Fast Simulation Method for the Evaluation of Intersection Probability of Random Level by Markov Process

摘要

A two-dimensional Markov process is considered. Its first component determines the system efficiency, and the second one - an efficiency which is required from the system. The probability of system functional failure when the real system efficiency becomes lower than the required efficiency is investigated. A fast simulation algorithm for the evaluation of the functional failure is proposed. Conditions ensuring the boundedness of relative root-mean square error are established. Numerical results are presented.