• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.669-677
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• 2013

Quasi-Monte Carlo method is known to have lower convergence rate than the standard Monte Carlo method. Quasi-Monte Carlo methods are using low discrepancy sequences as quasi-random numbers. They include Halton sequence, Faure sequence, and Sobol sequence. In this article, we compared standard Monte Carlo method, quasi-Monte Carlo methods and three scrambling methods of Owen, Faure-Tezuka, Owen-Faure-Tezuka in valuation of multi-asset European call option through simulations. Moro inversion method is used in generating random numbers from normal distribution. It has been shown that three scrambling methods are superior in estimating option prices regardless of the number of assets, volatility, and correlations between assets. However, there are no big differences between them.

• The Korean Journal of Applied Statistics
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• v.13 no.1
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• pp.45-53
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• 2000

본 논문에서는 모든 판정자(judge)들이 모든 객체(object)들에 대해 순위를 부여할 수 없는 경우에 얻어지는 불완전 순위자료에서 판정자들의 처리 효과에 대한 유의성을 검정하는데 관심이 있다. 이를 위해 불완전 순위자료를 완전자료로 바꾸는 알고리즘을 제안하고 알고리즘에 의해 얻어진 완전 순위자료에 Friedman 검정법을 적용하고자 한다. 제안된 검정법은 결측 객체에 순위를 부여하는데 있어서 완전순위를 갖는 판정자들의 정보를 이용함으로서 효율적이며 검정을 시행하는데 기존의 Friedman 통계량에 대한 분포표를 사용할 수 있어 간편하다. 그리고 몬테칼로 모의실험을 통하여 제안된 검정법과 기존의 평균 순위법, 최대/최소 Friedman 검정법과 검정력을 비교하였다.

• Proceedings of the Korean Statistical Society Conference
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• 2002.11a
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• pp.169-174
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• 2002

본 연구는 k개 지수분포 모수들의 기하평균에 대한 베이지안추정 방법을 제시하였다. 이를 위해 Tibshirani가 제안한 직교변환법으로 비정보적 사전확률분포를 도출하여 모수들의 결합사후확률분포를 유도해 내었으며, 이 분포 하에서 가중 몬테칼로 방법을 사용하여 기하평균을 추정하는 절차를 제안하였다. 모의실험과 실제자료의 예를 통해 제안된 베이지안 추정의 유효성 및 효용성을 보였으며, 본 연구에서 제안한 사전확률분포가 전통적인 포함확률을 기준으로 볼 때, Jeffrey의 사전확률분포 보다 더 유효한 추정을 함을 보였다.

• Progress in Medical Physics
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• v.16 no.3
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• pp.138-147
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• 2005

The Monte Carlo method cannot have been used for routine treatment planning because of heavy time consumption for the acceptable accuracy. Since calculation time is proportional to particle histories, we can save time by decreasing the number of histories. However, a small number of histories can cause serious uncertainties. In this study, we proposed Monte Carlo dose computation time and uncertainty reduction method using specially designed filters and adaptive denoising process. Proposed algorithm was applied to 6 MV photon and 21 MeV electron dose calculations in homogeneous and heterogeneous phantoms. Filtering time was negligible comparing to Monte Carlo simulation time. The accuracy was improved dramatically in all situations and the simulation of 1 $\%$ to 10$\%$ number of histories of benchmark in photon and electron dose calculation showed the most beneficial result. The empirical reduction of necessary histories was about a factor of ten to fifty from the result.

• Proceedings of the Korean Society of Medical Physics Conference
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• 2005.04a
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• pp.100-102
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• 2005

양성자 빔을 이용한 치료는 종양부위에 높은 선량을 균일하게 전달하고 정상세포에는 적은 선량을 전달할 수 있어 암치료 효과가 높으나 정확한 치료와 환자의 안전을 위해서는 양성자선량의 급락지점을 정확히 아는 것이 중요하다. 본 연구에서는 양성자와 물질과의 핵반응으로 직각방향으로 방출되는 즉발감마선을 측정하여 양성자선량 급락지점을 측정할 수 있는 검출시스템을 몬테칼로 전산코드로 전산모사하였으며, 70MeV 단일에너지 빔과 최대에너지가 70MeV인 SOBP 빔을 모의피폭체인 물팬텀에 조사하고 검출시스템을 통해 직각방향으로 방출되는 즉발감마선의 분포를 계산하였다. 모의피폭체 안에서의 양성자선량의 분포와 측정된 즉발감마선의 분포를 서로 비교하여 두 분포 사이의 상관관계를 찾고 이 상관관계를 이용하여 양성자선량 급락지점을 결정할 수 있음을 확인할 수 있었다.

• Journal of Radiation Protection and Research
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• v.29 no.2
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• pp.105-115
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• 2004

The Monte Carlo simulation requires very much time to obtain a result of acceptable accuracy. Therefore we should know the optimum number of history not to sacrifice time as well as the accuracy. In this study, we have investigated the effects of statistical uncertainties of the photon dose calculation. BEAMnrc and DOSXYZnrc systems were used for the Monte Carlo dose calculation and the case of mediastinum was simulated. The several dose calculation result from various number of histories had been obtained and analyzed using the criteria of isodose curve comparison, dose volume histogram comparison(DVH) and root mean-square differences(RMSD). Statistical uncertainties were observed most evidently in isodose curve comparison and RMSD while DVHs were less sensitive. The acceptable uncertainties $(\bar{{\Delta}D})$ of the Monte Carlo photon dose calculation for the radiation therapy were estimated within total 9% error or 1% error for over than $D_{max}/2$ voxels or voxels at maximum dose.

• Communications for Statistical Applications and Methods
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• v.4 no.2
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• pp.557-563
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• 1997

Marshall-Olkin의 이변량 지수모형을 따르는 두개의 부품으로 이루어진 시스템에서, 두 부품의 수명들이 이변량 1종 중단된 자료로 관찰되는 경우, 모수에 대한 최우추정량을 구한다. 그리고 두 부품의 수명에 대한 근사적 독립성과 동일성 검정법을 제안하고 몬테칼로 모의실험을 통하여 검정력을 비교하였다.

• Journal of the Korea Society for Simulation
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• v.29 no.1
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• pp.47-55
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• 2020

This paper presents a real-time autonomous computation of shot numbers and aiming points against multiple soft targets on grounds by applying an unsupervised learning, k-mean clustering and Monte carlo simulation. For this computation, a 100 × 200 square meters size of virtual battlefield is created where an augmented enemy infantry platoon unit attacks, defences, and is scatted, and a virtual weapon with a lethal range of 15m is modeled. In order to determine damage types of the enemy unit: no damage, light wound, heavy wound and death, Monte carlo simulation is performed to apply the Carlton damage function for the damage effect of the soft targets. In addition, in order to achieve the damage effectiveness of the enemy units in line with the commander's intention, the optimal shot numbers and aiming point locations are calculated in less than 0.4 seconds by applying the k-mean clustering and repetitive Monte carlo simulation. It is hoped that this study will help to develop a system that reduces the decision time for 'detection-decision-shoot' process in battalion-scaled combat units operating Dronebot combat system.

• The Korean Journal of Applied Statistics
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• v.13 no.2
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• pp.505-514
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• 2000

A Markov Chain Monte Carlo method with data augmentation is developed to compute the features of the posterior distribution. For each observed failure epoch, we introduced mixture failure model of Rayleigh and Erlang(2) pattern. This data augmentation approach facilitates specification of the transitional measure in the Markov Chain. Gibbs steps are proposed to perform the Bayesian inference of such models. For model determination, we explored sum of relative error criterion that selects the best model. A numerical example with simulated data set is given.

• Journal of Radiation Protection and Research
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• v.10 no.2
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• pp.89-95
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• 1985

An alternative estimator for dose equivalent was derived. The original LET distribution concept was transformed into a charged particle fluence spectrum concept along with the definition of an average quality factor named slowing-down averaged quality factor by adopting the continuous slowing down approximation. With the alternative estimator, the dose equivalent delivered into a receptor located in a given radiation field can be directly and conveniently estimated in a Monte Carlo procedure. The slowing-down averaged quality factors for the energy range below 10 MeV were evaluated and tabulated for the charged particles which may be generated from the interactions of neutron with the nuclei composing soft tissue.