Importance Sampling Simulations of Markovian Reliability Systems Using Cross-Entropy |
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Authors: | Email author" target="_blank">Ad?RidderEmail author |
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Institution: | (1) Department of Econometrics, Vrije Universiteit Amsterdam, de Boelelaan 1105, 1081 HV Amsterdam, Netherlands |
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Abstract: | This paper reports simulation experiments, applying the cross entropy method such as the importance sampling algorithm for
efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failure
biasing schemes that have been proved to give estimators with bounded relative errors. The results from the experiments indicate
a considerable improvement of the performance of the importance sampling estimators, where performance is measured by the
relative error of the estimate, by the relative error of the estimator, and by the gain of the importance sampling simulation
to the normal simulation. |
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Keywords: | reliability Markov chains rare event simulation importance sampling cross entropy |
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