The Cross-Entropy Method for Network Reliability Estimation

K.-P. Hui (), N. Bean, M. Kraetzl and Dirk Kroese

Annals of Operations Research, 2005, vol. 134, issue 1, 118 pages

Abstract: 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. Copyright Springer Science + Business Media, Inc. 2005

Keywords: network reliability; cross-entropy; rare events; importance sampling; permutation Monte Carlo; merge process (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s10479-005-5726-x

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