The cross-entropy method for network reliability estimation

被引：74
|
作者：
Hui, KP [1 ]
Bean, N
Kraetzl, M
Kroese, DP
机构：
[1] Def Sci & Technol Org, IN Div, Edinburgh 5111, Australia
[2] Univ Adelaide, Dept Appl Math, Adelaide, SA 5005, Australia
[3] Def Sci & Technol Org, ISR Div, Edinburgh 5111, Australia
[4] Univ Queensland, Dept Math, Brisbane, Qld 4072, Australia
来源：
ANNALS OF OPERATIONS RESEARCH | 2005年 / 134卷 / 01期
关键词：
network reliability; cross-entropy; rare events; importance sampling; permutation Monte Carlo; merge process;
D O I：
10.1007/s10479-005-5726-x
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Consider a network of unreliable links, modelling for example a communication network. Estimating the reliability of the network-expressed as the probability that certain nodes in the network are connected-is a computationally difficult task. In this paper we study how the Cross-Entropy method can be used to obtain more efficient network reliability estimation procedures. Three techniques of estimation are considered: Crude Monte Carlo and the more sophisticated Permutation Monte Carlo and Merge Process. We show that the Cross-Entropy method yields a speed-up over all three techniques.
引用
收藏
页码：101 / 118
页数：18
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