Importance Sampling for the Simulation of Highly Reliable Markovian Systems

DOI10.1287/MNSC.40.3.333MaRDI QIDQ4302651zbMATH OpenOpenAlexFDO

Authors Perwez Shahabuddin

Publication date 4 October 1994

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.40.3.333

zbMATH Keywords

availabilityfailure biasinghighly reliable componentsimportance sampling techniquesMarkov chainsmean time to failurereliabilitysimulation of Markovian systemsstochastic simulationvariance reduction

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Reliability, availability, maintenance, inspection in operations research (90B25)

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• A new simulation estimator of system reliability
• Counterexamples in importance sampling for large deviations probabilities
• Optimal importance sampling for Markovian systems with applications to tandem queues
• Dynamic importance sampling for uniformly recurrent Markov chains
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Importance sampling for continuous time Markov chains and applications to fluid models
• Evaluation of the probability of functional failure of a redundant system by importance sampling method
• Importance sampling simulations of Markovian reliability systems using cross-entropy
• Simulation of transient performance measures for stiff Markov chains
• Importance Sampling for Stochastic Simulations
• Fast simulation of Markov chains with small transition probabilities
• Command-based importance sampling for statistical model checking
• Representation of analysis results involving aleatory and epistemic uncertainty
• System Reliability By Simulation: Random Hazards Versus Importance Sampling
• Some recent results in rare event estimation
• Bounded Relative Error Importance Sampling and Rare Event Simulation
• A New Technique for MTTF Estimation in Highly Reliable Markovian Systems
• scientific article; zbMATH DE number 1089092 (Why is no real title available?)
• scientific article; zbMATH DE number 2059010 (Why is no real title available?)
• Combining importance sampling and temporal difference control variates to simulate Markov Chains
• QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS
• General conditions for bounded relative error in simulations of highly reliable Markovian systems
• MTTF Estimation using importance sampling on Markov models
• Asymptotics of Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian Systems
• A characterization of the simple failure-biasing method for simulations of highly reliable Markovian Systems
• Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models
• A cross-entropy scheme for mixtures
• Spare parts allocation by improved genetic algorithm and Monte Carlo simulation
• On the optimal importance process for piecewise deterministic Markov process
• Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• 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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