• 한국시뮬레이션학회논문지
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• 제10권2호
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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.

• 한국시뮬레이션학회논문지
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• 제5권1호
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• pp.91-106
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• 1996

Control Variate (CV) is very useful technique for variance reduction in a wide class of queueing network simulations. However, the loss in variance reduction caused by the estimation of the optimum control coefficients is an increasing function of the number of control variables. Therefore, in some situations, it is required to select an optimal set of control variables to maximize the variance reduction . In this paper, we develop the Adaptive Control Variates (ACV) method which selects an optimal set of control variates during the simulation adatively. ACV is useful to maximize the simulation efficiency when we need iterated simulations to find an optimal solution. One such an example is the Simulated Annealing (SA) because, in SA algorithm, we have to repeat in calculating the objective function values at each temperature, The ACV can also be applied to the queueing network optimization problems to find an optimal input parameters (such as service rates) to maximize the throughput rate with a certain cost constraint.

• 한국컴퓨터정보학회논문지
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• 제23권12호
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• pp.21-26
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• 2018

As the large amount of data can be efficiently stored, the methods extracting meaningful features from big data has become important. Especially, the techniques of converting high- to low-dimensional data are crucial for the 'Data visualization'. In this study, principal component analysis (PCA; linear dimensionality reduction technique) and Isomap (non-linear dimensionality reduction technique) are introduced and applied to neural big data obtained by the functional magnetic resonance imaging (fMRI). First, we investigate how much the physical properties of stimuli are maintained after the dimensionality reduction processes. We moreover compared the amount of residual variance to quantitatively compare the amount of information that was not explained. As result, the dimensionality reduction using Isomap contains more information than the principal component analysis. Our results demonstrate that it is necessary to consider not only linear but also nonlinear characteristics in the big data analysis.

• 한국경영과학회지
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• 제21권3호
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• pp.47-61
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• 1996

An ATM switch must deal with various kinds of input sources having different traffic characteristics and it must guarantee very small value of cel loss probability, about 10$^{8}$ -10$^{12}$ , to deal with loss-sensitive traffics. In order to estimate such a rate event probability with simulation procedure, a variance reduction technique is essential for obtaining an appropriate level of precision with reduced cost. In this paper, we propose a hybrid simulation technique to achieve reduction of variance of cell loss probability estimator, where hybrid means the combination of analytical method and simulation procedure. A discrete time queueing model with multiple input sources and a finite shared buffer is considered, where the arrival process at an input source and a finite shared buffer is considered, where the arrival process at an input source is governed by an Interrupted Bernoulli Process and the service rate is constant. We deal with heterogeneous input sources as well as homogeneous case. The performance of the proposed hybrid simulation estimator is compared with those of the raw simulation estimator and the importance sampling estimator in terms of variance reduction ratios.

• 에너지공학
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• 제14권1호
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• pp.46-53
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• 2005

본 논문은 확률적 기법을 적용하여 직접부하제어의 적정한 지원금을 산정하는 새로운 방법론을 제안한다. 직접부하제어의 경제성 분석은 발전기의 고장정지 특성, 직접부하제어 자원의 차단용량 및 차단시간 등을 모두 고려해야 하기 때문에 현실적으로 불가능한 것으로 인식되었다. 따라서 기존의 연구에서는 시나리오 접근법을 사용하여 직접부하제어의 경제성 평가를 수행하였다. 본 논문에서는 몬테카를로 시뮬레이션을 적용하여 직접부하제어의 제어전력량을 확률적으로 추정하고 이를 기반으로 직접부하제어의 지원금을 산정하는 새로운 접근법을 개발하였다. 또한 시뮬레이션의 효율을 향상시키기 위하여 분산감소 기법을 적용하였다. 본 논문에서 제안한 방법론의 유용성을 보이기 위해 IEEE 24-모선 신뢰도 계통에 적용하여 사례연구를 수행하였다.

• 한국시뮬레이션학회논문지
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• 제14권3호
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• pp.129-136
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• 2005

We develop a variance reduction technique applicable in one simulation experiment whose purpose is to estimate the parameters of a first order linear model. This method utilizes the control variates obtained during the course of simulation run under Schruben and Margolin's method (S-M method). The performance of this method is shown to be similar in estimating the main effects, and to be superior to S-M method in estimating the overall mean response in a given model. We consider that a proposed method may yield a better result than S-M method if selected control variates are highly correlated with the response at each design point.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2004년도 하계학술대회 논문집 A
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• pp.666-670
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• 2004

This paper presents a new approach for determining an accurate incentive levels of Direct Load Control (DLC) program using sequential Monte Carlo Simulation (MCS) techniques. The economic analysis of DLC resources needs to identify the hourly-by-hourly expected energy-not-served resulting from the random outage characteristics of generators as well as to reflect the availability and duration of DLC resources, which results the computational explosion. Therefore, the conventional methods are based on the scenario approaches to reduce the computation time as well as to avoid the complexity of economic studies. In this paper, we have developed a new technique based on the sequential MCS to evaluate the required expected load control amount in each hour and to decide the incentive level satisfying the economic constraints. And also the proposed approach has been considered multi-state as well as two-state of the generating units. In addition, we have applied the variance reduction technique to enhance the efficiency of the simulation. To show the efficiency and effectiveness of the suggested method the numerical studies have been performed for the modified IEEE reliability test system.

• 한국시뮬레이션학회논문지
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• 제4권1호
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• pp.25-36
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• 1995

We develop a variance reduction technique in one simulation experiment whose purpose is to estimate the parameters of a first-order linear model. This method utilizes the control variates obtained during the course of simulation run under Schruben and Margolin's method (S-M method). The performance of this method is shown to be similar in estimating the main effects, and to be superior to S-M method in estimating the overall mean response in the hospital simulation experiment. For the general case, we consider that a proposed method may yield a better result than S-M method if selected control variates are highly correlated with the response at each design point.

• 경영과학
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• 제31권1호
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• pp.49-61
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• 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.

• 품질경영학회지
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• 제22권4호
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• pp.1-12
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• 1994

각각의 설계인자들의 실험조건에서 얻어지는 특성치들의 분산은 평균에 영향을 받는다. 많은 경우에 평균이 커짐에 따라서 분산이 커지는 경향이 있다. 다구찌가 산포제어인자를 찾기 위해서 제시한 SN 비인 $(SN)_i$ = 10 log ($\bar{y}_{i}^{2}/s_{i}^{2}$) 은 분산이 평균의 제곱에 비례하여 커지는 경우이다. 그런데 분산이 평균의 제곱보다 더 느리게 또는 더 빠르게 커질 수도 있기 때문에 이 논문에서는 간단한 자료분석적 기법에 의해서 그 관계를 추측하여, 합당한 SN 비를 사용할 것을 제시하였고, 평균조정인자를 찾기위한 통계량인 감도 $(S)_i$ 의 통계적 성질들을 논의하였다.