ON THE RELIABILITY ESTIMATION OF THE GAUSSIAN DEGRADATION SYSTEM WITH A PATH-DEPENDENT MEAN DEGRADATION RATE

We consider a system whose degradation dynamic is described by an underlying stochastic process that consists of two components: a centered Gaussian process and a drift term with a so-called path-dependent intensity rate, which means its dependence on the degradation history. The main goal is to estimate the reliability of the system via simulation methods, as its analytical expression is generally not available. The cross-entropy method has been applied to estimate the required quantity with acceptable accuracy. A few numerical experiments have been conducted to study the properties of the proposed estimator.