Subset-∞

[FriesischScott]

The algorithm generates the conditional samples for the next level by representing each random variable by an arbitrary number of hidden variables instead of using Markov Chain Monte Carlo.

Reference: Patelli & AU (2015) Efficient Monte Carlo algorithm for rare failure event simulation

[FriesischScott]

If we extract the generation of next level samples into a separate method, this should be easy to implement.