Importance Sampling Research

[JamesYang007]

We have a lot of studies to do with importance sampling. For now, we'll stick to the behavior of the one-sided z-test.

Questions to be answered:

• (From Slack thread) Importance sampling is good for generating rare events:
  • Is k-means or any adaptive way to localize the theta_k to large rejection areas necessary?
  • Can we simply make points in the alternative space without trying to localize? What's the penalty of just blindly putting points far into the alternative space?