An adaptive zero-variance importance sampling approximation for static network dependability evaluation

DOI10.1016/J.COR.2013.12.011zbMath1348.90217DBLPjournals/cor/TuffinSL14OpenAlexW2001906796WikidataQ60347114 ScholiaQ60347114MaRDI QIDQ336964

Bruno Tuffin, Samira Saggadi, Pierre L'Ecuyer

Publication date: 10 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2013.12.011

zbMATH Keywords

reliabilityMonte Carlo simulation

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Reliability, availability, maintenance, inspection in operations research (90B25)

Related Items (2)

Sampling Conditionally on a Rare Event via Generalized Splitting ⋮ Static Network Reliability Estimation under the Marshall-Olkin Copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on two problems in connexion with graphs
• Approximating zero-variance importance sampling in a reliability setting
• Adapative importance sampling on discrete Markov chains
• Stochastic simulation: Algorithms and analysis
• Handbook of Monte Carlo Methods
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Rare Event Simulation using Monte Carlo Methods
• Computational Complexity of Network Reliability Analysis: An Overview
• Acceleration of Stochastic Approximation by Averaging
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Budget-Dependent Convergence Rate of Stochastic Approximation
• Introduction to Stochastic Search and Optimization
• Cross-entropy and rare events for maximal cut and partition problems
• Asymptotic robustness of estimators in rare-event simulation
• The stochastic root-finding problem
• Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State

This page was built for publication: An adaptive zero-variance importance sampling approximation for static network dependability evaluation