The Balanced Likelihood Ratio Methods for Estimating Performance Measures of Highly Reliable Systems
Shultes, Bruce C.
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Over the past several years importance sampling in conjunction with regenerative simulation has been presented as a promising method for estimating reliability parameters in highly reliable systems. Existing methods fail to provide benefits over crude Monte Carlo for the analysis of systems that contain significant component redundancies. This paper presents refined importance sampling techniques along with a generalized regenerative model. The proposed methods have solid theoretical properties and work well in practice.
Proceedings of the 1998 Winter Simulation Conference D.J. Medeiros, E.F. Watson, J.S. Carson and M.S. Manivannan, eds.