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Importance Sampling
MC estimates are more efficient when each point (event) has approximately the same value of f
Choose a big number of events in the region f value is largest and
compensate this by reducing f value in this region
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- known analytically
Events are chosen according to G(x) instead of uniformly
general method to remove infinite singularities in f(x) by using a sampling function g with a similar singularity in the same place one-dimension-at-a-time