• Communications for Statistical Applications and Methods
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• v.16 no.5
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• pp.791-801
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• 2009

Value-at-Risk(VaR) has been used as an important tool to measure the market risk. However, the selection of the VaR models is controversial. This paper proposes VaR forecast combinations using support vector machine quantile regression instead of selecting a single model out of historical simulation and GARCH.

• Journal of the Korea Society for Simulation
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• v.23 no.4
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• pp.203-210
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• 2014

This study proposes adaptive decision making method having feed-back structure of regression and simulation models to support the quick decision making of production managers by managing and integrating the mutual relationship among historical data. For that, from historical data that have extracted and accumulated from each process, we first selected major constraint resources that are used as independent variables in regression model. The regression model is designed by using the dependent variables (objectives) that defined above by managers and independent variables selected in previous step and simulation model that are composed of constraint resources is designed. In process of simulation run, we obtain the multiple feasible solutions (alternatives) by using meta-heuristic method. Each solution is substituted by regression equation and we found the optimal solution that is minimum of difference between values obtained by regression model and simulation results. The optimal solution is delivered and incorporated to production site and current operation results from production site is used to generate new regression model after that time.

• Wind and Structures
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• v.31 no.2
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• pp.85-102
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• 2020

Accurate load evaluation is essential in any performance-based design. Design wind speeds and associated wind loads are well defined for synoptic boundary layer winds but not for thunderstorms. The method presented in the current study represents a new approach to obtain design wind speeds associated with thunderstorms and their gust fronts using historical data and Monte Carlo simulations. The method consists of the following steps (i) developing a numerical model for thunderstorm downdrafts (i.e. downbursts) to account for storm translation and outflow dissipation, (ii) utilizing the model to characterize previous events and (iii) extrapolating the limited wind speed data to cover life-span of structures. The numerical model relies on a previously generated CFD wind field, which is validated using six documented thunderstorm events. The model suggests that 10 parameters are required to describe the characteristics of an event. The model is then utilized to analyze wind records obtained at Lubbock Preston Smith International Airport (KLBB) meteorological station to identify the thunderstorm parameters for this location, obtain their probability distributions, and utilized in the Monte Carlo simulation of thunderstorm gust front events for many thousands of years for the purpose of estimating design wind speeds. The analysis suggests a potential underestimation of design wind speeds when neglecting thunderstorm gust fronts, which is common practice in analyzing historical wind records. When compared to the design wind speed for a 700-year MRI in ASCE 7-10 and ASCE 7-16, the estimated wind speeds from the simulation were 10% and 11.5% higher, respectively.

• Communications for Statistical Applications and Methods
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• v.13 no.3
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• pp.685-699
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• 2006

Commercial banks and other related areas have developed internal models to better quantify their financial risks. Since an appropriate credit risk model plays a very important role in the risk management at financial institutions, it needs more accurate model which forecasts the credit losses, and statistical inference on that model is required. In this paper, we propose a new method for estimating a default rate. It is a Bayesian approach using the power prior which allows for incorporating of historical data to estimate the default rate. Inference on current data could be more reliable if there exist similar data based on previous studies. Ibrahim and Chen (2000) utilize these data to characterize the power prior. It allows for incorporating of historical data to estimate the parameters in the models. We demonstrate our methodologies with a real data set regarding SOHO data and also perform a simulation study.

• Computers and Concrete
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• v.18 no.1
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• pp.99-112
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• 2016

Since the preservation of monuments is very important to human societies, different methods are required to preserve historic structures. In this paper, 3D model of arch stone bridge at Pont Saint Martin, Aosta, Italy, was simulated by 1660 integrated separate stones using ABAQUS$^{(R)}$ software to investigate the seismic susceptibility of the bridge. The main objective of this research was to study a method of preservation of the historical stone bridge against possible earthquakes using FRP techniques. The nonlinear behavior model of materials used theory of plasticity based on Drucker-Prager yield criterion. Then, contact behavior between the block and mortar was modeled. Also, Seismosignal software was used to collect data related to 1976 Friuli Earthquake Italy, which constitutes a real seismic loading. The results show that, retrofitting of the arch stone bridge using FRP techniques decreased displacement of stones of spandrel walls, which prevents the collapse of stones.

• Journal of the Korean School Mathematics Society
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• v.26 no.1
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• pp.21-47
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• 2023

This study examines the activity system of teaching and learning about informal statistical inference using sampling simulation, based on cultural-historical activity theory. The research explores what contradictions arise in the activity system and how the system changes as a result of these contradictions. The participants were 20 elementary school students in the 5th to 6th grades who received classes on informal statistical inference using sampling simulations. Thematic analysis was used to analyze the data. The findings show that a contradiction emerged between the rule and the object, as well as between the mediating artifact and the object. It was confirmed that visualization of empirical sampling distribution was introduced as a new artifact while resolving these contradictions. In addition, contradictions arose between the subject and the rule and between the rule and the mediating artifact. It was confirmed that an algorithm to calculate the mean of the sample means was introduced as a new rule while resolving these contradictions.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2007.11a
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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.

• Water for future
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• v.10 no.1
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• pp.79-94
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• 1977

This study is aimed at the establishment and examination of stochastic model to simulate Run-length and Run-sum of daily rainfall and streamflow. In the analysis, daily rainfall records in major cities (Seoul, Kangnung, Taegu, Kwangju, Busan, and Cheju) and daily streamflow records of Major rivers (Han, Nakdong and Geum River) were used. Also, the fitness of daily rainfall and streamflow to Weibull and one parameter exponential distribution was tested by Chi-square and Kolmogorov-Smirnov test, from which it was found that daily rainfall and streamflow generally fit well to exponential type distribution function. The Run-length and Run-sum were simulated by the Weibull Model (WBL Model), one parameter exponential model (EXP-1 Model) based on the Nonte Carlo technique. In this result, Run-length of rainfall was fitted for one parameter exponential model and Run-length of streamflow was fitted for Weibull model. And Run-sum of rainfall and streamflow were fit comparatively for regression model. Hereby, statistical charactristics of Simulation data were sinilar to historical data.

• Journal of Korean Institute of Industrial Engineers
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• v.41 no.6
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• pp.588-598
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• 2015

In this paper, a simulation model for assessing the impact of alternative field service engineer replenishment policies is introduced. The end-to-end supply chain simulation model is created using a discrete-event and agent-based simulation model, which enables accurate description of key individual entities in the investigated supply chain, such as field service engineers. Once the model is validated with the historical data, it is used to assess the impacts of field service engineer replenishment policies for a major printing equipment manufacturing firm.In the case study, newly proposed replenishment policies for post-sale distribution supply chain are assessed for the level of service improvement to end customers.

• Journal of Information Technology Services
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• v.9 no.4
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• pp.123-133
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• 2010

There are many occasions on which the critical decisions should be made in software projects. Those decisions are basically related to estimating and predicting project parameters such as costs, efforts, and duration. The project managers are looking for methods to make better decisions. The decisions about project parameters are recommended to be performed based on historical data of Similar projects. The measures of the tasks in past projects may have different shapes of distributions. we need to add those measures to get a predicted project measures. To add measures with different shapes of distribution, we need to use Monte Carlo Simulation. In this paper, we suggest applying Monte Carlo Simulation for supporting decision makings in software project. We implemented best-fit case and scheduling estimations with Cristal Ball, a commercial product of Monte Carlo simulation and showed how the suggested approach supports those critical decision makings.