Highly Reliable Markovian Systems Interval Availability Estimation by Importance Sampling
Résumé
This paper describes how importance sampling can be applied to efficiently estimate the average interval availability of highly reliable Markovian systems, made of components subject to failures and repairs. We describe a methodology for approximating the zero-variance change of measure. The method is illustrated to be very efficient on a small example, compared with standard importance sampling strategies developed in the literature.