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A new simulation estimator of system reliability

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  • Sheldon M. Ross

Abstract

A basic identity is proven and applied to obtain new simulation estimators concerning (a) system reliability, (b) a multi-valued system. We show that the variance of this new estimator is often of the order α 2 when the usual raw estimator has variance of the order α and α is small. We also indicate how this estimator can be combined with standard variance reduction techniques of antithetic variables, stratified sampling and importance sampling.

Suggested Citation

  • Sheldon M. Ross, 1994. "A new simulation estimator of system reliability," International Journal of Stochastic Analysis, Hindawi, vol. 7, pages 1-6, January.
    • Handle: RePEc:hin:jnijsa:247534
    DOI: 10.1155/S1048953394000286
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    Cited by:

    1. Stéphane Bulteau & Mohamed El Khadiri, 2002. "A new importance sampling Monte Carlo method for a flow network reliability problem," Naval Research Logistics (NRL), John Wiley & Sons, vol. 49(2), pages 204-228, March.
    2. H. Cancela & M. Khadiri & G. Rubino, 2012. "A new simulation method based on the RVR principle for the rare event network reliability problem," Annals of Operations Research, Springer, vol. 196(1), pages 111-136, July.

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