A new simulation estimator of system reliability

A new simulation estimator of system reliability

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Article ID: iaor1997389
Country: United States
Volume: 7
Issue: 3
Start Page Number: 331
End Page Number: 336
Publication Date: Jul 1994
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Keywords: quality & reliability
Abstract:

A basic identity is proven and applied to obtain new simulation estimators concerning (a) system reliability, (b) a multi-valued system. The paper shows that the variance of this new estimator is often of the order α2 when the usual raw estimator has variance of the order α and α is small. It also indicates how this estimator can be combined with standard variance reduction techniques of antithetic variables, stratified sampling and importance sampling.

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