Some advances in importance sampling of reliability models based on zero variance approximation

D.P. Reijsbergen, Pieter-Tjerk de Boer, Willem R.W. Scheinhardt, Sandeep Juneja

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Abstract

We are interested in estimating, through simulation, the probability of entering a rare failure state before a regeneration state. Since this probability is typically small, we apply importance sampling. The method that we use is based on finding the most likely paths to failure. We present an algorithm that is guaranteed to produce an estimator that meets the conditions presented in [10] [9] for vanishing relative error. We furthermore demonstrate how the procedure that is used to obtain the change of measure can be executed a second time to achieve even further variance reduction, using ideas from [5], and also apply this technique to the method of failure biasing, with which we compare our results.
Original languageUndefined
Title of host publicationProceedings of the Ninth International Workshop on Rare Event Simulation, RESIM 2012
Place of PublicationTrondheim, Norway
PublisherNTNU University Press
Pages30-35
Number of pages6
ISBN (Print)not assigned
Publication statusPublished - Jun 2012
Event9th International Workshop on Rare Event Simulation, RESIM 2012 - Trondheim, Norway
Duration: 25 Jun 201227 Jun 2012
Conference number: 9

Publication series

Name
PublisherNTNU University Press

Workshop

Workshop9th International Workshop on Rare Event Simulation, RESIM 2012
Abbreviated titleRESIM
CountryNorway
CityTrondheim
Period25/06/1227/06/12

Keywords

  • METIS-287909
  • IR-80762
  • EWI-22015
  • Zero variance approximation
  • Importance sampling
  • Rare event simulation

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