Monte Carlo and subset simulation example

Version 1.0.0.0 (53 KB) by Felipe
Solution of the Example 1: SDOF linear oscillator of the paper by Au and Beck (2001)
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Updated Thu, 30 Jun 2016 20:43:39 +0000

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

MATLAB Release Compatibility
Created with R2016a
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Version Published Release Notes
1.0.0.0