Rare-event simulation for distribution networks

DOI10.1287/OPRE.2019.1852zbMATH Open1444.90002arXiv1706.05602OpenAlexW2971780291WikidataQ127308287 ScholiaQ127308287MaRDI QIDQ5129201FDOQ5129201

Author name not available (Why is that?)

Publication date: 26 October 2020

Published in: Operations Research (Search for Journal in Brave)

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.

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

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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)

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Cited In (1)

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

Uses Software

• QRM

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