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(Optimal importance sampling) Consider importance sampling as described in Problem 4.5.21. (a)…

(Optimal importance sampling) Consider importance sampling as described in Problem 4.5.21. (a) Prove that Var(Mn( f )) is minimized by taking

(Optimal importance sampling) Consider importance sampling as described in Problem 4.5.21. (a)... 

Calculate the minimum variance and show that the minimum variance is

Why is this optimal importance sampler typically not feasible? (The optimal importance sampler does indicate, however, that in our search for an efficient importance sampler, we look for an f that is large when /g/  is large and small when /g/ is small