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The Cross-Entropy Method for Network Reliability Estimation

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  • K.-P. Hui
  • N. Bean
  • M. Kraetzl
  • Dirk Kroese

Abstract

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. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • K.-P. Hui & N. Bean & M. Kraetzl & Dirk Kroese, 2005. "The Cross-Entropy Method for Network Reliability Estimation," Annals of Operations Research, Springer, vol. 134(1), pages 101-118, February.
    • Handle: RePEc:spr:annopr:v:134:y:2005:i:1:p:101-118:10.1007/s10479-005-5726-x
    DOI: 10.1007/s10479-005-5726-x
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    1. Reuven Rubinstein, 1999. "The Cross-Entropy Method for Combinatorial and Continuous Optimization," Methodology and Computing in Applied Probability, Springer, vol. 1(2), pages 127-190, September.
    2. G. Alon & D. Kroese & T. Raviv & R. Rubinstein, 2005. "Application of the Cross-Entropy Method to the Buffer Allocation Problem in a Simulation-Based Environment," Annals of Operations Research, Springer, vol. 134(1), pages 137-151, February.
    3. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
    4. P. T. de Boer & D. P. Kroese & R. Y. Rubinstein, 2004. "A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks," Management Science, INFORMS, vol. 50(7), pages 883-895, July.
    5. George S. Fishman, 1986. "A Monte Carlo Sampling Plan for Estimating Network Reliability," Operations Research, INFORMS, vol. 34(4), pages 581-594, August.
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    Cited by:

    1. Yi-Kuei Lin & Cheng-Fu Huang, 2016. "Reliability evaluation according to a routing scheme for multi-state computer networks under assured accuracy rate," Annals of Operations Research, Springer, vol. 244(1), pages 221-240, September.
    2. Zdravko I. Botev & Pierre L'Ecuyer & Gerardo Rubino & Richard Simard & Bruno Tuffin, 2013. "Static Network Reliability Estimation via Generalized Splitting," INFORMS Journal on Computing, INFORMS, vol. 25(1), pages 56-71, February.
    3. Joshua C. C. Chan & Eric Eisenstat, 2015. "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
    4. Chan, Jianpeng & Papaioannou, Iason & Straub, Daniel, 2022. "An adaptive subset simulation algorithm for system reliability analysis with discontinuous limit states," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    5. Cadini, F. & Santos, F. & Zio, E., 2014. "An improved adaptive kriging-based importance technique for sampling multiple failure regions of low probability," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 109-117.
    6. H. Cancela & M. Khadiri & G. Rubino, 2012. "A new simulation method based on the RVR principle for the rare event network reliability problem," Annals of Operations Research, Springer, vol. 196(1), pages 111-136, July.
    7. Kin-Ping Hui, 2011. "Cooperative Cross-Entropy method for generating entangled networks," Annals of Operations Research, Springer, vol. 189(1), pages 205-214, September.
    8. Yi-Kuei Lin & Shin-Guang Chen, 2016. "Double resource optimization for a robust computer network subject to a transmission budget," Annals of Operations Research, Springer, vol. 244(1), pages 133-162, September.
    9. Hao Su & Qun Niu & Zhile Yang, 2023. "Optimal Power Flow Using Improved Cross-Entropy Method," Energies, MDPI, vol. 16(14), pages 1-33, July.
    10. Sahar Abbas & Fahimeh Moosavi, 2012. "Finding shortest path in static networks: using a modified algorithm," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 1(1), pages 29-34, January.
    11. Ali Kadhem, Athraa & Abdul Wahab, Noor Izzri & Aris, Ishak & Jasni, Jasronita & Abdalla, Ahmed N., 2017. "Computational techniques for assessing the reliability and sustainability of electrical power systems: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 80(C), pages 1175-1186.
    12. Yi-Kuei Lin & Thi-Phuong Nguyen & Louis Cheng-Lu Yeng, 2019. "Reliability evaluation of a multi-state air transportation network meeting multiple travel demands," Annals of Operations Research, Springer, vol. 277(1), pages 63-82, June.

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