Rare-event simulation for distribution networks

DOI10.1287/OPRE.2019.1852MaRDI QIDQ5129201zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 26 October 2020

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.05602

zbMATH Keywords

importance samplingrare-event simulationdistribution networklinear programconditional Monte Carlo

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Stochastic programming (90C15) Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10)

Abstract: We model equilibrium allocations in a distribution network as the solution of a linear program (LP) which minimizes the cost of unserved demands across nodes in the network. The constraints in the LP dictate that once a given node's supply is exhausted, its unserved demand is distributed among neighboring nodes. All nodes do the same and the resulting solution is the equilibrium allocation. Assuming that the demands are random (following a jointly Gaussian law), our goal is to study the probability that the optimal cost (i.e. the cost of unserved demands in equilibrium) exceeds a large threshold, which is a rare event. Our contribution is the development of importance sampling and conditional Monte Carlo algorithms for estimating this probability. We establish the asymptotic efficiency of our algorithms and also present numerical results which illustrate strong performance of our procedures.

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Cited in

(1)

• Robustness of power-law behavior in cascading line failure models

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