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Monte Carlo and subset simulation example

version 1.0.0.0 (53 KB) by Felipe Uribe
Solution of the Example 1: SDOF linear oscillator of the paper by Au and Beck (2001)

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Updated 30 Jun 2016

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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'.

Comments and Ratings (8)

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux