On the variance reduction methods for estimating the reliability of the multi-phase Gaussian degradation system

Oleg Lukashenko
We consider the Gaussian multi-phase degradation model. The main target quantity is reliability defined as the tail distribution of the system lifetime. When the required performance measure has no closed-form expression one has to rely on simulation methods. Since the reliability is usually extremely small the problem of the rare-event simulation arises. To tackle this problem a few variance reduction methods have been applied. Some numerical experiments are performed to compare the relative error of the proposed estimators.