Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting

Abstract

Splitting is a widely known Monte Carlo variance reduction method (VRM). It has been successfully applied for a long time in Monte Carlo applications to neutral particles transport in Nuclear Engineering. In this field splitting is usually referred to as a Geometric Splitting method since it relies on geometric properties of the medium, namely distance and direction. Splitting is remarkable in the sense that it is a "safe" method. Unlike VRMs based on biasing it can not cause the sow tooth phenomenon in which a wrong result appears with very small statistical error. The only risk of using this method is increasing computation time. This makes the application of this method to such areas as safety-critical systems reliability and risk assessment a very attractive option.