The function
can be used
in the calculation of
, if we
notice that
can be rewritten as follows:
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(115) |
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(116) |
It easily to see that the method works well if
overlaps well
with
. Thus, a proper choice of
can be made
by studying where the probability mass of
is concentrated
(for example finding the mode of the distribution in a numerical way).
Often a Gaussian function is used for
, with parameters
chosen to approximate
in the proximity of the mode,
as described in Sect. 5.10. In other cases, other functions
can be used which have more pronounced tails, like
-Student
or Cauchy distributions. Special techniques, into which we cannot enter here,
allow
independent random numbers to be generated and, subsequently,
by proper rotations, turned into other numbers which have a correlation matrix
equal to that of the multi-dimensional
Gaussian which approximates
.
Note, finally, that, contrary to the rejection sampling, importance sampling is not suitable for generate samples of `unweighted events', such as those routinely used in the planning and the analysis of many kind experiments, especially particle physics experiments.