get a pdf of a sample for importance sampling

[gemsanyu]

Importance sampling are used in large scale (N)ES so that samples from previous generation can be reused, thus improving sample efficiency and reducing sample evaluation time. Can we have a function to get a pdf of a sample for this? I come from a very shallow background of stats/maths so this is not straightforward for me to implement.

[nomuramasahir0]

I'm sure that it is possible, though I do not have enough time to implement it now.
For example, Eq.(13) and Eq.(14) in [1] correspond to line13-15 of Algorithm 1 in our paper, so their importance sampling is directly applicable to our method.

[1] Shirakawa, S., Akimoto, Y., Ouchi, K., Ohara, K.: Sample Reuse in the Covariance Matrix Adaptation Evolution Strategy Based on Importance Sampling. In: Genetic and Evolutionary Computation Conference (GECCO) (2015)