• 한국시뮬레이션학회논문지
• /
• 제9권4호
• /
• pp.67-75
• /
• 2000

Often system analysts are interested in the estimation of percentile for system performance. For instance, in PERT network system, the percentile that the project. Typically the control variate method is used to reduce the variability of mean response using the correlation between the response and the control variates with a little additional cost during the course of simulation. In the same spirit, we apply this method to estimate the percentile of project completion time in PERT system, and evaluate the efficiency of the controlled estimator for its percentile.1 Simulation results indicate that the controlled estimators are more effective in reducing the variances of estimators than the simple estimators, however those tend to a little underestimate the percentiles for some critical values. We need more simulation experiments to examine such a kind of bias problem. We expect this research presents a step forward in the area of variance reduction techniques of stochastic simulation.

• ETRI Journal
• /
• 제37권5호
• /
• pp.917-921
• /
• 2015

We consider a multiserver system with two classes of customers with preemption, which is a widely used system in the analysis of cognitive radio networks. It is known that the optimal admission control for this system is of threshold type. We express the expected total discounted profit using the total number of customers, thus reducing the stochastic optimization problem with a two-dimensional state space to a problem with a one-dimensional birth-and-death structure. An efficient algorithm is proposed for the calculation of the expected total discounted profit.

• 한국경영과학회지
• /
• 제30권3호
• /
• pp.81-93
• /
• 2005

This paper models supply chain uncertainties in the dynamic Newsboy Problem context. The system consists of one supplier and one retailer who place an order to the supplier every period. Demand uncertainty is modeled as stochastic period demand, and supply uncertainty as the uncertainty in quantities delivered by the supplier. The supplier delivers exactly the amount ordered by the retailer with probability of $\beta$ and the amount minus K with probability of $(1-\beta)$ We formulate the problem as a dynamic programming problem and derive the first-order optimality condition. Through a numerical study, we measure the extent to which the cost decrease due to the reduction in supply uncertainty depends on the level of demand uncertainty. One of the most important findings In this paper is that this cost decrease is relatively small if demand uncertainty is kept high, and vice versa. We also backup this numerical result by analyzing the distribution of ending Inventory under the supply and demand uncertainties.

• 한국소음진동공학회논문집
• /
• 제16권4호
• /
• pp.420-427
• /
• 2006

In this study, wind loads transmitted to a transmission tower from transmission lines are mitigated using rotational viscoelastic dampers. First, the wind load characteristics in a transmission tower is investigated considering the effect of the transmission lines through stochastic analysis. The assemblage of the transmission line and insulator are modeled as a double pendulum system connected to the SDOF model of the tower. From the result of the stochastic analysis, the background component of the overturing moment caused by the wind loads acting on the transmission lines are found to have considerable portion in the total overturning moment. Based on this observation result, a strategy Installing rotational viscoelastic damper (VED) between tower arm and transmission line is proposed for the mitigation of the transmission line reactions, which play a role as dynamic loads on a transmission tower. For the purpose of verification, time history analysis is conducted for different wind velocities and VED parameters. The analysis result shows that the rotational VED is effective for the mitigation of the background component rather than the resonance component of the transmission line reactions and achieves the reduction ratio of 50% even for higher wind speed.

• 경영과학
• /
• 제31권1호
• /
• pp.49-61
• /
• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• 한국통신학회논문지
• /
• 제31권7A호
• /
• pp.649-658
• /
• 2006

최근 소프트웨어 개발은 client/server 시스템이나 웹 프로그래밍, 객체지향 개발, 네트워크 환경에 의한 분산개발 등 새로운 개발 형태로써 다양하게 적용되고 있다. 한편 소프트웨어 분산 개발에 대한 기술도 관심이 되고 있으며, 객체지향 개념이 확대되고 있다. 이러한 기술에 의한 개발 작업량의 대폭 삭감이나 소프트웨어 품질 및 생산 개선의 효과가 점차 증대되어 가는 추세로 향후 광범위한 분야에 분산된 다수의 워크스테이션에 의해 병행되어 개발된 객체(object)를 이용한 분산개발의 발전에 대해 고찰한다. 본 논문에서는 이러한 분산 소프트웨어 개발환경을 대상으로 확률미분방정식 모델에 의한 소프트웨어 최척 배포문제를 논한다. 과거에는 소프트웨어 개발 프로세스에 의한 출하 품질의 파악이나 시험 진도관리에 의한 신뢰성 평가를 행하는 접근방법(approach)에 의해 소프트웨어의 고장 발생 현상을 불확정 사상에 의해 확률, 통계적으로 취급하는 방법을 적용하였으나 본고에서는 fault 발견과정에서 계수에 의해 취급되는 비동차포아송과정(NHIPP: Non-Homogeneous Poisson Process) 에 의한 SRGM과 fault 발견 과정을 연속적으로 변동하는 확률 과정의 모델화된 확률 미분방정식 (SDE: stochastic differential equation)에 의한 SRGM을 제안하여 최적의 배포시기를 결정한다. 여기서 시험단계 및 운용단계에 발생하는 비용 요인으로부터 도출된 총 소프트웨어 비용을 최소로 하는 시험시간인 최적 배포시기를 구한다. 특히, 총 소프트웨어 비용의 확률분포를 고려하여 최적 배포시기의 신뢰 한계도 논한다.

• 환경영향평가
• /
• 제17권1호
• /
• pp.47-56
• /
• 2008

Total Maximum Daily Load(TMDL) is a core basin management system to assign total emissions of pollutants to unit basin and emission source within a limit of the target water quality and to secure sustainability. considering "Environment and development" together. By current technical guidance of TMDL, the water quality in the riverbed of which the target water quality is noticed, must achieve the target; and the water quality standard for evaluating achievement of the target should be prescribed as non-excessive probability quality of water on the basis of the pertinent water quality documents. Therefore, the study calculated the target water quality by each unit basin which the target water quality must be noticed through the analysis of probability for water quality documents in rivers at the time of establishing a plan, and the study evaluated the achievement possibility of the target water quality by analyzing and comparing the target water quality plan with the standard water quality to evaluate the achievement of the target water quality. As the result, applying the proposed method to Mihocheon River system, it is concluded that selected the target water quality (Each BOD 3.3mg/1 and BOD 3.0mg/1) in Miho A and Musim A is available. Of course, it showed that the target water quality: BOD 2.5mg/1 in Miho A and BOD 3.0mg/1 in Musim A, could be achieved if the small reduction in B unit area was implemented.

• 한국소음진동공학회:학술대회논문집
• /
• 한국소음진동공학회 2012년도 춘계학술대회 논문집
• /
• pp.414-419
• /
• 2012

The evaluation of a zonal RANS-LES approach is documented for the prediction of broadband noise generated by the flow past unmodified and serrated airfoil trailing edges at a high Reynolds number. A multi-domain decomposition is considered, where the acoustic sources are resolved with a LES sub-domain embedded in the RANS domain. A stochastic vortex method is used to generate synthetic turbulent perturbations at the RANS-LES interface. The simulations are performed with a general-purpose unstructured control-volume code FLUENT. The far-field noise is calculated using the aeroacoustic analogy of Ffowcs Williams-Hawkings. The results of the simulation are validated through the full-scaled wind turbine acoustic measurements. It is found that the present approach is adequate for predicting noise radiation of serrated trailing edge flow for low noise rotor system.

• 한국소음진동공학회논문집
• /
• 제22권5호
• /
• pp.444-450
• /
• 2012

The evaluation of a zonal RANS-LES approach is documented for the prediction of broadband noise generated by the flow past unmodified and serrated airfoil trailing edges at a high Reynolds number. A multi-domain decomposition is considered, where the acoustic sources are resolved with a LES sub-domain embedded in the RANS domain. A stochastic vortex method is used to generate synthetic turbulent perturbations at the RANS-LES interface. The simulations are performed with a general-purpose unstructured control-volume code FLUENT. The far-field noise is calculated using the aeroacoustic analogy of Ffowcs Williams-Hawkings. The results of the simulation are validated through the full-scaled wind turbine acoustic measurements. It is found that the present approach is adequate for predicting noise radiation of serrated trailing edge flow for low noise rotor system.

• Structural Engineering and Mechanics
• /
• 제36권5호
• /
• pp.561-573
• /
• 2010

The potential of the liquid column vibration absorber (LCVA) as a seismic vibration control device for structures has been explored in this paper. In this work, the structure has been modeled as a linear, viscously damped single-degree-of-freedom (SDOF) system. The governing differential equations of motion for the damper liquid and for the coupled structure-LCVA system have been derived from dynamic equilibrium. The nonlinear orifice damping in the LCVA has been linearized by a stochastic equivalent linearization technique. A transfer function formulation for the structure-LCVA system has been presented. The design parameters of the LCVA have been identified and by applying the transfer function formulation the optimum combination of these parameters has been determined to obtain the most efficient control performance of the LCVA in terms of the reduction in the root-mean-square (r.m.s.) displacement response of the structure. The study has been carried out for an example structure subjected to base input characterized by a white noise power spectral density function (PSDF). The sensitivity of the performance of the LCVA to the coefficient of head loss and to the tuning ratio have also been examined and compared with that of the liquid column damper (LCD). Finally, a simulation study has been carried out with a recorded accelerogram, to demonstrate the effectiveness of the LCVA.