Stochastic Simultaneous Optimistic Optimization by Michal Valko

Black box stochastic function optimization without the knowledge of function's smoothness. (optimization, smoothness, stochastic)

draw_function(x_min,x_max,f,output)

draw_partition_tree(t,settings)

example_simple.m

Random Search Algorithm by Reza Ahmadzadeh

Random search belongs to the fields of Stochastic Optimization and Global Optimization. (optimization, algorithm, global)

RSA.m

RSA_visual.m

Gillespie Stochastic Simulation Algorithm by Nezar

Simulate discrete stochastic models of chemical reaction networks. (simulation, modeling, chemistry)

directMethod( stoich_matrix, propensity_fcn, tspan, x0,...

example

firstReactionMethod( stoich_matrix, propensity_fcn, tspan, ...

Adaptive ReGression using Uncertainty Searching (ARGUS) by Kemp

This routine attempts to learn conditionally variant stochastic spaces. (conditional variance, adaptive sampling, stochastic)

ARGUS(XYdata,numsamp,hist)

Btsrpprs(XYdata, reps,nghbr)

MCInterProjTh(numpnts,oldDoE)

sw by mohammadreza

stochastic (stochastic)

sw

Stochastic Dynamic Programming for Water Reservoir by Imron Rosyadi

Stochastic Dynamic Programming is an optimization technique for decision making under uncertainty. (simulation, statistics, optimization)

A5=inflowclassstat1(file)

A=posmatr(matriks)

A=posmax(vector)

Trading strategy back tester by Donny Lee

This program shows the profit and lost of using different trading strategies on Singapore stocks. (algorithmic, trading, stochastic)

CSVconvert(thelist)

IndBol(s)

IndMA(s)

Gibbs Motif Sampler by Brad Ridder

Finds motifs and the optimum width via Gibbs sampling. No toolboxes required. (motif search, montecarlo, markov)

gibbsmotifsampler(seqArray,motifVector,alphabet,Options)

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (heston, blackscholes, call)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

Resampling methods for particle filtering by Jose-Luis Blanco

Implementation of four resampling methods (Multinomial, Residual, Stratified, and Systematic) (particle filter, bayes, ess)

ESS( w )

Gauss( x )

countPathHypotheses(x)

Discrete random element selection based on a user-specified distribution by Christopher

Returns random elements from a set of discrete points according to a user-specified distribution. (random, distribution, stochastic)

randelement(E, SZ, P)

Montecarlo simulation by Clement Bernard

estimation of pi, using montecarlo method (montecarlo, pi, stochastic)

monte_carlo.m

Modeling, Analysis, Design, and Control of Stochastic Systems by Vidyadhar Kulkarni

Companion Software (controls, modeling, analysis)