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1. mu:=-6; sigma2:=100; t:=0; maxits=100; // Initialize parameters
2. N:=100; Ne:=10; //
3. while t < maxits and sigma2 > epsilon // While maxits not
4. X = SampleGaussian(mu,sigma2,N); // Obtain N samples from current sampling distribution
5. S = exp(-(X-2)^2) + 0.8 exp(-(X+2)^2); // Evaluate objective function at sampled points
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