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Importance sampling: MC sampling may miss rare but important samples. Overrepresent these then correct the overweighting.
- Also need to adjust how variance is calculated.
- IS reduces the sample error/variance.
- Importance = p(x)*g(x)
- Now the trick: multiply by q/q=1 to change the dist of the expectation
- Hard, very noise estimates due to rare events:
- Easier/more precise with new dist and adjusted func: