Analysis and Improvements of Path-based Methods for Monte Carlo Reliability Evaluation of Static Models

Héctor Cancela, Pierre L’Ecuyer, Matías Lee, Gerardo Rubino and Bruno Tuffin
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Héctor Cancela: Universidad de la República
Pierre L’Ecuyer: Université de Montréal
Matías Lee: Universidad Nacional de Córdoba
Gerardo Rubino: INRIA
Bruno Tuffin: INRIA

Chapter Chapter 3 in Simulation Methods for Reliability and Availability of Complex Systems, 2010, pp 65-84 from Springer

Abstract: Abstract Many dependability analyses are performed using static models, that is, models where time is not an explicit variable. In these models, the system and its components are considered at a fixed point in time, and the word “static” means that the past or future behavior is not relevant for the analysis. Examples of such models are reliability diagrams, or fault trees. The main difficulty when evaluating the dependability of these systems is the combinatorial explosion associated with exact solution techniques. For large and complex models, one may turn to Monte Carlo methods, but these methods have to be modified or adapted in the presence of rare important events, which are commonplace in reliability and dependability systems. This chapter examines a recently proposed method designed to deal with the problem of estimating reliability metrics for highly dependable systems where the failure of the whole system is a rare event. We focus on the robustness properties of estimators. We also propose improvements to the original technique, including its combination with randomized quasi-Monte Carlo, for which we prove that the variance converges at a faster rate (asymptotically) than for standard Monte Carlo.

Keywords: Path-based Methods; Randomized quasi-Monte Carlo (RQMC); Reliability Diagram; Reliability Metrics; RQMC Methods (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/978-1-84882-213-9_3

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