Procedures of Monte Carlo transport simulation for applications in system engineering

Monte Carlo (MC) simulation is the most promising tool for performing realistic reliability and availability analysis of complex systems. Yet, the efficient use of MC simulation technique is not trivial in large scale applications. This paper considers the two commonly adopted approaches to MC simulation: the direct, component-based approach and the indirect, system-based approach. The mathematical details of the two approaches are worked out in detail, so as to show their probabilistic equivalence. The proper formulation for biasing the simulation is introduced, thus leading to the correct expressions for the statistical weights. Both approaches are applied, in an analog as well as in a biased scheme, to a simple system of the literature and comparisons are made with respect to the computing time and the goodness of the estimate, as measured by the variance of the results. (C) 2002 Elsevier Science Ltd. All rights reserved.