Importance sampling simulations of Markovian reliability systems using cross-entropy

Importance sampling simulations of Markovian reliability systems using cross-entropy

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Article ID: iaor20053280
Country: Netherlands
Volume: 134
Issue: 1
Start Page Number: 119
End Page Number: 136
Publication Date: Feb 2005
Journal: Annals of Operations Research
Authors:
Keywords: quality & reliability, heuristics, simulation
Abstract:

This paper reports simulation experiments, applying the cross entropy method such as the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failure biasing schemes that have been proved to give estimators with bounded relative errors. The results from the experiments indicate a considerable improvement of the performance of the importance sampling estimators, where performance is measured by the relative error of the estimate, by the relative error of the estimator, and by the gain of the importance sampling simulation to the normal simulation.

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