A Monte Carlo Simulation of the Flow Network Reliability using Importance and Stratified Sampling

Stéphane Bulteau 1 Mohamed El Khadiri 1
1 MODEL - Modeling Random Systems
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
Abstract : We consider the evaluation of the flow network reliability parameter. Because the exact evaluation of this parameter has exponential time complexity- , simulation methods are used to derive an estimate. In this paper, we use the state space decomposition methodology of Doulliez and Jamoulle for constructing a new simulation method which combines the importance and the stratified Monte Carlo principles. We show that the related estimator belongs to the variance-reduction family. By numerical comparisons, we illustrate the interest of our method when compared to the previous simulation methods based on the same decomposition.
Type de document :
Rapport
[Research Report] RR-3122, INRIA. 1997
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https://hal.inria.fr/inria-00073568
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Soumis le : mercredi 24 mai 2006 - 13:12:12
Dernière modification le : jeudi 11 janvier 2018 - 06:20:09
Document(s) archivé(s) le : dimanche 4 avril 2010 - 21:09:44

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Stéphane Bulteau, Mohamed El Khadiri. A Monte Carlo Simulation of the Flow Network Reliability using Importance and Stratified Sampling. [Research Report] RR-3122, INRIA. 1997. 〈inria-00073568〉

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