Paper Info
Title
Bounded relative error in estimating transient measures of highly dependable non-Markovian systems
Abstract
This article deals with fast simulation techniques for estimating transient measures in highly dependable systems. The systems we consider of components with generally distributed lifetimes and repair times, with complex interaction among components. As is well known, standard simulation of highly dependable systems is very inefficient, and importance-sampling is widely used to improve efficiency. We present two new techniques, one of which is based on the uniformization approach to simulation, and the other is a natural extension of the uniformization approach which we call exponential transformation. We show that under certain assumptions, these techniques have the bounded relative error property, i.e., the relative error of the simulation estimate remains bounded as components become more and more reliable, unlike standard simulation in which it tends to infinity. This implies that only a fixed number of observations are required to achieve a given relative error, no matter how rare the failure events are.
Year
DOI
Venue
1994
10.1145/175007.175008
ACM Trans. Model. Comput. Simul.
Keywords
DocType
Volume
importance sampling,standard simulation,uniformization-based simulation,complex interaction,bounded relative error property,uniformization approach,simulation estimate,transient measures,certain assumption,highly-dependable systems,article deal,dependable non-markovian system,non-markovian systems,fast simulation technique,relative error,transient measure,dependable system,variance reduction
Journal
4
Issue
Citations 
PageRank 
2
21
2.63
References 
Authors
16
3
Name
Order
Citations
PageRank
Philip Heidelberger12331346.59
Perwez Shahabuddin21364181.65
Victor F. Nicola346884.45