Bounded normal approximation in simulations of highly reliable Markovian systems

DOI10.1239/JAP/1032374748MaRDI QIDQ4954230zbMATH OpenOpenAlexFDO

Authors Bruno Tuffin

Publication date 15 November 2001

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1032374748

zbMATH Keywords

bounded normal approximationdependability measureshighly reliable systemsimportance samplingMarkov chainsMonte Carlo methodsmulti-component systems

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Monte Carlo methods (65C05)

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• General conditions for bounded relative error in simulations of highly reliable Markovian systems
• Bounded relative error in estimating transient measures of highly dependable non-Markovian systems
• Hyperaccurate bounds in discrete-state Markovian systems
• Optimal bounds in normal approximation for many interacting worlds

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