Importance sampling simulations of Markovian reliability systems using cross-entropy

    Research output: Contribution to JournalArticleAcademic

    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. © 2005 Springer Science + Business Media, Inc.
    Original languageEnglish
    Pages (from-to)119-136
    JournalAnnals of Operations Research
    Volume1
    Issue number134
    DOIs
    Publication statusPublished - 2005

    Fingerprint Dive into the research topics of 'Importance sampling simulations of Markovian reliability systems using cross-entropy'. Together they form a unique fingerprint.

  • Cite this