.png){kind=icon}
返回
A new importance sampling Monte Carlo method for a flow network reliability problem
.png){kind=icon}
PRE
AI
DOI：10.1002/nav.10004.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
AbstractThe exact evaluation of the probability that the maximum st‐flow is greater than or equal to a fixed demand in a stochastic flow network is an NP‐hard problem. This limitation leads one to consider Monte Carlo alternatives. In this paper, we propose a new importance sampling Monte Carlo method. It is based on a recursive use of the state space decomposition methodology of Doulliez and Jamoulle during the simulation process. We show theoretically that the resulting estimator belongs to the variance‐reduction family and we give an upper bound on its variance. As shown by experimental tests, the new sampling principle offers, in many cases, substantial speedups with respect to a previous importance sampling based on the same decomposition procedure and its best performances are obtained when highly reliable networks are analyzed. © 2002 Wiley Periodicals, Inc. Naval Research Logistics 49: 204–228, 2002; DOI 10.1002/nav.10004
期刊
暂无期刊信息
机构
暂无机构信息
引用论文
暂无论文信息