A problem at hand is solving the same multidimensional integral many times (my current estimation is $10^7$ times) while adjusting integrand through pair of parameters. As I expect the calculation to take quite a while, any speedup is very attractive. My question is does anyone know of an Monte Carlo integration method implementation that allows recycling importance sampling (so points set and associated probabilities) while allowing reevaluation of function on that set for sequential calculation? Also, should accuracy drop below certain level, I'd love to be able to add points on the fly. Pickling/unpickling support would also be quite usable. C++ or python preferred, but any language is ok as long it is not too exotic. 
Monte Carlo integration with reusable importance sampling
monte carlo;integration