This is similar to the method used for generating random numbers using Box-Muller transform. https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
Importance sampling works when you're interested in some linear function[al] of the distribution; not for actual sampling.
This is similar to the method used for generating random numbers using Box-Muller transform. https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
Importance sampling works when you're interested in some linear function[al] of the distribution; not for actual sampling.