• 대한산업공학회지
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• 제32권1호
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• pp.9-17
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• 2006

This paper deals with a discrete simulation optimization method for designing a complex probabilistic discrete event simulation. The developed algorithm uses the configuration algorithm that can change decision variables and the stopping algorithm that can end simulation in order to satisfy the given objective value during single run. It tries to estimate an auto-regressive model for evaluating correctly the objective function obtained by a small amount of output data. We apply the proposed algorithm to M/M/s model, (s, S) inventory model, and known-function problem. The proposed algorithm can't always guarantee the optimal solution but the method gives an approximate feasible solution in a relatively short time period. We, therefore, show the proposed algorithm can be used as an initial feasible solution of existing optimization methods that need multiple simulation run to search an optimal solution.

• 대한산업공학회지
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• 제28권1호
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• pp.87-98
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• 2002

A competitive coevolutionary algorithm is a probabilistic search method that imitates coevolution process through evolutionary arms race. The algorithm has been used to solve adversarial problems. In the algorithms, the selection of competitors is needed to evaluate the fitness of an individual. The goal of this study is to compare and analyze several competition strategies in terms of solution quality, convergence speed, balance between competitive coevolving species, population diversity, etc. With two types of test-bed problems, game problems and solution-test problems, extensive experiments are carried out. In the game problems, sampling strategies based on fitness have a risk of providing bad solutions due to evolutionary unbalance between species. On the other hand, in the solution-test problems, evolutionary unbalance does not appear in any strategies and the strategies using information about competition results are efficient in solution quality. The experimental results indicate that the tournament competition can progress an evolutionary arms race and then is successful from the viewpoint of evolutionary computation.

• Journal of Electrical Engineering and Technology
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• 제7권5호
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• pp.698-704
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• 2012

This paper proposes a new methodology for evaluating the probabilistic reliability based grid expansion planning of composite power system including the Wind Turbine Generators. The proposed model includes capacity limitations and uncertainties of the generators and transmission lines. It proposes to handle the uncertainties of system elements (generators, lines, transformers and wind resources of WTG, etc.) by a Composite power system Equivalent Load Duration Curve (CMELDC)-based model considering wind turbine generators (WTG). The model is derived from a nodal equivalent load duration curve based on an effective nodal load model including WTGs. Several scenarios are used to choose the optimal solution among various scenarios featuring new candidate lines. The characteristics and effectiveness of this simulation model are illustrated by case study using Jeju power system in South Korea.

• Journal of Electrical Engineering and Technology
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• 제5권1호
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• pp.8-15
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• 2010

A new technique using a search method which is based on fuzzy multi-criteria function is proposed for GMS(generator maintenance scheduling) in order to consider multi-objective function. Not only minimization of probabilistic production cost but also maximization of system reliability level are considered for fuzzy multi-criteria function. To obtain an optimal solution for generator maintenance scheduling under fuzzy environment, fuzzy multi-criteria relaxation method(fuzzy search method) is used. The practicality and effectiveness of the proposed approach are demonstrated by simulation studies for a real size power system model in Korea in 2010.

• Geomechanics and Engineering
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• 제29권3호
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• pp.331-338
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• 2022

Face stability analyses provides the most probable failure mechanisms and the understanding about parameters that need to be considered for the evaluation of ground movements caused by tunneling. After the Upper Bound Method (UBM) solution which can consider the influence of seepage forces and depth-dependent effective cohesion is verified with the numerical experiments, the probabilistic model is proposed to calculate the unbiased limiting tunnel collapse pressure. A reliability analysis of a shallow circular tunnel driven by a pressurized shield in a frictional and cohesive soil is presented to consider the inherent uncertainty in the input parameters and the proposed model. The probability of failure that exceeding a specified applied pressure at the tunnel face is estimated. Sensitivity and importance measures are computed to identify the key parameters and random variables in the model.

• 지질공학
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• 제20권4호
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• pp.437-447
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• 2010

확률론적 해석기법은 사면안정해석을 포함한 다양한 지질공학적인 문제에 내재하는 불확실성을 고려할 수 있는 효과적인 방안으로서 유용한 것으로 알려져 있다. 본 연구에서는 확률변수에 대한 무작위 추출을 통해 상태함수인 한계평형식의 안전율을 반복하여 구하는 몬테카를로시뮬레이션 기법을 이용하여 2개의 암반사면에 대해 확률론적 안정해석을 수행하였다. 본 연구에서 사용된 JRC와 JCS 같은 강도정수 등의 확률변수와 사면의 제원은 선행연구과정을 통해 도출된 값을 사용하였으며, 상태함수는 Barton의 경험식을 활용하였다. 본 연구에서는 각 사면별 파괴확률을 계산하고 이에 대한 민감도 및 신뢰성해석을 수행하였다. 특히 기존 결정론적 방법과의 비교와 샘플링 추출 기법에 대한 분석을 수행하였으며 분석결과 기준값보다 높은 파괴확률이 산정되어 사면의 붕괴이력과 부합되는 결과가 도출되었다. 또한 결정론적인 방법에 비해 변동성이 낮은 결과가 도출되어 해석의 신뢰성이 높은 것으로 나타났다.

• Journal of the Korean Data and Information Science Society
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• 제23권6호
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• pp.1127-1135
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• 2012

연관성 규칙 기법은 대용량데이터베이스에 있는 항목들 간의 관련성을 수치화 하는 것으로 데이터 마이닝 기법 중에서는 가장 많이 활용되고 있다. 연관성 규칙을 탐사하기 위한 연관성 규칙 평가 기준에는 지지도, 신뢰도, 향상도 등이 있다. 이들 중에서 가장 중심이 되는 신뢰도는 비대칭적 측도일 뿐만 아니라 항상 양의 값만을 취하고 있어서 항목 간에 연관성 규칙을 생성하는 데 여러가지 문제가 존재한다. 이러한 문제를 해결하기 위해 본 논문에서는 확률적 흥미도 측도 기반, 특히 주변 비율을 고려하지 않은 유사성 측도를 연관성 평가 기준으로 적용하는 방안에 대해 연구하였다. 예제에 의한 비교를 통하여 Yule과 Michael의 유사성 계수와 Pearson의 파이 계수는 신뢰도와 동일하게 연관성의 정도를 파악할 수 있는 동시에 부호를 포함하고 있어서 연관성의 방향도 알 수 있었으나, 카이 제곱 통계량 기반 측도들은 항상 양의 값만 나타날 뿐만 아니라 신뢰도와는 변화하는 양상이 다르다는 것을 확인할 수 있었다.

• 대한수학회보
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• 제53권5호
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• Journal of Electrical Engineering and Technology
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• 제9권1호
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• pp.80-89
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• 2014

A stochastic optimal power flow (S-OPF) model considering uncertainties of load and wind power is developed based on chance constrained programming (CCP). The difficulties in solving the model are the nonlinearity and probabilistic constraints. In this paper, a limit relaxation approach and an iterative learning control (ILC) method are implemented to solve the S-OPF model indirectly. The limit relaxation approach narrows the solution space by introducing regulatory factors, according to the relationship between the constraint equations and the optimization variables. The regulatory factors are designed by ILC method to ensure the optimality of final solution under a predefined confidence level. The optimization algorithm for S-OPF is completed based on the combination of limit relaxation and ILC and tested on the IEEE 14-bus system.

• 대한산업공학회지
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• 제5권2호
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• pp.2-7
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• 1979

The fundamental stochastic duel of Williams and Ancker is combined with the probabilistic linear, square and mixed laws of Brown and Smith when the battle time is limited and interfiring times are continuous. The Probability of a given side's winnig or a draw is derived in a recursive equation with Laplace transforms. Examples with negative exponential firing times are given. In linear law an exact closed form solution is obtained, whereas for square and mixed laws only square ($2{\times}2$) duels are considered.