diff --git a/matlab/particle/importance_sampling.m b/matlab/particle/importance_sampling.m
new file mode 100644
index 000000000..a0c527757
--- /dev/null
+++ b/matlab/particle/importance_sampling.m
@@ -0,0 +1,11 @@
+function State_Particles = importance_sampling(StateMuPost,StateSqrtPPost,StateWeightsPost,numP)
+[Xdim,Gsecond] = size(StateMuPost) ;  
+u = rand(numP,1);
+[Nc,comp] = histc(u, cumsum([0; StateWeightsPost]));    
+State_Particles = zeros(Xdim,numP);
+for k=1:Gsecond
+  idx = bsxfun(@eq,comp,k*ones(size(comp))) ;
+  State_Particles(:,idx) = StateSqrtPPost(:,:,k)*randn(Xdim,Nc(k));
+end
+State_Particles= State_Particles + StateMuPost(:,comp); 
+