Selective importance sampling

Selective importance sampling includes: first phase importance sampling of a plurality of data points to form a first subset of data points; determining a center of gravity of the first subset; determining, based upon the center of gravity, an orthogonal hyperplane; and a second phase importance sampling comprising: determining, for each point in the first subset, whether each point is above the hyperplane; and forming a second subset of data points, wherein the second subset is a subset of the first subset and wherein the second subset excludes each point of the first subset that has been determined to be above the hyperplane. The second subset also excludes all points within an ellipse below the hyperplane. Critical radial distances are determined from binary search or projection of first phase samples onto center of gravity direction as well as the maximal radius of the first subset around the center of gravity.