Monte Carlo for estimating exponential convolution

DOI10.1080/03610918.2013.842591MaRDI QIDQ5860268zbMATH OpenOpenAlexFDO

Authors Ilya Gertsbakh, Eyal Neuman, Radislav Vaisman

Publication date 19 November 2021

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.5417

zbMATH Keywords

hypoexponential distributionMonte Carlonetwork reliabilityrare events

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: In this note we study the numerical stability problem that may take place when calculating the cumulative distribution function of the {it Hypoexponential} random variable. This computation is extensively used during the execution of Monte Carlo network reliability estimation algorithms. In spite of the fact that analytical formulas are available, they can be unstable in practice. This instability occurs frequently when estimating very small failure probabilities $(10^{-30}-10^{-40})$ that can happen for example while estimating the unreliability of telecommunication systems. In order to address this problem, we propose a simple unbiased estimation algorithm that is capable of handling a large number of variables. We show that the proposed estimator has a bounded relative error and that it compares favorably with other existing methods.

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Cites work

• Handbook of Monte Carlo Methods
• Models of network reliability. Analysis, combinatorics, and Monte Carlo.
• Optimization of computer simulation models with rare events
• The Scaling and Squaring Method for the Matrix Exponential Revisited

Cited in

(4)

• Linear combination of independent exponential random variables
• Simple Monte Carlo integration with respect to Bernoulli convolutions.
• scientific article; zbMATH DE number 934444 (Why is no real title available?)
• On the reliability estimation of stochastic binary systems

Describes a project that uses

Uses Software

• MATLAB expm

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