Authors
Pierre L'Ecuyer, Gerardo Rubino, Samira Saggadi, Bruno Tuffin
Publication date
2011/4/21
Journal
IEEE transactions on reliability
Volume
60
Issue
3
Pages
590-604
Publisher
IEEE
Description
We propose a new Monte Carlo method, based on dynamic importance sampling, to estimate the probability that a given set of nodes is connected in a graph (or network) where each link is failed with a given probability. The method generates the link states one by one, using a sampling strategy that approximates an ideal zero-variance importance sampling scheme. The approximation is based on minimal cuts in subgraphs. In an asymptotic rare-event regime where failure probability becomes very small, we prove that the relative error of our estimator remains bounded, and even converges to 0 under additional conditions, when the unreliability of individual links converges to 0. The empirical performance of the new sampling scheme is illustrated by examples.
Total citations
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Scholar articles
P L'Ecuyer, G Rubino, S Saggadi, B Tuffin - IEEE transactions on reliability, 2011