Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy

Research output: Working paperProfessional

Abstract

This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failurebiasing schemes that have been proved to give estimators with bounded relativeerrors. The results from the experiments indicate a considerable improvement ofthe performance of the importance sampling estimators, where performance is mea-sured 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.
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut
Publication statusPublished - 2004

Publication series

NameDiscussion paper TI
No.04-018/4

Fingerprint

Importance sampling
Entropy
Experiments

Cite this

Ridder, A. (2004). Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy. (Discussion paper TI; No. 04-018/4). Amsterdam: Tinbergen Instituut.
Ridder, Ad. / Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy. Amsterdam : Tinbergen Instituut, 2004. (Discussion paper TI; 04-018/4).
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Ridder, A 2004 'Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy' Discussion paper TI, no. 04-018/4, Tinbergen Instituut, Amsterdam.

Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy. / Ridder, Ad.

Amsterdam : Tinbergen Instituut, 2004. (Discussion paper TI; No. 04-018/4).

Research output: Working paperProfessional

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AB - This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failurebiasing schemes that have been proved to give estimators with bounded relativeerrors. The results from the experiments indicate a considerable improvement ofthe performance of the importance sampling estimators, where performance is mea-sured 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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Ridder A. Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy. Amsterdam: Tinbergen Instituut. 2004. (Discussion paper TI; 04-018/4).