• Journal of Korean Institute of Industrial Engineers
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• v.24 no.3
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• pp.381-386
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• 1998

We frequently encounter stopped random sums when modelling queueing systems. We also notice occasional mishandling of stopped random sums in the literature. The purpose of this note is to prevent further mistakes by identifying and correcting typical mistakes about stopped random sums. As an example model, we use the two-phase M/G/1 queue with multiple vacations.

• Journal of the Korean Society of Groundwater Environment
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• v.4 no.3
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• pp.161-167
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• 1997

A numerical model (SK-EST) for estimating hydraulic conductivity using monitoring data of underground LPG storage cavern was developed. The model calculates hydraulic conductivity from matrix equation which is established from the distribution of hydraulic potential. To verify the applicability of this model, an inverse analysis was performed using the monitoring data of pressure cell of an operating underground LPG storage cavern. And also using the water pressure parker test data which were obtained to look over the operation capability of pressure cell, conductivity variation with depth was estimated using the developed numerical model (SK-EST) and was compared with in situ results.

• The Korean Journal of Applied Statistics
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• v.26 no.1
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• pp.141-149
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• 2013

We present methods for studying the log-density ratio that enables the selection of the predictors and the form to be included in the logistic regression model. Under bivariate normal distributional assumptions, we investigate the form of the log-density ratio as a function of two predictors. If two covariance matrices are equal, then the crossproduct and quadratic terms are not needed. If the variables are uncorrelated, we do not need the crossproduct terms, but we still need the linear and quadratic terms. We also explore other conditions in which the crossproduct and quadratic terms are not needed in the logistic regression model.

• International Journal of Highway Engineering
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• v.12 no.4
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• pp.1-9
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• 2010

Predictive information on the freeway incident impacts can be a critical criterion in selecting travel options for users and in operating transportation system for operators. Provided properly, users can select time-effective route and operators can effectively run the system efficiently. In this study, a model is proposed to predict freeway incident impacts. The predictive model for incident impacts is based on short-term prediction. The proposed models are examined using MARE. The analysis results suggest that the models are accurate enough to be deployed in a real-world. The development of microscopic models to predict incident effects is expected to help minimize traffic delay and mitigate related social costs.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• Journal of Korean Society of Transportation
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• v.31 no.4
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• pp.3-17
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• 2013

The purpose of this study is to develop a traffic assignment model where the variable of signal intersection delay is taken into account in assigning traffic in large-scale network settings. Indeed, despite the fact that the majority of the increase in travel time or cost involving congested urban network or interrupted flow are accounted for by stop delays or congested delays at signal intersections, the existing traffic assignment models did not reflect this. The traffic assignment model considering intersection delays presented in this study was built based on the existing traffic assignment models, which were added to by the analysis technique for the computation of intersection delay provided in Korea Highway Capacity Manual. We can conclude that a multiple variety of simulation tests prove that this model can be applied to real network settings. Accordingly, this model shows the possibility of utilizing a model considering intersection delay for traffic policy decisions through analysis of effects of changes in traffic facilities on large urban areas.

• Journal of Korea Water Resources Association
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• v.32 no.6
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• pp.665-674
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• 1999

This paper confirmed the applicability of model to Korean rivers through the calibration and sensitivity analysis of LRCS rainfall runoff model for 18 storm events of Songriweon station in Nakdong river system, and achieved that LS and WLS were better than LAD by model fitting results. Diagonal element of "hat" matrix and affluence measures were used by analysis of parameter estimates, and parameter IL was the most important parameter in model output. By the results of error propagation according to parameter error, parameters IL, TP, F1 were affected by error propagation, and this is measure of sensitivity for the model output. This paper confirmed the relationship of calibration and sensitivity analysis of model through analysis of sensitivity coefficient, diagonal element $h_i$ and $D_i$._i$.

• Journal of Korean Society of Transportation
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• v.15 no.2
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• pp.83-103
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• 1997

교차로 지체를 추정하기 위해서는 대기행렬 모형이 적합한데 모든 대기시스템은 시 간의 함수로 운영되므로 우리는 분석하고자 하는 시스템이 가변상태인지 또는 안정상태인지 를 먼저 결정하여야 한다. 신호화된 교차로에 유입·유출되는 특히 유입교통량은 시간대별 변화가 심하다. 미국 HCM에서는 이를 15분 단위로 분석하도록 제안하였으나 신호교차로 체계의 정밀 분석을 위해서는 만족스럽지 못한 시간단위이다. 이러한 문제점을 극복하기 위 해서는 시스템이 안정상태가 아닌 가정으로 접근하여야 하며, 더 나아가 Dynamic한 분석이 요구된다. 안정상태의 지체는 Webster를 비롯한 여러 학자들에 의해 광범위하게 연구되어 왔다. 그러나 그들이 갖는 가정은 일반적으로 비현실적이어서 정밀한 지체추정은 실제로 가 능하지 않다. 안정상태 가정하에서 해법의 결점은 도착교통량이 용량에 다다를수록 더욱 심 하게 되어 비현실적인 지체예측을 하게 된다. 본 논문은 기존 분석방법론의 제반 한계성과 제약성을 검토하고 현실적인 교차로 지체모형을 개발하기 위해 고려되어져햐 할 변수들을 정립하고자 한다.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2000.04a
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• pp.437-440
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• 2000

본 연구에서는 제품 개발과 관련된 시장 환경 요소들을 고려하여 신속한 제품 개발에 관한 의사 결정을 할 수 있는 AHP 모형을 제안하고, 정량화 된 데이터를 이용한 AHP 의사결정 프로세스를 구축하고자 하였다. AHP 모형의 경우 전문가 집단(연구원 집단, 엔지니어 집단, 판매자 집단)별로 의사결정의 차이점을 보여 줌으로서 각각의 시장 상황에 맞는 의사결정을 경영자가 효율적으로 판단할 수 있도록 제시하였으며, 신제품 디자인 선정의 간단한 프로세스를 제시하여 반복적인 생산자의 의사 결정을 합리적이고 신속하게 할 수 있는 방법론을 제시하였다. 프로세스에서는 하위 의사결정 단계에서 가능한 데이터의 정량화를 통해 쌍별 비교 행렬을 만듦으로써, AMP기법의 정확성을 높이고 모델의 민감도 분석이 가능하게 하였다.

• Proceedings of the Korea Society for Simulation Conference
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• 1997.04a
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• pp.8-8
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• 1997

최근 시뮬레이션은 높은 신뢰도를 요구하는 통신망시스템이나, 높음 품질수준을 요 구하는 제조시스템의 분석 및 설계에 적용되어지고 있다. 이러한 신뢰도가 높은 시스템에 대한 시뮬레이션 적용의 난제는 실제 시스템과 시뮬레이션 모형이 얼마나 정확히 모델링을 하는가 하는 문제와 실제 모델링을 하여 시뮬레이션을 수행하여 얼마나 빠른 시간내에 정확 히 결과를 산출해 낼 수 있는가를 하는 것이다. 이러한 문제점을 극복하기 위해서 속산시뮬 레이션(fast simulation) 기법들이 연구되고 있다. 그러한 기법들로 Importance Sampling (IS), Regenerative Method (RM), Parallel Simulation 등이 연구되고 있다. IS는 잘 알려진 분산축소 기법으로 속산시뮬레이션을 위하여 많이 사용되고 있으나 실제로 복잡한 모델에 적용하기에는 많은 어려움이 따른다. 그 이유는 최적 표본분포 (Optimal Sampling Distribution)를 찾기 위한 방법이 정형화되어 있지 않아 모델마다 최적표본분포를 유사하게 추정해야 하는 어려움이 따르기 때문이다. 이러한 단점을 극복하기 위하여 Nonparametric Improtance Sampling을 제안하고 실제로 M/M/1 대기행렬 모형에 적용하여 보았다.