• Structural Engineering and Mechanics
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• 제63권6호
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• pp.837-846
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• 2017

An accurate calculation of the stochastic wind field is the foundation for analyzing wind-induced structure response and reliability. In this research, the spatial correlation of structural wind field was considered based on the time domain method. A method for calculating the stochastic wind field based on cross stochastic Fourier spectrum was proposed. A flowchart of the proposed methodology is also presented in this study to represent the algorithm and workflow. Along with the analysis of regional wind speed distribution, the wind speed time history sample was calculated, and the efficiency can therefore be verified. Results show that the proposed method and programs could provide an efficient simulation for the wind-induced structure response analysis, and help determine the related parameters easily.

• Geomechanics and Engineering
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• 제7권5호
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• pp.525-537
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• 2014

The typical design of ground improvement with prefabricated vertical drains (PVD) and surcharge preloading involves a series of deterministic analyses using averaged or mean soil properties for the various combination of the PVD spacing and surcharge preloading height that would meet the criteria for minimum consolidation time and required degree of consolidation. The optimum design combination is then selected in which the total cost of ground improvement is a minimum. Considering the variability and uncertainties of the soil consolidation parameters, as well as considering the effects of soil disturbance (smear zone) and drain resistance in the analysis, this study presents a stochastic cost optimization of ground improvement with PVD and surcharge preloading. Direct Monte Carlo (MC) simulation and importance sampling (IS) technique is used in the stochastic analysis by limiting the sampled random soil parameters within the range from a minimum to maximum value while considering their statistical distribution. The method has been verified in a case study of PVD improved ground with preloading, in which average results of the stochastic analysis showed a good agreement with field monitoring data.

• Ocean Systems Engineering
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• 제6권2호
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• pp.161-189
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• 2016

This paper provides a practical stochastic method by which the maximum equilibrium scour depth around a vertical pile exposed to random waves plus a current on mild slopes can be derived. The approach is based on assuming the waves to be a stationary narrow-band random process, adopting the Battjes and Groenendijk (2000) wave height distribution for mild slopes including the effect of breaking waves, and using the empirical formulas for the scour depth on the horizontal seabed by Sumer and Fredsøe (2002). The present approach is valid for wave-dominant flow conditions. Results for random waves alone and random wave plus currents have been presented and discussed by varying the seabed slope and water depth. An approximate method is also proposed, and comparisons are made with the present stochastic method. For random waves alone it appears that the approximate method can replace the stochastic method, whereas the stochastic method is required for random waves plus currents. Tentative approaches to related random wave-induced scour cases on mild slopes are also suggested.

• Ocean Systems Engineering
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• 제7권3호
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• pp.275-298
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• 2017

This paper provides a practical stochastic method by which the maximum equilibrium scour depth below a pipeline exposed to random waves plus a current on mild slopes can be derived. The approach is based on assuming the waves to be a stationary narrow-band random process, adopting the Battjes and Groenendijk (2000) wave height distribution for mild slopes including the effect of breaking waves, and using the empirical formulas for the scour depth on the horizontal seabed by Sumer and Fredsøe (1996). The present approach is valid for wave-dominant flow conditions. Results for random waves alone and random wave plus currents have been presented and discussed by varying the seabed slope and water depth. An approximate method is also proposed, and comparisons are made with the present stochastic method. For random waves alone it appears that the approximate method can replace the stochastic method, whereas the stochastic method is required for random waves plus currents. Tentative approaches to related random wave-induced scour cases for random waves alone are also suggested.

• 한국음향학회지
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• 제16권2호
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• pp.49-57
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• 1997

본 논문에서는 대어휘 연속음성인식을 위한 확률 발음사전 모델에 대해서 제안하였다. 확률 발음 사전은 HMM과 같이 단위음소 상태의 Markov chain으로 이루어져 있으며, 각 음소 상태들은 음소들에 대한 확률 분포 함수로 표현된다. 확률 발음 사전의 생성은 음성자료와 음소 모델을 이용하여 음소 단위의 분할과 인식을 통해서 자동으로 생성되게 된다. 제안된 확률 발음 사전은 단어내 변이와 단어간 변이를 모두 효과적으로 표현할 수 있었으며, 인식 모델과 인식기의 특성을 반영함으로써 전체 인식 시스템의 성능을 보다 높일 수 있었다. 3000 단어 연속음성인식 실험 결과 확률 발음 사전을 사용함으로써 표준 발음 표기를 사용하는 인식 시스템에 비해 단어 오류율은 23.6%, 문장 오류율은 10% 정도를 감소시킬 수 있었다.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.685-695
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• 2021

This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-money option and option that is far from expiration. Moreover, Heston option pricing model demonstrates a better pricing accuracy for call option than put option for all level and time to expiration. In sum, our finding supports the outperformance of the Heston option pricing model over standard Black-Scholes option pricing model.

• 한국건축시공학회:학술대회논문집
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• 한국건축시공학회 2007년도 추계 학술논문 발표대회
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• pp.109-113
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• 2007

This paper introduces a system, Simulation based Stochastic Markup Estimation System (S2ME), for estimating optimum markup for a project. The system was designed and implemented to better represent the real world system involved in construction bidding. The findings obtained from the analysis of existing assumptions used in the previous quantitative markup estimation methods were incorporated to improve the accuracy and predictability of the S2ME. The existing methods has four categories of assumption as follows; (1) The number of competitors and who is the competitors are known, (2) A typical competitor, who is fictitious, is assumed for easy computation, (3) the ratio of bid price against cost estimate (B/C) is assumed to follow normal distribution, (4) The deterministic output obtained from the probabilistic equation of existing models is assumed to be acceptable. However, these assumptions compromise the accuracy of prediction. In practice, the bidding patterns of the bidders are randomized in competitive bidding. To complement the lack of accuracy contributed by these assumptions, bidding project was randomly selected from the pool of bidding database in the simulation experiment. The probability to win the bid in the competitive bidding was computed using the profile of the competitors appeared in the selected bidding project record. The expected profit and probability to win the bid was calculated by selecting a bidding record randomly in an iteration of the simulation experiment under the assumption that the bidding pattern retained in historical bidding DB manifest revival. The existing computation, which is handled by means of deterministic procedure, were converted into stochastic model using simulation modeling and analysis technique as follows; (1) estimating the probability distribution functions of competitors' B/C which were obtained from historical bidding DB, (2) analyzing the sensitivity against the increment of markup using normal distribution and actual probability distribution estimated by distribution fitting, (3) estimating the maximum expected profit and optimum markup range. In the case study, the best fitted probability distribution function was estimated using the historical bidding DB retaining the competitors' bidding behavior so that the reliability was improved by estimating the output obtained from simulation experiment.

• 한국도로학회논문집
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• 제14권4호
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• pp.163-173
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• 2012

PURPOSES : The purpose of this study is to check the possibilities of traffic pattern analysis using MatSIM for urban road network operation in incident case. METHODS : One of the stochastic dynamic models is MatSIM. MatSIM is a transportation simulation tool based on stochastic dynamic model and activity based model. It is an open source software developed by IVT, ETH zurich, Switzerland. In MatSIM, various scenario comparison analyses are possible and analyses results are expressed using the visualizer which shows individual vehicle movements and traffic patterns. In this study, trip distribution in 24-hour, traffic volume, and travel speed using MatSIM are similar to those of measured values. Therefore, results of MatSIM are reasonable comparing with measured values. Traffic patterns are changed according to incident from change of individual behavior. RESULTS : The simulation results and the actual measured values are similar. The simulation results show reasonable ranges which can be used for traffic pattern analysis. CONCLUSIONS : The change of traffic pattern including trip distribution, traffic volumes and speeds according to various incident scenarios can be used for traffic control policy decision to provide effective operation of urban road network.

• Journal of Construction Engineering and Project Management
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• 제3권3호
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• pp.23-34
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• 2013

As climate change and environmental pollution become one of the biggest global issues today, new renewable energy, especially solar photovoltaic (PV) system, is getting great attention as a sustainable energy source. However, initial investment cost of PV system is considerable, and thus, it is crucial to predict electricity generation accurately before installation of the system. This study analyzes the loss ratio of solar photovoltaic electricity generation from the actual PV system monitoring data to predict electricity generation more accurately in advance. This study is carried out with the following five steps: (i) Data collection of actual electricity generation from PV system and the related information; (ii) Calculation of simulation-based electricity generation; (iii) Comparative analysis between actual electricity generation and simulation-based electricity generation based on the seasonality; (iv) Stochastic approach by defining probability distribution of loss ratio between actual electricity generation and simulation-based electricity generation ; and (v) Case study by conducting Monte-Carlo Simulation (MCS) based on the probability distribution function of loss ratio. The results of this study could be used (i) to estimate electricity generation from PV system more accurately before installation of the system, (ii) to establish the optimal maintenance strategy for the different application fields and the different season, and (iii) to conduct feasibility study on investment at the level of life cycle.

• 응용통계연구
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• 제25권1호
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• pp.183-196
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• 2012

결측자료(missing data), 절단분포(truncated distribution), 중도절단자료(censored data) 등 불완전한 자료(incomplete data)하의 추론문제(incomplete problems)는 통계학에서 자주 발생되는 현상이다. 이런 문제의 해결방법으로 Expectation Maximization, Monte Carlo Expectation Maximization, Stochastic Expectation Maximization 알고리즘 등을 이용하는 방법이 있지만, 정형화된 분포의 가정이 필요하다는 단점을 가지고 있다. 본 연구에서는 정형화된 분포의 가정이 없는 경우에 사용할 수 있는 Metropolis-Hastings Expectation Maximization(MHEM) 알고리즘을 제안하고자 한다. MHEM 알고리즘의 효율성은 중도절단자료(censored data)를 이용한 모의실험과 KOSPI 200 수익률의 실증자료분석를 통해 알수 있었다.