General conditions for bounded relative error in simulations of highly reliable Markovian systems

• DOI: 10.2307/1428177
• Publication Date: 2006-04-23T20:50:14Z
• Authors: Marvin K. Nakayama
• Keywords: 0101 mathematics; 01 natural sciences

We establish a necessary condition for any importance sampling scheme to give bounded relative error when estimating performance measure of highly reliable Markovian system. Also, class methods is defined which we prove and sufficient the estimator. This probability measures includes all currently existing failure biasing in literature. Similar conditions derivative estimators are established.