The balanced likelihood ratio method for estimating performance measures of highly reliable systems

Abstract

Over the past several years importance sampling in conjunction with regenerative simulation has been presented as a promising method for estimating reliability parameters in highly reliable systems. Existing methods fail to provide benefits over crude Monte Carlo for the analysis of systems that contain significant component redundancies. This paper presents refined importance sampling techniques along with a generalized regenerative model. The proposed methods have solid theoretical properties and work well in practice. 1