General conditions for bounded relative error in simulations of highly reliable Markovian systems

General conditions for bounded relative error in simulations of highly reliable Markovian systems

0.00 Avg rating0 Votes
Article ID: iaor19971159
Country: United Kingdom
Volume: 28
Issue: 3
Start Page Number: 687
End Page Number: 727
Publication Date: Sep 1996
Journal: Advances in Applied Probability
Authors:
Keywords: simulation, markov processes
Abstract:

The paper establishes a necessary condition for any importance sampling scheme to give bounded relative error when estimating a performance measure of a hgihly reliable Markovian system. Also, a class of importance sampling methods is defined for which it proves a necessary and sufficient condition for bounded relative error for the performance measure estimator. This class of probability measures includes all of the currently existing failure biasing methods in the literature. Similar conditions for derivative estimators are established.

Reviews

Required fields are marked *. Your email address will not be published.