Simulation of transient performance measures for stiff Markov chains

Abdelaziz Nasroallah

RAIRO - Operations Research - Recherche Opérationnelle (2000)

  • Volume: 34, Issue: 4, page 385-396
  • ISSN: 0399-0559

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Nasroallah, Abdelaziz. "Simulation of transient performance measures for stiff Markov chains." RAIRO - Operations Research - Recherche Opérationnelle 34.4 (2000): 385-396. <http://eudml.org/doc/105226>.

@article{Nasroallah2000,
author = {Nasroallah, Abdelaziz},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {stiff Markovian models; performance measures; variance reduction; mean time to failure; confidence intervals; birth and death processes; reliability; simulation},
language = {eng},
number = {4},
pages = {385-396},
publisher = {EDP-Sciences},
title = {Simulation of transient performance measures for stiff Markov chains},
url = {http://eudml.org/doc/105226},
volume = {34},
year = {2000},
}

TY - JOUR
AU - Nasroallah, Abdelaziz
TI - Simulation of transient performance measures for stiff Markov chains
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 2000
PB - EDP-Sciences
VL - 34
IS - 4
SP - 385
EP - 396
LA - eng
KW - stiff Markovian models; performance measures; variance reduction; mean time to failure; confidence intervals; birth and death processes; reliability; simulation
UR - http://eudml.org/doc/105226
ER -

References

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  1. J. ARLAT, Méthode et Outils pour l'Évaluation de la Sûreté de Fonctionnement des Systèmes Informatiques Tolérant les Pannes. Technical Report 87-336, LAAS, France (1987). 
  2. P.W. GLYNN and D.L. IGLEHART, Importance Sampling for Stochastic Simulation. Management Sci. 35 (1989) 1367-1392. Zbl0691.65107MR1024494
  3. J.M. HAMMERSLEY and D.C. HANDSCOMB, Monte-Carlo Methods. Chapman and Hall Ltd. (1979). Zbl0121.35503
  4. P. HEIDELBERGER, A. GOYAL and P. SHAHABUDDIN, Measure Specific Dynamic Importance Sampling for Availability Simulations, in Proc. of the 1987 Winter Simulation Conference 14, No. 16. Atlanta, Georgia (1987). 
  5. A. HORDIJK, D.L. IGLEHART and R. SCHASSBERGER, Discrete time methods for simulating continuous time Markov models. Adv. App. Probab. 8 (1976). 772-788. Zbl0381.60063MR423715
  6. J. KEILSON, Markov Chain Models - Parity and Exponentiality. Springer-Verlag, Berlin (1979). Zbl0411.60068MR528293
  7. E.E. LEWIS and F. BÖHM, Monte-Carlo simulation of Markov unreliability models. North-Holland, Amsterdam. Nuclear Engineering and Design 77 (1984) 49-62. 
  8. A. NASROALLAH, Simulation de chaînes de Markov et techniques de réduction de la variance. Doctorat de l'Université de Rennes I, IRISA - France (1991). 
  9. A. NASROALLAH, Simulation of high available fault-tolerant Systems by simulating stiff and large Markov chains, Badajoz, Spain. Extracta Math. 12 (1997) 1-7. Zbl0901.60061
  10. R.Y. RUBINSTEIN, Simulation and the Monte-Carlo Method. John Wiley & Sons (1981). Zbl1147.68831MR624270
  11. G. SAPORTA, Probabilités, Analyse des données et Statistiques. Technip Ed. (1990) 68-69. Zbl0703.62003

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