Multifidelity importance sampling
Multifidelity importance sampling (MFIS) combines, instead of replaces, a high- fidelity model with a surrogate model. Biasing distribution is derived with surrogate model and estimate with high-fidelity model. The MFIS estimator is unbiased, even in the absence of error bounds and error estimators for the surrogate model.
importance sampling surrogate modeling monte carlo method multifidelity methods