• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.669-677
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• 2013

Quasi-Monte Carlo method is known to have lower convergence rate than the standard Monte Carlo method. Quasi-Monte Carlo methods are using low discrepancy sequences as quasi-random numbers. They include Halton sequence, Faure sequence, and Sobol sequence. In this article, we compared standard Monte Carlo method, quasi-Monte Carlo methods and three scrambling methods of Owen, Faure-Tezuka, Owen-Faure-Tezuka in valuation of multi-asset European call option through simulations. Moro inversion method is used in generating random numbers from normal distribution. It has been shown that three scrambling methods are superior in estimating option prices regardless of the number of assets, volatility, and correlations between assets. However, there are no big differences between them.

• The Korean Journal of Applied Statistics
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• v.25 no.5
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• pp.837-846
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• 2012

Monte Carlo methods have been used in exact inference for contingency tables for a long time; however, they suffer from ergodicity and the ability to achieve a desired proportion of valid tables. In this paper, we apply the stochastic approximation Monte Carlo(SAMC; Liang et al., 2007) algorithm, as an adaptive Markov chain Monte Carlo, to the exact test of mutual independence in a multiway contingency table. The performance of SAMC has been investigated on real datasets compared to with existing Markov chain Monte Carlo methods. The numerical results are in favor of the new method in terms of the quality of estimates.

• Nuclear Engineering and Technology
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• v.44 no.2
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• pp.151-160
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• 2012

The advantages for using Monte Carlo methods to analyze full-core reactor configurations include essentially exact representation of geometry and physical phenomena that are important for reactor analysis. But this substantial advantage comes at a substantial cost because of the computational burden, both in terms of memory demand and computational time. This paper focuses on the challenges facing full-core Monte Carlo for keff calculations and the prospects for Monte Carlo becoming a routine tool for reactor analysis.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.9 no.6
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• pp.1341-1345
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• 2005

Sequential Monte Carlo techniques are a set of powerful and versatile simulation-based methods to perform optimal state estimation in nonlinear non-Gaussian state-space models. We can use Monte Carlo particle filters adaptively, i.e. so that they simultaneously estimate the parameters and the signal. However, Sequential Monte Carlo techniques require the use of special panicle filtering techniques which suffer from several drawbacks. We consider here an alternative approach combining particle filtering and Sequential Hybrid Monte Carlo. We give some examples of applications in fisheries(luespotted mud hopper data).

• Structural Engineering and Mechanics
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• v.32 no.1
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• pp.1-20
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• 2009

The present contribution addresses uncertainty quantification and uncertainty propagation in structural mechanics using stochastic analysis. Presently available procedures to describe uncertainties in load and resistance within a suitable mathematical framework are shortly addressed. Monte Carlo methods are proposed for studying the variability in the structural properties and for their propagation to the response. The general applicability and versatility of Monte Carlo Simulation is demonstrated in the context with computational models that have been developed for deterministic structural analysis. After discussing Direct Monte Carlo Simulation for the assessment of the response variability, some recently developed advanced Monte Carlo methods applied for reliability assessment are described, such as Importance Sampling for linear uncertain structures subjected to Gaussian loading, Line Sampling in linear dynamics and Subset simulation. The numerical example demonstrates the applicability of Line Sampling to general linear uncertain FE systems under Gaussian distributed excitation.

• Honam Mathematical Journal
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• v.28 no.1
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• pp.165-183
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• 2006

In this article, we try to show that concepts and principles in probability can be taught vividly through the use of the Monte Carlo method to students who have difficulty with probability in the classrooms. We include some topics to demonstrate the application of a wide variety of real world problems that can be addressed.

• Communications of the Korean Mathematical Society
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• v.23 no.2
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• pp.285-294
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• 2008

A new Monte Carlo method is presented to compute the prices of barrier options on stocks. The key idea of the new method is to use an exit probability and uniformly distributed random numbers in order to efficiently estimate the first hitting time of barriers. It is numerically shown that the first hitting time error of the new Monte Carlo method decreases much faster than that of standard Monte Carlo methods.

• Communications for Statistical Applications and Methods
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• v.10 no.1
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• pp.203-210
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• 2003

In a standard Metropolis-type Monte Carlo simulation, the proposal distribution cannot be easily adapted to "local dynamics" of the target distribution. To overcome some of these difficulties, Duane et al. (1987) introduced the method of hybrid Monte Carlo(HMC) which combines the basic idea of molecular dynamics and the Metropolis acceptance-rejection rule to produce Monte Carlo samples from a given target distribution. In this paper, using the HMC within Gibbs sampler, an asymptotical estimate of the smoothing mean and a general solution to state space modeling in Bayesian framework is obtaineds obtained.

• Proceedings of the KIEE Conference
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• 2001.05a
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• pp.169-171
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• 2001

This paper presents a method fer evaluation nodal probabilistic congestion and reliability indices of transmission systems using Monte Carlo simulation methods. Quantitative evaluation of transmission system reliability is very important because successful operation of an electric power system. In the deregulated electricity market depends on transmission system reliability management Monte Carlo methods are often preferable, when complex operating conditions are involved and/or the number of sever events is relatively large. To evaluate the reliability of a real power system, Monte Carlo Methods will be more useful. The characteristics and effectiveness of this methodology are illustrated by the case study using a small test system.

• Proceedings of the Korean Society of Medical Physics Conference
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• 2002.09a
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• pp.116-118
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• 2002

It has been noted that Monte Carlo simulations are the most accurate method to calculate dose distributions in any material and geometry. Monte Carlo transport algorithms determine the absorbed dose by following the path of representative particles as they travel through the medium. Accurate Monte Carlo dose calculations rely on detailed modeling of the radiation source. We modeled the effects of beam modifiers such as collimators, blocks, wedges, etc. of our accelerator, Varian Clinac 600C/D to ensure accurate representation of the radiation source using the EGSnrc based BEAM code. These were used in the EGSnrc based DOSXYZ code for the simulation of particles transport through a voxel based Cartesian coordinate system. Because Monte Carlo methods use particle-by-particle methods to simulate a radiation transport, more particle histories yield the better representation of the actual dose. But the prohibitively long time required to get high resolution and accuracy calculations has prevented the use of Monte Carlo methods in the actual clinical spots. Our ultimate aim is to develop a Monte Carlo dose calculation system designed specifically for radiation therapy planning, which is distinguished from current dose calculation methods. The purpose of this study in the present phase was to get dose calculation results corresponding to measurements within practical time limit. We used parallel processing and some variance reduction techniques, therefore reduced the computational time, preserving a good agreement between calculations of depth dose distributions and measurements within 5% deviations.