General conditions for bounded relative error in simulations of highly reliable Markovian systems

DOI10.2307/1428177zbMath0863.65095OpenAlexW4254783709MaRDI QIDQ4715302

Marvin K. Nakayama

Publication date: 8 June 1997

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/22d90c030b21d7ee244b0faf22676db9763b68a4

zbMATH Keywords

reliabilityMarkov chainserror boundsperformance measureslikelihood ratiosimportance sampling methodfailure biasing methods

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99)

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Some Recent Results in Rare Event Estimation ⋮ Approximating zero-variance importance sampling in a reliability setting ⋮ QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS ⋮ Estimating the failure probability of a Markovian system during regeneration period by the essential sampling method ⋮ Balanced and Approximate Zero-Variance Recursive Estimators for the Network Reliability Problem

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