Variance Reduction in Mean Time to Failure Simulations

P. Shahabuddin, V. Nicola, P. Heidelberger, A.Goyal, and P. W. Glynn

Proceedings of the 1988 Winter Simulation Conference, 491-500 (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.