# SuanShu, a Java numerical and statistical library

com.numericalmethod.suanshu.stats.random.variancereduction

## Class ImportanceSampling

• java.lang.Object
• com.numericalmethod.suanshu.stats.random.variancereduction.ImportanceSampling
• All Implemented Interfaces:
MeanEstimator

public class ImportanceSampling
extends Object
implements MeanEstimator
Importance sampling is a general technique for estimating properties of a particular distribution, while only having samples generated from a different distribution rather than the distribution of interest. Specifically, $E_F(h(s)) = \int h(s)f(s) ds = \int h(s)\frac{f(s)}{g(s)}g(s)ds = \int h(s)w(s)g(s)ds = E_G(h(s)w(s))$