• Communications for Statistical Applications and Methods
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• v.7 no.2
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• pp.499-511
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• 2000

We consider a stable tandem network which consists of two M/M/1 nodes and study the probability that the total backlog exceeds a large level N. Since the excessive backlog is a rare event, it is difficult to estimate this probability efficiently by using the crude Monte Carlo simulation. Instead we perform the ;$h$-transform proposed by McDonald(1999) to obtain the twisted network, in which the node with the larger load is overloaded. Then we use it to run the fast simulation.

• Nuclear Engineering and Technology
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• v.55 no.6
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• pp.2112-2124
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• 2023

With the rise of economic and safety standards for nuclear reactors, new concepts of Gen-IV reactors and modular reactors showed more complex designs that challenge current tools for reactor physics analysis. A Monte Carlo (MC) two-step method was proposed in this work. This calculation scheme uses the continuous-energy MC method to generate multi-group cross-sections from heterogeneous models. The multi-group MC method, which can adapt locally-heterogeneous models, is used in the core calculation step. This calculation scheme is verified using a Gen-IV modular lead-based fast reactor (LFR) benchmark case. The influence of homogenized patterns, scatter approximations, flux separable approximation, and local heterogeneity in core calculation on simulation results are investigated. Results showed that the cross-sections generated using the 3D assembly model with a locally heterogeneous representation of control rods lead to an accurate estimation with less than 270 pcm bias in core reactivity, 0.5% bias in control rod worth, and 1.5% bias on power distribution. The study verified the applicability of multi-group cross-sections generated with the MC method for LFR analysis. The study also proved the feasibility of multi-group MC in core calculation with local heterogeneity, which saves 85% time compared to the continuous-energy MC.

• Progress in Medical Physics
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• v.19 no.1
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• pp.21-34
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• 2008

The parallel Monte Carlo electron and photon transport (PMCEPT) code [Kum and Lee, J. Korean Phys. Soc. 47, 716 (2006)] for calculating electron and photon beam doses has been developed based on the three dimensional geometry defined by computed tomography (CT) images and implemented on the Beowulf PC cluster. Understanding the limitations of Monte Carlo codes is useful in order to avoid systematic errors in simulations and to suggest further improvement of the codes. We evaluated the PMCEPT code by comparing its normalized depth doses for electron and photon beams with those of MCNP5, EGS4, DPM, and GEANT4 codes, and with measurements. The PMCEPT results agreed well with others in homogeneous and heterogeneous media within an error of $1{\sim}3%$ of the dose maximum. The computing time benchmark has also been performed for two cases, showing that the PMCEPT code was approximately twenty times faster than the MCNP5 for 20-MeV electron beams irradiated on the water phantom. For the 18-MV photon beams irradiated on the water phantom, the PMCEPT was three times faster than the GEANT4. Thus, the results suggest that the PMCEPT code is indeed appropriate for both fast and accurate simulations.

• Proceedings of the Korean Nuclear Society Conference
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• 2004.10a
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• pp.1149-1150
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• 2004

• Nuclear Engineering and Technology
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• v.50 no.7
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• pp.1051-1059
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• 2018

Fast periodic pulsed reactor is a type of reactor in which the fission bursts are formed entirely with external reactivity modulation with a specified time periodicity. This type of reactors could generate much larger intensity of neutron beams for experimental use, compared with the steady state reactors. In the design of fast periodic pulsed reactors, the time dependent simulation of the power pulse is majorly based on a point kinetic model, which is known to have limitations. A more accurate calculation method is desired for the design analyses of fast periodic pulsed reactors. Monte Carlo computer code MCNP6 is used for this task due to its three dimensional transport capability with a continuous energy library. Some new routines were added to simulate the rotation of the movable reflector parts in the time dependent calculation. Fast periodic pulsed reactor IBR-2M was utilized to validate the new routines. This reactor is periodically in prompt supercritical state, which lasts for ${\sim}400{\mu}s$, during the equilibrium state. This generates long neutron fission chains, which requires tremendously large amount of computation time during Monte Carlo simulations. Russian Roulette was applied for these very long neutron chains in MCNP6 calculation, combined with other approaches to improve the efficiency of the simulations. In the power pulse of the IBR-2M at equilibrium state, there is some discrepancy between the experimental measurements and the calculated results using the point kinetics model. MCNP6 results matches better the experimental measurements, which shows the merit of using MCNP6 calculation relative to the point kinetics model.

• Journal of Magnetics
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• v.19 no.3
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• pp.266-272
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• 2014

In this paper, we suggest reliability as a metric to evaluate the robustness of a design for the optimal design of electromagnetic devices, with respect to constraints under the uncertainties in design variables. For fast numerical efficiency, we applied the sensitivity-assisted Monte Carlo simulation (S-MCS) method to perform reliability calculation. Furthermore, we incorporated the S-MCS with single-objective and multi-objective particle swarm optimization algorithms to achieve reliability-based optimal designs, undertaking probabilistic constraint and multi-objective optimization approaches, respectively. We validated the performance of the developed optimization algorithms through application to the optimal design of a superconducting magnetic energy storage system.

• Journal of the Korean Institute of Electrical and Electronic Material Engineers
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• v.20 no.8
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• pp.742-747
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• 2007

In 2-dimensional SCBF (Spherically Convergent Beam Fusion) device, the effect on neutron production rate of the grid cathode geometry was simulated. The motion of Particles was tracked using Monte Carlo Method including the atomic and molecular collision processes and potential distribution was calculated by Finite Element Method, Main processes of the discharge were the ionization of $D_2$ by fast $D_2^+\;ion$. As the number of cathode rings was small and the size of grid cathode decreased, the ion current increased and neutron production rate will also increase. The star mode discharge which is a very important characteristic in SCBF device, was confirmed by the ionization position.

• Journal of applied mathematics & informatics
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• v.41 no.1
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• pp.33-50
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• 2023

Foreign exchange options are derivative financial instruments that can exchange one currency for another at a prescribed exchange rate on a specified date. In this study, we examine the analytic formulas for vulnerable foreign exchange options based on multi-scale stochastic volatility driven by two diffusion processes: a fast mean-reverting process and a slow mean-reverting process. In particular, we take advantage of the asymptotic analysis and the technique of the Mellin transform on the partial differential equation (PDE) with respect to the option price, to derive approximated prices that are combined with a leading order price and two correction term prices. To verify the price accuracy of the approximated solutions, we utilize the Monte Carlo method. Furthermore, in the numerical experiments, we investigate the behaviors of the vulnerable foreign exchange options prices in terms of model parameters and the sensitivities of the stochastic volatility factors to the option price.

• Bulletin of the Korean Mathematical Society
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• v.60 no.2
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• pp.361-388
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• 2023

In this study, we deal with American lookback option prices on dividend-paying assets under a stochastic volatility (SV) model. By using the asymptotic analysis introduced by Fouque et al. [17] and the Laplace-Carson transform (LCT), we derive the explicit formula for the option prices and the free boundary values with a finite expiration whose volatility is driven by a fast mean-reverting Ornstein-Uhlenbeck process. In addition, we examine the numerical implications of the SV on the American lookback option with respect to the model parameters and verify that the obtained explicit analytical option price has been obtained accurately and efficiently in comparison with the price obtained from the Monte-Carlo simulation.

• Nuclear Engineering and Technology
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• v.55 no.3
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• pp.1021-1030
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• 2023

We propose an overall procedure for measuring and unfolding fast neutron spectra using a trans-stilbene scintillation detector. Detector characterization was described, including the information on energy calibration, detector resolution, and nonproportionality response. The digital charge comparison method was used for the investigation of neutron-gamma Pulse Shape Discrimination (PSD). A pair of values of 600 ns pulse width and 24 ns delay time was found as the optimized conditions for PSD. A fitting technique was introduced to increase the trans-stilbene Proton Response Function (PRF) by 28% based on comparison of the simulated and experimental electron-equivalent distributions by the Cf-252 source. The detector response matrix was constructed by Monte-Carlo simulation and the spectrum unfolding was implemented using the iterative Bayesian method. The unfolding of simulated and measured spectra of Cf-252 and AmBe neutron sources indicates reliable, stable and no-bias results. The unfolding technique was also validated by the measured cosmic-ray induced neutron flux. Our approach is promising for fast neutron detection and spectroscopy.