Variance reduction in mean time to failure simulations
Perwez Shahabuddin, Victor F. Nicola, Philip Heidelberger, Ambuj Goyal, Peter W. Glynn · 1988
We describe two variance reduction methods for estimating the mean time to failure (MTTF) in Markovian models of highly reliable systems. The first method is based on a ratio representation of the MTTF and employs importance sampling. The second method is based on a hybrid simulation/analytic technique where the number of simulated transitions are reduced by computing partial results analytically. Experiments with a large example show the effectiveness of both techniques for highly reliable systems.