• Transactions of the Korean Society of Mechanical Engineers A
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• v.24 no.12
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• pp.2917-2925
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• 2000

Tensile strength and failure process of composite materials depend on the variation in fiber strength, matrix properties and fiber-matrix interfacial shear strength. A Monte-Carlo simulation considering variation in these factors has been widely used to analyze such a complicated phenomenon as a strength and simulated the failure process of unidirectional composites. In this study, a Monte Carlo simulation using 2-D and 3-D(square and hexagonal array) model was performed on unidirectional graphite/epoxy and glass/polyester composites. The results simulated by using 3-D hexagonal array model have a good agreement with the experimental data which were tensile strength and failure process of unidirectional composites.

• Tunnel and Underground Space
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• v.15 no.6 s.59
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• pp.441-451
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• 2005

It is the unavoidable problem that the RMR rock classification method has the uncertainty resulted from uncertain definition of measured value in RMR grade table, hence in this paper, the estimation of probability density function$(p{\cdot}d{\cdot}f)$ graph with the evaluation of continuos RMR and the Monte Carlo Simulation and statistic reasoning were carried out to evaluate the uncertainty quantitatively. Also, the modified RMR rock classification table was presented in order to apply the uncertainty of RMR to the practice, and then the design process of standard support pattern and the tunnel support material was proposed.

• Journal of the Korean Society for Precision Engineering
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• v.18 no.10
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• pp.154-160
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• 2001

For major structural components periodic inspections and integrity assessments are needed for the safety. However, many flaws are undetectable because sampling inspection is carried out during in-service inspection. Probabilistic integrity assessment is applied to take into consideration of uncertainty and variance of input parameters arise due to material properties and undetectable cracks. This paper describes a Probabilistic Fracture Mechanics(PFM) analysis based on the Monte Carlo(MC) algorithms. Taking a number of sampling data of probabilistic variables such as fracture toughness value, crack depth and aspect ratio of an initial surface crack, a MC simulation of failure judgement of samples is performed. for the verification of this analysis, a comparison study of the PFM analysis using a commercial code, mathematical method is carried out and a good agreement was observed between those results.

• Communications for Statistical Applications and Methods
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• v.15 no.4
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• pp.563-585
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• 2008

This paper presents how to improve the efficiency and accuracy in the pricing and sensitivity evaluation for derivatives, since the need for the evaluation of complicated derivatives is increased. The Monte Carlo(MC) simulation using the quasi random number instead of pseudo random number can improve the elapsed time and accuracy for the valuation of European-type derivatives. However, the quasi MC simulation method has its limit for applying it in the multi-dimensional case such as American-type and path-dependent options due to the increased correlation between dimensions as the dimension of random numbers is increased. In order to complement this problem, we develop a modified method in which correlation values are controlled to be below a pre-specified value. Thus, this method is applicable for the pricing of either derivatives ill which underlying assets or risk factors are several or derivatives having path-dependent or early redemption property. Furthermore, we illustrate that it is important to take an appropriate grid interval for the use of finite difference method(FDM) by applying the FDM to one example of non-symmetrical butterfly spreads.

• Environmental and Resource Economics Review
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• v.24 no.4
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• pp.607-627
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• 2015

As observed and experienced in EU ETS, allowance price volatility is one of major concerns in decision making process for $CO_2$ abatement investment. The problem of linearly non-separable profits functions could emerge when one power company holds several power plants with different technology specifications. Under this circumstance, conventional analytical solution for investment option is no longer available, thereby calling for the development of numerical analysis. This paper attempts to develop a Monte-Carlo least squares model to analyze investment options for power companies under emission trading scheme regulations. Stochastic allowance price is considered, and simulation is performed to verify model performance.

• The Korean Journal of Financial Studies
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• v.10 no.1
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• pp.1-44
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• 2004

연속시간모형은 시간의 흐름에 대응되는 자본자산의 운동의 성질과 시간의 흐름에 따라 형성되는 자본자산의 가격을 동시적으로 파악할 수 있는 것이 큰 장점이다. 연속시간 확률미분방정식을 구성하는 표류함수와 확산함수가 폐형해나 해석적 형태로 존재하지 않는 경우가 대부분이다. 여기에서 모수추정의 어려움이 발생한다. 전이 확률밀도함수의 인지 또는 발견의 어려움과 표류함수와 확산함수의 적분 불가능성은 최대가능도법의 사용을 어렵게 만든다. 여기에서 모수방법 보다는 비모수방법을 통하여 연속 확률 미분방정식을 추정하려는 성향이 존재한다. 밀도를 모르면 표본적률을 사용하여 모수를 추정할 수 있으므로 일반화 적률법이 연속시간 확률미분방정식의 모수 추정과 검정에 사용되고 있다. 전이밀도의 값을 시뮬레이션을 통하여 얻는 마코브연쇄 몬테카를로 방법, 전이밀도를 무한소 생성작용소를 통하여 얻는 방법, 비 모수방법, 여러 종류의 전개에 의하여 얻은 표류함수와 확산함수의 전이밀도에 대한 최대가능도법 등 여러 종류의 연속시간 확률미분방정식의 실증분석에서 사용되고 있다. 이 논문에서는 연속시간 확률미분방정식의 실증분석 방법들을 정리하는데 목적이 있다. 이일균(2004)은 이 논문과의 자매논문으로 시뮬레이션에 의한 확률미분방정식의 추정을 다루고 있어 시뮬레이션방법은 그 논문에 미룬다.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.41 no.11
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• pp.883-890
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• 2013

Aircraft combat survivability analysis is essential process for the development of combat aircraft. M&S methodology is the typical procedure for the aircraft combat survivability analysis, and the last step is the expensive Live Fire Test if it is necessary. This study introduced cost and time effective survivability analysis methodology based on the random variable weighted score algorithm in conceptual design phase. For this study, essential element and event analysis (E3A) is used to define the random variables and Monte-Carlo simulation is implemented to estimate weighted score and the final value of survivability.

• Journal of the Korea Society for Simulation
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• v.26 no.2
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• pp.31-39
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• 2017

This paper analyses the effectiveness of Kill Chain (KC) and Korea Air and Missile Defense (KAMD), also known as the K2 systems, using monte carlo simulation. It is assumed that the K2 systems are consisted with unitary KC and multi-layered (upper-tier and lower-tier) KAMD. And each system has two or three arbitrary weapon systems and its combination makes 12 scenarios. Measures of effectiveness (MOE) of the K2 systems were defined as ratio of eliminated ballistic missiles from total threats. And total cost was calculated by number of weapon launched and its unit cost. MOE and total cost of the K2 systems were estimated using monte carlo simulation with a thousand iteration for each scenario. Cost-effectiveness analysis was performed and the best candidate was selected using fixed effectiveness approach. As a result, the performances of KC are prime factor that affects both effectiveness and total cost of the K2 systems. It is also, acquired proper level of lower-tier KAMD to achieve desired defense effectiveness. For future work, it needs to be performed cost-effectiveness analysis based on practical specification and life cycle cost of weapon systems.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1998.10a
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• pp.97-100
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• 1998

옵션의 가격을 계산하기 위한 수치해법은 크게 격자모형, 유한차분법, 그리고 몬테카를로 시뮬레이션의 세 가지로 분류된다. 유한차분법은 옵션가격함수가 만족하는 편미분 방정식의 모든 편도함수를 유한 차분식으로 근사하여 옵션을 평가하는 방법이다. 본 연구에서는 유한차분법을 이용하여 옵션을 평가 할 때 발생하는 가격계산 오차의 가장 큰 원인이 옵션 만기 손익구조(payoff)의 비선형성에 있음을 보인다. 특히, 옵션 시장에서 가장 거래가 많이 이루어지는 손익분기옵션(at the money option) 그리고 손익분기점에 가까운 옵션(around the money option)에서 가장 큰 오차가 발생함을 보인다. 또한 본 연구에서는 이러한 오차를 효율적으로 줄이기 위하여 행사가격 근처의 일부 구간에서만 구간점 사이의 간격을 변화시키는 수정된 유한차분법을 제시하고 오차의 크기와 계산의 효율성 측면에서 기존의 유한차분법과 비교·분석한다.

• Journal of the Korean Geosynthetics Society
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• v.18 no.4
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• pp.205-214
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• 2019

Load and resistance factor design of mound breakwater against circular failure was developed in this study. To achieve the goal, uncertainties of parameters of soils, mound, and concrete cap were determined. Eight design cases of domestic mound breakwaters were collected and analyzed. Monte Carlo Simulation was implemented to determine the most critical slip surfaces of the design cases. Using the results of Monte Carlo Simulation, First-Order Reliability Method (FORM) was used to perform reliability analyses. Optimal load and resistance factors were calculated using the reliability analysis results and final load and resistance factors were proposed based on the calculated optimal factors.