论文信息 - Optimal importance sampling for quick simulation of highly reliable Markovian systems

Optimal importance sampling for quick simulation of highly reliable Markovian systems

We develop necessary and sufficient conditions for importance sampling measures to yield estimates with bounded relative error. We use these conditions to examine the properties of existing methods for estimating failure probabilities in highly reliable systems. We then propose a new approach which we show has bounded relative error and is asymptotically optimal.

Stephen G. Strickland

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