Simulation of transient performance measures for stiff markov chains

Abdelaziz Nasroallah

RAIRO - Operations Research (2010)

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

Abstract

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We consider the simulation of transient performance measures of high reliable fault-tolerant computer systems. The most widely used mathematical tools to model the behavior of these systems are Markov processes. Here, we deal basically with the simulation of the mean time to failure (MTTF) and the reliability, R(t), of the system at time t. Some variance reduction techniques are used to reduce the simulation time. We will combine two of these techniques: Importance Sampling and Conditioning Technique. The resulting hybrid algorithm performs significant reduction of simulation time and gives stables estimations.

How to cite

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Nasroallah, Abdelaziz. "Simulation of transient performance measures for stiff markov chains." RAIRO - Operations Research 34.4 (2010): 385-396. <http://eudml.org/doc/197812>.

@article{Nasroallah2010,
abstract = { We consider the simulation of transient performance measures of high reliable fault-tolerant computer systems. The most widely used mathematical tools to model the behavior of these systems are Markov processes. Here, we deal basically with the simulation of the mean time to failure (MTTF) and the reliability, R(t), of the system at time t. Some variance reduction techniques are used to reduce the simulation time. We will combine two of these techniques: Importance Sampling and Conditioning Technique. The resulting hybrid algorithm performs significant reduction of simulation time and gives stables estimations. },
author = {Nasroallah, Abdelaziz},
journal = {RAIRO - Operations Research},
keywords = {Reliability; stiff Markovian models; performance measures; variance reduction; Monte-Carlo simulation.; mean time to failure; confidence intervals; birth and death processes; reliability; simulation},
language = {eng},
month = {3},
number = {4},
pages = {385-396},
publisher = {EDP Sciences},
title = {Simulation of transient performance measures for stiff markov chains},
url = {http://eudml.org/doc/197812},
volume = {34},
year = {2010},
}

TY - JOUR
AU - Nasroallah, Abdelaziz
TI - Simulation of transient performance measures for stiff markov chains
JO - RAIRO - Operations Research
DA - 2010/3//
PB - EDP Sciences
VL - 34
IS - 4
SP - 385
EP - 396
AB - We consider the simulation of transient performance measures of high reliable fault-tolerant computer systems. The most widely used mathematical tools to model the behavior of these systems are Markov processes. Here, we deal basically with the simulation of the mean time to failure (MTTF) and the reliability, R(t), of the system at time t. Some variance reduction techniques are used to reduce the simulation time. We will combine two of these techniques: Importance Sampling and Conditioning Technique. The resulting hybrid algorithm performs significant reduction of simulation time and gives stables estimations.
LA - eng
KW - Reliability; stiff Markovian models; performance measures; variance reduction; Monte-Carlo simulation.; mean time to failure; confidence intervals; birth and death processes; reliability; simulation
UR - http://eudml.org/doc/197812
ER -

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