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Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy


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  • Ad Ridder

    (Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam)


This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failurebiasing schemes that have been proved to give estimators with bounded relativeerrors. The results from the experiments indicate a considerable improvement ofthe performance of the importance sampling estimators, where performance is mea-sured 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.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 04-018/4.

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Date of creation: 10 Feb 2004
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Handle: RePEc:dgr:uvatin:20040018

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  1. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
  2. Perwez Shahabuddin, 1994. "Importance Sampling for the Simulation of Highly Reliable Markovian Systems," Management Science, INFORMS, vol. 40(3), pages 333-352, March.
  3. Sandeep Juneja & Perwez Shahabuddin, 2001. "Fast Simulation of Markov Chains with Small Transition Probabilities," Management Science, INFORMS, vol. 47(4), pages 547-562, April.
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