Monte Carlo and subset simulation example
Solution of the Example 1: SDOF linear oscillator of the paper by Au and Beck (2001)
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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'.
Cite As
Felipe Uribe (2026). Monte Carlo and subset simulation example (https://au.mathworks.com/matlabcentral/fileexchange/57947-monte-carlo-and-subset-simulation-example), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Stochastic Differential Equation (SDE) Models in Help Center and MATLAB Answers
General Information
- Version 1.0.0.0 (53 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
