A Monte Carlo Simulation of the Flow Network Reliability using Importance and Stratified Sampling

摘要

We consider the evaluation of the flow network reliability parameter. Because the exact evaluation of this parameter has exponential time complexity- , simulation methods are used to derive an estimate. In this paper, we use the state space decomposition methodology of Doulliez and Jamoulle for constructing a new simulation method which combines the importance and the stratified Monte Carlo principles. We show that the related estimator belongs to the variance-reduction family. By numerical comparisons, we illustrate the interest of our method when compared to the previous simulation methods based on the same decomposition.