The technique of importance sampling can lead to a considerable reduction in the uncertainties (variance) inherent in random sampling. The technique is explained, and is illustrated by simple examples. It is shown that the variance may be reduced by weighting so that each sample makes an almost equal contribution to the estimate: this is shown graphically. A BASIC program demonstrating importance sampling is available with and may be downloaded from the online version of this paper.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.