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Durham Research Online
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Multilevel Monte Carlo for Reliability Theory.

Aslett, L. J. M. and Nagapetyan, T. and Vollmer, S. J. (2017) 'Multilevel Monte Carlo for Reliability Theory.', Reliability engineering & system safety., 165 . pp. 188-196.

Abstract

As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the number of cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) — a simulation approach which is typically used for stochastic differential equation models — can be applied in reliability problems by carefully controlling the bias-variance tradeoff in approximating large system behaviour. In this first exposition of MLMC methods in reliability problems we address the canonical problem of estimating the expectation of a functional of system lifetime for non-repairable and repairable components, demonstrating the computational advantages compared to classical Monte Carlo methods. The difference in computational complexity can be orders of magnitude for very large or complicated system structures, or where the desired precision is lower.

Item Type:Article
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Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.ress.2017.03.003
Publisher statement:© 2017 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/BY/4.0/)
Date accepted:06 March 2017
Date deposited:26 April 2017
Date of first online publication:09 March 2017
Date first made open access:26 April 2017

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