Journal of Applied Mathematics and Stochastic Analysis
Volume 7 (1994), Issue 3, Pages 331-336

A new simulation estimator of system reliability

Sheldon M. Ross

Department of Industrial Engineering and Operations Research, University of California, Berkeley, Berkeley 94720, CA, USA

Received 1 August 1993; Revised 1 November 1993

Copyright © 1994 Sheldon M. Ross. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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 α2 when the usual raw estimator has variance of the order α and α is small. We also indicate how this estimator can be combined with standard variance reduction techniques of antithetic variables, stratified sampling and importance sampling.