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研究生: 時維寧
Wei-Ling Shih
論文名稱: 隨機網路不可靠度之評估─植基於最小割集之重點抽樣機制
Important Sampling Scheme Based on Minimal Cuts for Stochastic Network Unreliability Estimation
指導教授: 楊維寧
Wei-Ning Yang
口試委員: 陳雲岫
Yun-Shiow Chen
陳正綱
Cheng-Kang Chen
呂永和
Yungho Leu
袁明鑑
Mingjian Yuan
學位類別: 博士
Doctor
系所名稱: 管理學院 - 資訊管理系
Department of Information Management
論文出版年: 2013
畢業學年度: 101
語文別: 英文
論文頁數: 82
中文關鍵詞: 電腦模擬隨機網路失效率變異數縮減技術重點抽樣法最小割集
外文關鍵詞: Simulation, Stochastic network, Unreliability, Variance Reduction Technique, Importance sampling, Minimal cut
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  • 電腦模擬常被用來估計隨機網路的失效率,但是估計高度可靠隨機網路的失效率需要巨大的抽樣成本。本論文根據網路中數個最小割集提出一個重點抽樣程序以估計高度可靠隨機網路的失效率,其構想是在網路失效域中使重點抽樣分布儘可能貼近原始分布,並直接產生失效的系統狀態。本論文所提出的估計量可證實具有不偏性並可推導其變異數。實驗結果證實本論文所提出之重點抽樣估計程序可明顯地降低估計量的變異數,對高度可靠的隨機網路效果尤其顯著。


    Computer simulation is often used to estimate the system unavailability of a stochastic network. However, sampling efforts required for estimating unavailability of a highly reliable network become formidable. An importance sampling scheme based on a subset of the minimal cuts of the network is proposed. The idea is to keep the importance distribution close to the original state distribution over the region of system failure and directly generate the failure states. The proposed estimator is shown to be unbiased and the variance of the estimator is derived. Empirical results show that for highly reliable networks the proposed estimator can achieve substantial variance reduction.

    Chinese Abstract i Abstract ii Acknowledgement iii 1 Introduction 1 2 Preliminaries 4 2.1 Problem De nition . . . . . . . . . . . . . . . . . . . . . 4 2.2 Crude Monte Carlo Sampling . . . . . . . . . . . . . . . 5 2.3 Variance Reduction Techniques . . . . . . . . . . . . . . 5 2.3.1 Common Random Numbers . . . . . . . . . . . . 6 2.3.2 Antithetic Variates . . . . . . . . . . . . . . . . . 7 2.3.3 Exploration of Correlations . . . . . . . . . . . . 8 2.3.4 Importance Sampling . . . . . . . . . . . . . . . 14 2.3.5 Combining Variance Reduction Techniques . . . . 16 3 Importance Sampling Estimator Based on Minimal Cuts 19 3.1 When All Minimal Cuts are available . . . . . . . . . . . 19 3.1.1 Cuts and Minimal Cuts . . . . . . . . . . . . . . 19 3.1.2 Importance Sampling scheme . . . . . . . . . . . 20 3.1.3 Quality of ^ IMP . . . . . . . . . . . . . . . . . . . 21 3.2 When All Minimal Cuts are not available . . . . . . . . . 22 3.2.1 Modi ed Importance Sampling scheme . . . . . . 23 3.2.2 More Variance Reduction . . . . . . . . . . . . . 23 3.2.3 Determination of . . . . . . . . . . . . . . . . . 24 3.2.4 Proposed Importance Sampling scheme . . . . . . 25 3.2.5 Uncommon Failure Probabilities . . . . . . . . . . 25 4 Empirical study 27 4.1 Experiment Results For Common Failure Probability . . 31 4.1.1 Dodecahedron Network . . . . . . . . . . . . . . . 31 4.1.2 6 6 Grid Network . . . . . . . . . . . . . . . . . 32 4.2 Experiment Results for Uncommon Failure Probability . 33 4.2.1 Case I on Dodecahedron Network . . . . . . . . . 33 4.2.2 Case II on Dodecahedron Network . . . . . . . . 34 5 Comparison with other methods 35 5.1 Comparison Results on Dodecahedron Network . . . . . 37 5.2 Comparison Results on 6 6 Grid Network . . . . . . . . 38 6 Conclusion and Future Works 39 BIBLIOGRAPHY 40 Appendix: A Simscript Code for Dodecahedron Network 47 B Simscript Code for 6 6 Grid Network 59 Curriculum Vita 70 Publication List 71

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