Simulation of transient performance measures for stiff Markov chains

We consider the simulation of transient performance measures of high reliable fault-tolerant computer systems. The most widely used mathematical tools to model the behaviour of these systems are Markov processes. Here, we deal basically with the simulation of the mean time to failure and the reliability, R(t) of the system at time t. Some variance reduction techniques are used to reduce the simulation time. We will combine two of these techniques: Importance Sampling and Conditioning Technique. The resulting hybrid algorithm performs significant reduction of simulation time and gives stable estimations.