Importance sampling for the simulation of highly reliable Markovian systems

Importance sampling for the simulation of highly reliable Markovian systems

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Article ID: iaor19942508
Country: United States
Volume: 40
Issue: 3
Start Page Number: 333
End Page Number: 352
Publication Date: Mar 1994
Journal: Management Science
Authors:
Keywords: quality & reliability, markov processes, statistics: sampling
Abstract:

The paper investigates importance sampling techniques for the simulation of Markovian systems with highly reliable components. The need for simulation arises because the state space of such systems is typically huge, making numerical computation inefficient. Naive simulation is inefficient due to the rarity of the system failure events. Failure biasing is a useful importance sampling technique for the simulation of such systems. However, until now, this technique has been largely heuristic. The paper presents a mathematical framework for the study of failure biasing. Using this framework it derives variance reduction results which explain the orders of magnitude of variance reduction obtained in practice. The paper shows that in many cases the magnitude of the variance reduction is such that the relative errors of the estimates remain bounded as the failure rates of components tend to zero. It also proves that the failure biasing heuristic in its original form may not give bounded relative error for a large class of systems and that a modification of the heuristic works for the general case. The theoretical results in this paper agree with experiments on the subject which have been reported in a previous paper.

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