A fast Monte Carlo method for evaluating reliability indexes

被引：41
|
作者：
Lieber, D [1 ]
Nemirovskii, A [1 ]
Rubinstein, RY [1 ]
机构：
[1] Technion Israel Inst Technol, Fac Ind Engn & Management, IL-32000 Haifa, Israel
来源：
IEEE TRANSACTIONS ON RELIABILITY | 1999年 / 48卷 / 03期
关键词：
importance sampling; rare event; score function; sensitivity analysis; simulation;
D O I：
10.1109/24.799896
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper presents a fast Monte Carlo method, based on importance sampling (IS) distribution, for estimation of reliability indexes in hydroelectric systems. More precisely, it considers the case where the IS distribution comes from the same parametric family as the original (true) one and proposes a simulation-based optimization algorithm for selecting the parameters of the TS in an optimal way. The superiority of this method, relative to the usual Monte Carlo one, is shown for the well-known test problem: IEEE Reliability Test System.
引用
收藏
页码：256 / 261
页数：6
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