Title :
Reliability of stochastic flow networks with continuous link capacities
Author :
Botev, Zdravko I. ; Vaisman, Slava ; Rubinstein, Reuven Y. ; L´Ecuyer, Pierre
Author_Institution :
Sch. of Math. & Stat., Univ. of New South Wales, Sydney, NSW, Australia
Abstract :
We consider the problem of estimating the unreliability of a stochastic flow network, defined as the probability that the maximum flow value from a source node to a terminal node in a directed network with stochastic link capacities, is less than a specified demand level. The link capacities are assumed to be continuous random variables with a known joint distribution. We are interested in the situation where the unreliability is very small, in which case a crude Monte Carlo is not viable. We show how a Monte Carlo splitting algorithm can be adapted to handle this problem effectively.
Keywords :
Monte Carlo methods; probability; reliability; stochastic processes; Monte Carlo splitting algorithm; continuous link capacities; joint distribution; maximum flow value; probability; reliability; stochastic flow networks; Approximation algorithms; Heuristic algorithms; Monte Carlo methods; Random variables; Reliability; Stochastic processes; Vectors;
Conference_Titel :
Simulation Conference (WSC), 2014 Winter
Conference_Location :
Savanah, GA
Print_ISBN :
978-1-4799-7484-9
DOI :
10.1109/WSC.2014.7019919