..],
+            ),
+            (
+                &[1u32, 2, 3, 0, 5, 6, 7, 1, 2, 3, 4, 5, 6, 7][..],
+                &[1u32, 2, 1, 0, 5, 1, 7, 1, 2, 3, 4, 5, 6, 100][..],
+            ),
+        ];
+
+        for &(weights, new_weights) in data.iter() {
+            let total_weight = weights.iter().sum::<u32>();
+            let mut distr = WeightedIndex::new(weights.to_vec()).unwrap();
+            assert_eq!(distr.total_weight, total_weight);
+
+            distr.assign_new_weights(weights).unwrap();
+            assert_eq!(distr.total_weight, total_weight);
+
+            let new_total_weight = new_weights.iter().sum::<u32>();
+            let new_distr = WeightedIndex::new(new_weights.to_vec()).unwrap();
+            distr.assign_new_weights(new_weights).unwrap();
+            assert_eq!(new_total_weight, new_distr.total_weight);
+            assert_eq!(new_total_weight, distr.total_weight);
+            assert_eq!(new_distr.cumulative_weights, distr.cumulative_weights);
+        }
+    }
+
+    #[test]
+    fn assigning_error_states() {
+        {
+            let mut distr = WeightedIndex::new(&[1.0f64, 2.0, 3.0, 0.0][..]).unwrap();
+            let res = distr.assign_new_weights(&[1.0f64, 2.0, 3.0][..]);
+            assert_eq!(res, Err(WeightedError::LenMismatch));
+        }
+        {
+            let mut distr = WeightedIndex::new(&[1.0f64, 2.0, 3.0, 0.0][..]).unwrap();
+            let res = distr.assign_new_weights(&[1.0f64, 2.0, ::core::f64::NAN, 0.0][..]);
+            assert_eq!(res, Err(WeightedError::InvalidWeight));
+        }
+        {
+            let mut distr = WeightedIndex::new(&[1u32, 2, 3, 0][..]).unwrap();
+            let res = distr.assign_new_weights(&[0u32, 0, 0, 0][..]);
+            assert_eq!(res, Err(WeightedError::AllWeightsZero));
+        }
+    }
+
     #[test]
     fn value_stability() {
         fn test_samples<X: SampleUniform + PartialOrd, I>(
@@ -436,6 +599,10 @@ pub enum WeightedError {
 
     /// Too many weights are provided (length greater than `u32::MAX`)
     TooMany,
+
+    /// Have to provide exactly as many weights when assigning as were present when constructing
+    /// the weighted index.
+    LenMismatch,
 }
 
 #[cfg(feature = "std")]
@@ -448,6 +615,7 @@ impl fmt::Display for WeightedError {
             WeightedError::InvalidWeight => "A weight is invalid in distribution",
             WeightedError::AllWeightsZero => "All weights are zero in distribution",
             WeightedError::TooMany => "Too many weights (hit u32::MAX) in distribution",
+            WeightedError::LenMismatch => "Length mismatch between previous and provided weights",
         })
     }
 }