MAGP (Maximum Analysis of Gaussian Processes)

is a MATLAB toolbox for computing the distribution of the maximum of a Gaussian process.
See example results: magp_example.html.

This program is the practical version of the results presented in Mercadier (2006) where it is assumed that the Gaussian processes are regular in some sense.

This code deals with centered but non necessarily stationary Gaussian processes. It could be extended to non centered Gaussian processes.

This toolbox is based on the routine rind written by Brodtkorb (2004) available in the WAFO toolbox. Consequently, if you want to use MAGP, you need to download WAFO.

REQUEST CONFIGURATION:

WAFO versions exist for the computer types pcwin, sol2 and alpha (type lower(computer) at the Matlab prompt to find out your computer type).
MAGP is given here under the pcwin version. However, it can be easily extended to sol2 or alpha type.

DOWNLOAD MAGP:

compressed files: magp.zip

DOWNLOAD WAFO:

compressed files: wafo-2.1.1.zip
pcwin executable files: wafo-2.1.0-2.1.1_pcwin.zip

REFERENCES:

Brodtkorb, Per Andreas (2004)
Numerical evaluation of multinormal expectations In Lund university report series.

Brodtkorb, P.A., Johannesson, P., Lindgren, G., Rychlik, I., Rydén, J., and Sjö, E. (2000)
WAFO - a Matlab toolbox for analysis of random waves and loads. Proc. of the 10th Int. Offshore and Polar Eng. conf., Seattle, Vol III, pp. 343-350. [Abstract: HTML | Paper: PS (380 kb)]

Mercadier, Cécile (2006)
Numerical bounds for the distribution of the maximum of one- and two-dimensional processes, Adv. in Appl. Probab. 38, no. 1, 149-170. [Abstract: HTML | Mathematical Reviews]