Asymptotic optimality of RESTART estimators in highly dependable systems

Villén-Altamirano, J.

Reliability Engineering and System Safety, 2014, vol. 130, issue C, 115-124

Abstract: We consider a wide class of models that includes the highly reliable Markovian systems (HRMS) often used to represent the evolution of multi-component systems in reliability settings. Repair times and component lifetimes are random variables that follow a general distribution, and the repair service adopts a priority repair rule based on system failure risk. Since crude simulation has proved to be inefficient for highly-dependable systems, the RESTART method is used for the estimation of steady-state unavailability and other reliability measures. In this method, a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of a rare event (e.g., a system failure) is higher. The main difficulty involved in applying this method is finding a suitable function, called the importance function, to define the regions. In this paper we introduce an importance function which, for unbalanced systems, represents a great improvement over the importance function used in previous papers. We also demonstrate the asymptotic optimality of RESTART estimators in these models. Several examples are presented to show the effectiveness of the new approach, and probabilities up to the order of 10−42 are accurately estimated with little computational effort.

Keywords: Rare event; RESTART simulation; Subset simulation; Reliability; HRMS systems; Asymptotic optimality (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:130:y:2014:i:c:p:115-124

DOI: 10.1016/j.ress.2014.05.012

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