Monte Carlo and subset simulation example

版本 1.0.0.0 (53.0 KB) 作者: Felipe Uribe
Solution of the Example 1: SDOF linear oscillator of the paper by Au and Beck (2001)
4.7
(11)
892.0 次下载
更新时间 2016/6/30

查看许可证

Implementation of the Example 1 of the paper, Au and Beck (2001) - Estimation of small failure probabilities in high dimensions by Subset Simulation. The main file is 'MCS_SS_linosc.m':
The subset simulation method is contained in the file 'SS.m' and the modified Metropolis algorithm in 'MMA.m'. For comparison purposes the crude Monte Carlo simulation method is also provided in file 'MCS.m'.

引用格式

Felipe Uribe (2024). Monte Carlo and subset simulation example (https://www.mathworks.com/matlabcentral/fileexchange/57947-monte-carlo-and-subset-simulation-example), MATLAB Central File Exchange. 检索时间: .

MATLAB 版本兼容性
创建方式 R2016a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Stochastic Differential Equation (SDE) Models 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

版本 已发布 发行说明
1.0.0.0