An Iterative Rejection Sampling Method
  In the note we consider an iterative generalisation of the rejection sampling method. In high energy physics, this sampling is frequently used for event generation, i.e. preparation of phase space points distributed according to a matrix element squared $|M|^2$ for a scattering process. In many realistic cases $|M|^2$ is a complicated multi-dimensional function, so, the standard von Neumann procedure has quite low efficiency, even if an error reducing technique, like VEGAS, is applied. As a result of that, many of the $|M|^2$ calculations go to ``waste''. The considered iterative modification of the procedure can extract more ``unweighted'' events, i.e. distributed according to $|M|^2$. In several simple examples we show practical benefits of the technique and obtain more events than the standard von Neumann method, without any extra calculations of $|M|^2$. 
A. Sherstnev