Loading...
Please wait, while we are loading the content...
Similar Documents
Importance Sampling Simulations of Markovian Reliability Systems Using Cross-Entropy (2004)
| Content Provider | CiteSeerX |
|---|---|
| Author | Sdshuv, Glvfxvvlrq Dw, Grzqordghg Ridder, Ad Eh, Fdq |
| Abstract | This paper reports simulation experiments, applying the cross entropy method such as the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failure biasing schemes that have been proved to give estimators with bounded relative errors. The results from the experiments indicate a considerable improvement of the performance of the importance sampling estimators, where performance is measured by the relative error of the estimate, by the relative error of the estimator, and by the gain of the importance sampling simulation to the normal simulation. 1 |
| File Format | |
| Publisher Date | 2004-01-01 |
| Publisher Institution | Annals of Operations Research. Submitted |
| Access Restriction | Open |
| Subject Keyword | Cross Entropy Method Considerable Improvement Various Failure Rare Event Probability Markovian Reliability System Normal Simulation Markovian Reliability System Using Cross-entropy Bounded Relative Error Relative Error Efficient Estimation Simulation Experiment |
| Content Type | Text |
| Resource Type | Article |
