bridgeCE.m
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Estimates the length of the shortest path in the bridge example via importance sampling using independent beta dististributed links. Here, the reference parameter is estimated via the cross-entropy method from a pilot run. Uses h.m.
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bridgeCMC.m
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Estimates the length of the shortest path in the bridge example via crude Monte Carlo. Uses h.m.
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bridgeCondMC.m
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Estimates the length of the shortest path in the bridge example via conditional Monte Carlo. Uses Zcond.m.
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bridgeCV.m
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Estimates the length of the shortest path in the bridge example using control variables. Uses h.m and hc.m.
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bridgeIS.m
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Estimates the length of the shortest path in the bridge example via importance sampling with independent beta distributed links. Uses h.m.
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bridgeQMC_faure.m
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Estimates the length of the shortest path in the bridge example via quasi Monte Carlo with Faure points. Uses faure.m and h.m.
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compare_CMC_and_ARV.m
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Bridge example comparison between crude Monte Carlo with and without using antithetic pairs. Uses h.m.
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f_var.m
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Objective function for use in determining the optimial parameters of the beta-distributed links via variance minimization.
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faure.m
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Produces a Faure point set.
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gamble_CE_A.m
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Estimates the probability of success in a gambler's ruin problem using importance sampling with a CE-optimal change of measure.
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H1.m
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Returns the shortest paths for use in the bridge example. For use with the reponse surface examples.
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h.m
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Returns the shortest paths for use in the bridge example.
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hc.m
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Returns the shortest of two key paths for use as a control variable in the bridge example.
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lhcsbridge.m
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Estimates the length of the shortest path in the bridge example via latin hypercube sampling. Uses h.m.
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responsesurfis.m
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Estimates the response surface for the length of the shortest path via importance sample, when one of the links has a uniform distribution on zero to theta. Uses H1.m.
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responsesurfis_exp.m
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Estimates the response surface for the length of the shortest path via importance sample, when one of the links has an exponential distribution with mean theta. Uses H1.m.
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stratbridge.m
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Estimates the length of the shortest path in the bridge example via systematic stratisfied sampling. Uses h.m.
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vmceopt.m
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Estimates the length of the shortest path in the bridge example via importance sampling using independent beta dististributed links. Here, the reference parameter is estimated via the variance minimization on a pilot run. Uses f_var.m and h.m.
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wsbridge.m
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Estimates the length of the shortest path in the bridge example using a weighted sample estimator. Uses h.m.
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Zcond.m
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Conditional variables used in conditional Monte Carlo for the bridge example.
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