Title :
A fast Monte Carlo method for evaluating reliability indexes
Author :
Lieber, Dmitrii ; Nemirovskii, Phrkadii ; Rubinstein, Reuven Y.
Author_Institution :
Technion-Israel Inst. of Technol., Haifa, Israel
fDate :
9/1/1999 12:00:00 AM
Abstract :
This paper presents a fast Monte Carlo method, based on importance sampling (IS) distribution, for estimation of reliability indexes in hydroelectric systems. More precisely, it considers the case where the IS distribution comes from the same parametric family as the original (true) one and proposes a simulation-based optimization algorithm for selecting the parameters of the IS in an optimal way. The superiority of this method, relative to the usual Monte Carlo one, is shown for the well-known test problem: IEEE Reliability Test System
Keywords :
Monte Carlo methods; hydroelectric power; importance sampling; power system reliability; IEEE Reliability Test System; fast Monte Carlo method; hydroelectric power systems; importance sampling distribution; rare event; reliability indexes evaluation; score function; sensitivity analysis; simulation-based optimization algorithm; Analytical models; Discrete event simulation; Insurance; Monte Carlo methods; Risk analysis; Sensitivity analysis; State estimation; System testing; Telecommunication network reliability; Time measurement;
Journal_Title :
Reliability, IEEE Transactions on
