Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/86433 
Authors: 
Year of Publication: 
2004
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 04-018/4
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
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.
Document Type: 
Working Paper

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