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Importance Sampling

Since random numbers are generated for the uniform distribution p(x) with x\in [0,1] , we need to perform a change of variables x\rightarrow y through \begin{equation*} x(y)=\int_a^y p(y')dy', \end{equation*} where we used \begin{equation*} p(x)dx=dx=p(y)dy. \end{equation*} If we can invert x(y) , we find y(x) as well.