• 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.

• 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.

• 한국HCI학회:학술대회논문집
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• 2008.02a
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• pp.712-716
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• 2008

In this paper, we introduce a way to generate and control the serial music using stochastical tools. A serialism, which is one of composition techniques in the 20th century modern music, is composed using uniformly distributed notes or durations. To conserve this property, we design the optimization process to generate the random numbers which can be used to compose the serial music. The optimization are designed using chi-square test and auto-correlation test. User can also apply the additional constraint to the objective function for controlling the serial music. Using the our method, we can compose and control the traditional serial music automatically.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.28 no.1
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• pp.61-71
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• 2018

In the Internet of Things, in which plenty of devices have connection to each other, cryptographically secure Random Number Generators (RNGs) are essential. Particularly, entropy source, which is the only one non-deterministic part in generating random numbers, has to equip with an unpredictable noise source(or more) for the required security strength. This might cause an requirement of additional hardware extracting noise source. Although additional hardware resources has better performance, it is needed to make the best use of existing resources in order to avoid extra costs, such as area, power consumption. In this paper, we suggest an entropy source which uses a multi-threaded program without any additional hardware. As a result, it reduces the difficulty when implementing on lightweight, low-power devices. Additionally, according to NIST's entropy estimation test suite, the suggested entropy source is tested to be secure enough for source of entropy input.

• Journal of Korea Water Resources Association
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• v.48 no.1
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• pp.37-44
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• 2015

A Bayesian nonstationary probability rainfall estimation model using the Grid method is developed. A hierarchical Bayesian framework is consisted with prior and hyper-prior distributions associated with parameters of the Gumbel distribution which is selected for rainfall extreme data. In this study, the Grid method is adopted instead of the Matropolis Hastings algorithm for random number generation since it has advantage that it can provide a thorough sampling of parameter space. This method is good for situations where the best-fit parameter values are not easily inferred a priori, and where there is a high probability of false minima. The developed model was applied to estimated target year probability rainfall using hourly rainfall data of Seoul station from 1973 to 2012. Results demonstrated that the target year estimate using nonstationary assumption is about 5~8% larger than the estimate using stationary assumption.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.17 no.3
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• pp.206-212
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• 1992

In this paper, a public key cryptosystem for security in computer communication networks is proposed. This is based on the security to a difficulty of factorization. For the proposed public key polynomials and the random intergers, then the ciphertext is computed. The security of proposed public key knapsack cryptosystem is verified with digital simulation.

• Proceedings of the Korean Statistical Society Conference
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• 2003.05a
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• pp.19-24
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• 2003

신경망은 적용 다양성과 제약조건의 최소성, 강력한 예측성, 범용성, 근사성 등 많은 장점을 지니고 있으나 초기 가중치의 할당에 따라 모델 생성의 Performance와 예측의 결과가 달라지게 되는 단점을 지니고 있다. 이런 신경망의 초기 가중치에 따른 단점을 보안하기 위해 통계적 알고리즘의 접목을 통해 Hybrid된 신경망 보완 알고리즘을 제시하고자 하였다. 논문을 위한 기본 가정으로 신경망의 가장 기본인 SLP 알고리즘을 바탕으로 활성함수에 가장 일반적으로 사용되는 Sigmoid 활성함수를 이용하였을 때, 초기 가중치로 기존의 임의 난수 생성 방식이 아닌 통계적 로지스틱 회귀분석의 계수값(mle)을 제시하여 이를 초기치로 사용한 경우와 그렇지 않은 경우의 예측 정확성과 수렴의 Performance정도를 비교하여 가장 효과적인 초기치 방법을 제시하고자 하였다.

• Journal of Korea Water Resources Association
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• v.38 no.12 s.161
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• pp.1051-1060
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• 2005

The present study analyzes hydrologic utilization of optimal radar-derived rainfall by using semi-distributed TOPMODEL and evaluates the impacts of radar rainfall and model parametric uncertainty on a hydrologic model. Monte Carlo technique is used to produce the flow ensembles. The simulated flows from the corrected radar rainfalls with real-time bias adjustment scheme are well agreed to observed flows during 22-26 July 2003. It is shown that radar-derived rainfall is useful for simulating streamflow on a basin scale. These results are diagnose with which radar-rainfall Input and parametric uncertainty influence the character of the flow simulation uncertainty. The main conclusions for this uncertainty analysis are that the radar input uncertainty is less influent than the parametric one, and combined uncertainty with radar and Parametric input can be included the highest uncertainty on a streamflow simulation.

• Proceedings of the Korea Water Resources Association Conference
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• 2023.05a
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• pp.475-475
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• 2023

직경 5 mm 이하의 미세플라스틱은 인류 활동에 의해 생산되어 하수처리장 처리수, 우수토구, 도로 분진 등 다양한 경로를 통해 하천에 유입되고 있다. 하천에 유입된 미세플라스틱은 하천흐름을 따라 하류로 이동하여 해양환경에까지 이른다. 미세플라스틱은 수체를 따라 이동할 뿐 아니라 수생생물에 의해 섭식되기도 하여 인체 위해성이 우려되는 상황이다. 특히 서울과 경기도의 주요 상수원인 팔당호는 북한강, 남한강, 경안천이 유입되어 형성되기 때문에 미세플라스틱의 유입에 따른 이송-분산 거동 평가가 중요한 영역이다. 본 연구에서는 준3차원 입자추적기법을 이용한 미세플라스틱 거동해석 모형, MPT-Q3D를 개발하였으며 팔당호 내 미세플라스틱의 거동 특성을 분석하였다. MPT-Q3D 모형은 2차원 흐름해석모형과 연계한 입자의 준3차원 거동해석을 위해 step-by-step computation method를 적용하였으며, 전단류에 의한 입자의 수평거동과 난류확산에 및 침강속도에 의한 연직거동 두 단계 계산과정에 따라 입자의 거동을 해석했다. 전단류는 2차원 흐름해석결과로부터 유속의 연직분포식을 적용하여 생성하였으며, 생성된 전단류에 의해 각 연직층 별 유속이 계산되고 𝚫t 이후 입자의 종, 횡 방향 이동거리를 계산한다. 또한 난류확산에 의한 무작위적 거동 계산을 위해 Gaussian 분포를 따른 난수 생성을 통해 무작위적 거동을 계산했다. 각 연직층에 위치한 미세플라스틱 입자의 종, 횡 방향 거동을 계산한 후 입자의 연직거동을 계산한다. 입자의 연직 위치는 난류확산과 침강속도에 따라 계산되며 침강속도는 미세플라스틱의 밀도 및 직경에 따라 결정된다. 현장 샘플링 결과에 따라 팔당호로 유입되는 미세플라스틱은 폴리스틸렌(PS), 폴리에틸렌(PE), 폴리에스테르(Polyester)가 있으므로, 세 종류의 미세플라스틱을 동시에 주입하여 팔당호 내 거동을 분석했다. 남한강, 북한강, 경안천의 유량 차이로 인해 팔당호로 유입되는 미세플라스틱은 대체로 남한강과 북한강의 흐름특성에 영향을 받았다. 경안천의 경우 유량이 낮아 팔당호로 유입되지 못하고 좌안을 따라 하류로 이동됐다. 남한강과 북한강에서 유입된 미세플라스틱은 주로 팔당호 내 소내섬을 거쳐 팔당댐 쪽으로 이동했다. 또한 팔당댐 인근에서는 PP, PE, Polyester 순으로 많은 양이 유입되는 결과가 나타났다.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2002.05a
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• pp.498-501
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• 2002

In the process of Log-In to the system, clear User authentication is the beginning of the information protection service. In the open communication system of today, it is true that a password as security instrument and the inner mechanism of the system and cryptography algorithm for the support of this are also poor. For this reason, this dissertation had a final aim to design the user authentication system, which offer the accuracy and safety. It used RSA and CBC mode of DES as cryptography algorithm and used the Challenge-Response scheme at a authentication protocol and designed the User authentication system to which user access using one time password, output of token to guarantee the safety of the authentication protocol. Alto by using the Public key cryptography algorithm, it could embody the more safe User authentication system.