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The cross-entropy method for network reliability estimation
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DOI：10.1007/s10479-005-5726-x.png)
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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.
Keyword:
network reliability
cross-entropy
rare events
importance sampling
permutation Monte Carlo
merge process
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