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'.
Felipe Uribe (2021). Monte Carlo and subset simulation example (https://www.mathworks.com/matlabcentral/fileexchange/57947-monte-carlo-and-subset-simulation-example), MATLAB Central File Exchange. Retrieved .
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