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Some acceleration methods for Monte Carlo simulation of rare events

Author

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  • Estecahandy, M.
  • Bordes, L.
  • Collas, S.
  • Paroissin, C.

Abstract

The reliability analysis of instrumented safety systems is an important industrial issue. The standard modeling languages (e.g., Fault trees and Markov chains) and methods employed for these studies become difficult to apply mainly because of the increasing complexity of the operating context (e.g., maintenance policies and aging process). Thus, a powerful alternative is Petri nets associated with Monte Carlo simulation (MC). However, obtaining accurate estimators on rare events (system failures) requires very long computing times. To address this issue, common methods are not well-suited to Petri nets whereas the “Méthode de Conditionnement Temporel†(MCT), a truncation method, seems to be. Indeed, MCT is independent of the duration distributions involved in a model. However, it is only defined when the rare event consists in reaching an absorbing state. To overcome this limitation, we first propose an extension of MCT (EMCT) to cases of repeated cycles where the failure event is either direct or in competition with other events. Numerical results show that EMCT gives better estimates than MC. Second, we introduce a new computational technique, called Dissociation Method, for systems with independent components. We combine it with both MC and EMCT. Through different numerical examples, we observe a significant improvement of the results.

Suggested Citation

  • Estecahandy, M. & Bordes, L. & Collas, S. & Paroissin, C., 2015. "Some acceleration methods for Monte Carlo simulation of rare events," Reliability Engineering and System Safety, Elsevier, vol. 144(C), pages 296-310.
  • Handle: RePEc:eee:reensy:v:144:y:2015:i:c:p:296-310
    DOI: 10.1016/j.ress.2015.07.010
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    References listed on IDEAS

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    1. Y Dutuit & A B Rauzy & J-P Signoret, 2008. "A snapshot of methods and tools to assess safety integrity levels of high-integrity protection systems," Journal of Risk and Reliability, , vol. 222(3), pages 371-379, September.
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    Cited by:

    1. Medeiros, C.P. & Alencar, M.H. & de Almeida, A.T., 2017. "Multidimensional risk evaluation of natural gas pipelines based on a multicriteria decision model using visualization tools and statistical tests for global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 165(C), pages 268-276.
    2. Fan-Yun Pai & Tsu-Ming Yeh & Yung-Hsien Hung, 2015. "Analysis on Accuracy of Bias, Linearity and Stability of Measurement System in Ball screw Processes by Simulation," Sustainability, MDPI, vol. 7(11), pages 1-23, November.

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