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

页码：101 / 118

页数：18

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