• Journal of KSNVE
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• v.8 no.4
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• pp.715-722
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• 1998

An investigation into the stochastic bifurcation and response statistics of an autoparameteric system under broad-band random excitation is made. The specific system examined is a spring-pendulum system with internal resonance, which is known to be a good model for a variety of engineering systems, including ship motions with nonlinear coupling between pitching and rolling motions. The Fokker-Planck equations is used to genrage a general first-order differential equation in the dynamic moment of response coordinates. By means of the Gaussian and non-Gaussian closure methods the dynamic moment equations for the random responses of the system are reduced to a system of autonomous ordinanary differential equations. In view of equilibrium solutions of this system and their stability we examine the stochastic bifurcation and response statistics. The analytical results are compared with results obtained by Monte Carlo simulation.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 2003.10a
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• pp.365-372
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• 2003

In this study, the program which determine the initial cable tension force by tile initial shape analysis for cable stayed bridge is developed. Also, DSFEMP(Dynamic Stochastic Finite Element Analysis Program) is developed to consider the variance of random variables at each step of dynamic response analysis, not use existing methods that apply to the theory of reliability at the final step of structural analysis. In addition, the output from the developed program was compared with the results from DMCSP(Direct Monte Carlo Simulation Program) to prove its validity.

• Communications for Statistical Applications and Methods
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• v.26 no.1
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• pp.27-34
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• 2019

We study the effect of detrending on the coherency between two time series processes. Many economic and financial time series variables include nonstationary components; however, we analyze the two most popular cases of stochastic and deterministic trends. We analyze the asymptotic behavior of coherency under incorrect detrending, which includes the cases of first-differencing the deterministic trend process and, conversely, the time trend removal of the unit root process. A simulation study is performed to investigate the finite sample performance of the sample coherency due to incorrect detrending. Our work is expected to draw attention to the possible distortion of coherency when the series are incorrectly detrended. Further, our results can extend to various specification of trends in aggregate time series variables.

• Journal of the Korea Society for Simulation
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• v.10 no.2
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• pp.61-74
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• 2001

The reliability evaluation of the large scale network becomes very complicate according to the growing size of network. Moreover if the reliability is not constant but follows probability distribution function, it is almost impossible to compute them in theory. This paper studies the network evaluation methods in order to overcome such difficulties. For this an efficient path set algorithm which seeks the path set connecting the start and terminal nodes efficiently is developed. Also, various variance reduction techniques are applied to compute the system reliability to enhance the simulation performance. As a numerical example, a large scale network is given. The comparisons of the path set algorithm and the variance reduction techniques are discussed.

• Journal of applied mathematics & informatics
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• v.17 no.1_2_3
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• pp.519-536
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• 2005

The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ibanez and Zapareto [14] to the problem of American option pricing when the jumps are allowed. Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.

• Journal of Korean Institute of Industrial Engineers
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• v.12 no.1
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• pp.19-30
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• 1986

This paper provides an evaluation of static flowshop scheduling heuristics for minimizing makespan as an objective function in the dynamic flowshop model, in which new jobs with stochastic processing times arrive at the shop randomly over time and are added into the waiting jobs for processing. A total of sixteen scheduling heuristics, including several revisions and combinations of previously reported me-sixteen scheduling heuristics, including several revisions and combinations of previously reported methods, are surmmarized. These scheduling rules are evaluated via computer using a SLAM discrete event simulation model. The results for the simulation are analyzed using both statistical and nonstatistical methods. The results from the study suggest which of the popular scheduling rules hold promise for application to practical dynamic flowshop problems.

• 제어로봇시스템학회:학술대회논문집
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• 1997.10a
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• pp.301-304
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• 1997

Two options arising during implementation of an advanced model-based control system on a process with low-level loops are discussed. Strengths and deficiencies of the options are examined and methods to overcome the deficiencies are proposed. Simulation results of a CSTR and distillation column are presented to demonstrate the performance improvements.

• 제어로봇시스템학회:학술대회논문집
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• 1993.10b
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• pp.88-94
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• 1993

In this paper we analyze the RHLQG/FIRF optimal.contol law presented in [4,5] in order to stabilizes a stochastic linear time varying systems with modeling uncertainty. It is shown by the frequency domain analysis that the RHC is robuster than the LQ control law. Explicit LTR procedures are given to improve the robust performance of RHLQC/FIRF cotrol law. Using the mismatching function technique [8], we propose an LTR method which makes the RHLQG/FIRF controller recover the feedback properties of the R.HC law. Also we compare the LTR performance of the RHLQC/FIRF via simulation with conventional LTR methods.

• Journal of the Korean Statistical Society
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• v.21 no.2
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• pp.139-151
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• 1992

Simultaneous confidence intervals for the parameters in the logistic regression models with random regressors are considered. A method based on the bootstrap and its stochastic approximation will be developed. A key idea in using the bootstrap method to construct simultaneous confidence intervals is the concept of prepivoting which uses the transformation of a root by its estimated cumulative distribution function. Repeated use of prepivoting makes the overall coverage probability asymptotically correct and the coverage probabilities of the individual confidence statement asymptotically equal. This method is compared with ordinary asymptotic methods based on Scheffe's and Bonferroni's through Monte Carlo simulation.

• Proceedings of the IEEK Conference
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• 1998.06a
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• pp.243-246
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• 1998

A predictive controller is designed based upon stochastic methods for compensation of network time delay which caused by the spatial separation between controllers and actuators. Current commands are generated by using time varying probability functions which can be defined according to the values of previous control inputs and actual outputs. To demonstrate the effect of this control methodology, simulation experiments are performed. The results show that even an unstabilized system by a long time delay can be stabilized with this predictive controller.