• 한국농공학회지
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• 제40권1호
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• pp.57-67
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• 1998

A stochastic weather generator which simulate daily precipitation, maximum and minimum daily temperature, relative humidity was developed. The model parameters were estimated using stochastic characteristics analysis of historical data of 71 weather stations. Spatial variations of the parameters for the country were also analyzed. Model parameters of ungauged Sites were determined from parameters of adjacent weather stations using inverse distance method. The model was verified on Suwon and Ulsan weather stations and showed good agreement between simulated and observed data.

• Steel and Composite Structures
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• 제9권6호
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• pp.499-518
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• 2009

The present paper investigates the stochastic seismic responses of steel structure systems with Partially Restrained (PR) connections by using Perturbation based Stochastic Finite Element (PSFEM) method. A stiffness matrix formulation of steel systems with PR connections and PSFEM and MCS formulations of structural systems are given. Based on the formulations, a computer program in FORTRAN language has been developed, and stochastic seismic analyses of steel frame and bridge systems have been performed for different types of connections. The connection parameters, material and geometrical properties are assumed to be random variables in the analyses. The Kocaeli earthquake occurred in 1999 is considered as a ground motion. The connection parameters, material and geometrical properties are considered to be random variables. The efficiency and accuracy of the proposed SFEM algorithm are validated by comparison with results of Monte Carlo simulation (MCS) method.

• Journal of Ship and Ocean Technology
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• 제12권2호
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• pp.1-15
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• 2008

The main idea of this paper introduce stochastic structural parameters and random dynamic excitation directly into the dynamic functional variational formulations, and developed the nonlinear dynamic analysis of a stochastic variational principle and the corresponding stochastic finite element method via the weighted residual method and the small parameter perturbation technique. An interpolation method was adopted, which is based on representing the random field in terms of an interpolation rule involving a set of deterministic shape functions. Direct integration Wilson-${\theta}$ Method was adopted to solve finite element equations. Numerical examples are compared with Monte-Carlo simulation method to show that the approaches proposed herein are accurate and effective for the nonlinear dynamic analysis of structures with random parameters.

• 대한수학회지
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• 제35권2호
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• pp.259-268
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• 1998

In this paper the stochastic multiple objective programming problems where the right-hand-side of the constraints is stochastic are considered. We define the equivalent scalar-valued problem and study the stability of the equivalent scalar-valued problem with respect to the weight parameters and probability mesures under reasonable assumptions.

• Steel and Composite Structures
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• 제11권2호
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• pp.115-130
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• 2011

Considering the randomness of material parameters in the laminated composite plate, a scheme of stochastic finite element method to analyze the displacement response variability is suggested. In the formulation we adopted the concept of the weighted integral where the random variable is defined as integration of stochastic field function multiplied by a deterministic function over a finite element. In general the elastic modulus of composite materials has distinct value along an individual axis. Accordingly, we need to assume 5 material parameters as random. The correlations between these random parameters are modeled by means of correlation functions, and the degree of correlation is defined in terms of correlation coefficients. For the verification of the proposed scheme, we employ an independent analysis of Monte Carlo simulation with which statistical results can be obtained. Comparison is made between the proposed scheme and Monte Carlo simulation.

• 한국수산과학회지
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• 제20권5호
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• pp.457-462
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• 1987

Stochastic stability criterias for ocean wave analysis add simulation are studied using the data simulated by the linear superposition method. To clarify the criterias, the effects of the simulation parameters on the variance of stochastic properties of ocean waves are investigated, and the stable conditions of the parameters are estimated through the comparative study on the stochastic properties of simulated waves and well-known ocean waves. The simulation parameters considered are high frequency cut-off, data length, and number and phase angle of component waves. Statistical characteristics analysed are wave height, period and steepness, and the formation of groups of higher waves, resonance periods, steeper higher waves and extreme run-length of the run.

• Journal of the Korean Data and Information Science Society
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• 제21권6호
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• pp.1305-1310
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• 2010

In this paper, we consider a change point test for stochastic volatility models. By considering the relation between moments of the logarithms of squared returns and the parameters, we construct the cusum test to detect changes of the parameters. We also carry out a simulation study and verify that the proposed test is more powerful than the cusum test proposed by Kokoszka and Leipus (2000).

• 한국소음진동공학회논문집
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• 제17권10호
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• pp.918-922
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• 2007

Most of the study on system identification has been carried out using input/output relation in physical domain. However identification concept of stochastic system has not been reported up to now. Interest is focused to identify an unknown dynamic system under random external disturbances which is not possible to measure. A concept to identify the system parameters in stochastic domain is proposed and implemented in terms of simulation. Attempt has been made to identify the system parameters in inverse manner in stochastic domain based on system output only. Simulation is conducted to reveal quite noticeable performance of the proposed concept.

• Smart Structures and Systems
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• 제23권6호
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• pp.641-651
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• 2019

The stochastic stability control of the parameter-excited vibration of an inclined stay cable with multiple modes coupling under random and periodic combined support disturbances is studied by using the direct eigenvalue analysis approach based on the response moment stability, Floquet theorem, Fourier series and matrix eigenvalue analysis. The differential equation with time-varying parameters for the transverse vibration of the inclined cable with control under random and deterministic support disturbances is derived and converted into the randomly and deterministically parameter-excited multi-degree-of-freedom vibration equations. As the stochastic stability of the parameter-excited vibration is mainly determined by the characteristics of perturbation moment, the differential equation with only deterministic parameters for the perturbation second moment is derived based on the $It{\hat{o}}$ stochastic differential rule. The stochastically and deterministically parameter-excited vibration stability is then determined by the deterministic parameter-varying response moment stability. Based on the Floquet theorem, expanding the periodic parameters of the perturbation moment equation and the periodic component of the characteristic perturbation moment expression into the Fourier series yields the eigenvalue equation which determines the perturbation moment behavior. Thus the stochastic stability of the parameter-excited cable vibration under the random and periodic combined support disturbances is determined directly by the matrix eigenvalues. The direct eigenvalue analysis approach is applicable to the stochastic stability of the control cable with multiple modes coupling under various periodic and/or random support disturbances. Numerical results illustrate that the multiple cable modes need to be considered for the stochastic stability of the parameter-excited cable vibration under the random and periodic support disturbances, and the increase of the control damping rather than control stiffness can greatly enhance the stochastic stability of the parameter-excited cable vibration including the frequency width increase of the periodic disturbance and the critical value increase of the random disturbance amplitude.

• KDI Journal of Economic Policy
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• 제40권4호
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• pp.1-22
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• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.