Selective importance sampling

A computer readable storage medium, tangibly embodying a program of instructions executable by the computer for performing selective importance sampling on a plurality of data points, the program of instructions, when executing, performing the following steps:

• performing a first phase importance sampling, by the computer, of the plurality of data points to form a first subset of data points;
• determining, by the computer, a center of gravity of the first subset of data points;
• determining by the computer, based at least in part upon the center of gravity, an orthogonal hyperplane;
• and
• performing a second phase importance sampling by the computer, wherein the second phase sampling comprises:
• determining by the computer, for each point in the first subset of data points, whether each point is above the orthogonal hyperplane;
• and
• forming by the computer a second subset of data points, wherein the second subset of data points is a subset of the first subset of data points and wherein the second subset of data points excludes each point of the first subset of points that has been determined to be above the orthogonal hyperplane.

A computer-implemented system for performing selective importance sampling on a plurality of data points, the system comprising:

• a first phase importance sampling element, wherein the first phase importance sampling element is configured to form a first subset of data points;
• a center of gravity determining element in operative communication with the first phase importance sampling element, wherein the center of gravity determining element is configured to determine a center of gravity of the first subset of data points;
• an orthogonal hyperplane determining element in operative communication with the center of gravity determining element configured to determine, based at least in part upon the center of gravity, an orthogonal hyperplane;
• and
• a second phase importance sampling element in operative communication with the orthogonal hyperplane determining element and the first phase importance sampling element configured to perform a second phase importance sampling, wherein the second phase importance sampling comprises:
• determining for each point in the first subset of data points, whether each point is above the orthogonal hyperplane;
• and
• forming a second subset of data points, wherein the second subset of data points is a subset of the first subset of data points and wherein the second subset of data points excludes each point of the first subset of points that has been determined to be above the orthogonal hyperplane.