IDEAS home Printed from https://ideas.repec.org/a/bpj/mcmeap/v10y2004i2p117-128n2.html
   My bibliography  Save this article

Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting

Author

Listed:
  • Khazen Michael

    (1. The Technion - Israel Institute of Technology, Haifa, Israel)

  • Dubi Arie

    (2. Ben Gurion University of the Negev, Beer-Sheva, Israel)

Abstract

Splitting is a widely known Monte Carlo variance reduction method (VRM). It has been successfully applied for a long time in Monte Carlo applications to neutral particles transport in Nuclear Engineering. In this field splitting is usually referred to as a Geometric Splitting method since it relies on geometric properties of the medium, namely distance and direction. Splitting is remarkable in the sense that it is a "safe" method. Unlike VRMs based on biasing it can not cause the sow tooth phenomenon in which a wrong result appears with very small statistical error. The only risk of using this method is increasing computation time. This makes the application of this method to such areas as safety-critical systems reliability and risk assessment a very attractive option.Suggested work concerns application of splitting to systems reliability problems. The system's structure based metric is used instead of the geometric approach. This metric takes into account importance of each system's component for the target event. Multiple disjunctive surfaces splitting, and splitting combined with the Cluster-Event biasing are considered. The optimal splitting parameters are predicted using the mathematical apparatus developed for applications of splitting in neutral particles transport. Provided numerical examples show considerable benefit of the method.

Suggested Citation

  • Khazen Michael & Dubi Arie, 2004. "Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting," Monte Carlo Methods and Applications, De Gruyter, vol. 10(2), pages 117-128, June.
    • Handle: RePEc:bpj:mcmeap:v:10:y:2004:i:2:p:117-128:n:2
    DOI: 10.1515/156939604777303226
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/156939604777303226
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/156939604777303226?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:10:y:2004:i:2:p:117-128:n:2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.