Sheldon M. Ross, "A new simulation estimator of system reliability", International Journal of Stochastic Analysis, vol. 7, Article ID 247534, 6 pages, 1994. https://doi.org/10.1155/S1048953394000286
A new simulation estimator of system reliability
A basic identity is proven and applied to obtain new simulation estimators concerning (a) system reliability, (b) a multi-valued system. We show that the variance of this new estimator is often of the order when the usual raw estimator has variance of the order and is small. We also indicate how this estimator can be combined with standard variance reduction techniques of antithetic variables, stratified sampling and importance sampling.
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