Fast simulation of Markov chains with small transition probabilities

DOI10.1287/MNSC.47.4.547.9827MaRDI QIDQ3114686zbMATH OpenOpenAlexFDO

Authors S. Juneja, Perwez Shahabuddin

Publication date 19 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.47.4.547.9827

zbMATH Keywords

importance-samplingMarkov chainsreliability modelssimulationsteady-state measures

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Reliability, availability, maintenance, inspection in operations research (90B25)

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• Spare parts allocation by improved genetic algorithm and Monte Carlo simulation
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• Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems
• Approximating zero-variance importance sampling in a reliability setting
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