• Journal of the military operations research society of Korea
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• v.6 no.2
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• pp.69-88
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• 1980

A stochastic fundamental duel with continous interfiring times is considered for including the kill effect of multiple hits and fixed duel time. Two alternatives, 'vital hit' and 'damage coefficient' approaches, are developed. Since a large quantity of ammunition is consumed when a sure kill is obtained through repetitive multiple hits, limitation of initial ammunition supply is included in the stochastic duel models with multiple hits and fixed duel time. General solutions are obtained and examples with negative exponential interfiring times and geometric ammunition supply are given.

• 제어로봇시스템학회:학술대회논문집
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• 1997.10a
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• pp.1504-1507
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• 1997

In this paper, we investigate a traffic flow modeled by stochastic Petri nets. The model consists of two parts : the traffic flow model and signal controller model. These models are used for analyzing the flow of the traffic intersection. The results of the evaluation are derived from a Petri Net-based simulation package, Greatspn. Through simulation we compare the performances of the pretimed signal controller with those of the trafic-adaptive signal controller.

• Journal of the Korean Operations Research and Management Science Society
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• v.22 no.1
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• pp.51-58
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• 1997

In this paper, we propose a stochastic LP model for determining an optimal input quantity in a single-product multi-stage production system with random yields. Due to the random yields in our model, each stage of the production system can result in defective items, which can be re-processed or scrapped at certain costs. We assume that the random yield at each stage follows an independent discrete empirical distribution. Compared to dynamic programming models that prevail in the literature, our model can easily handle problems of larger sizes.

• International Journal of Contents
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• v.6 no.3
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• pp.19-24
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• 2010

Task scheduling is an integrated component of computing with the emergence of grid computing. In this paper, we address two different task scheduling models, which are static Round-Robin (RR) and dynamic Fastest Site First (FSF) task scheduling method, using extended timed marked graphs, which is a special case of Stochastic Petri Nets (SPN). Stochastic reward nets (SRN) is an extension of SPN and provides compact modeling facilities for system analysis. We build hierarchical SRN models to compare two task scheduling methods. The upper level model simulates task scheduling and the lower level model implements task serving process for different sites with multiple servers. We compare these two models and analyze their performances by giving reward measures in SRN.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.27 no.3
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• pp.180-193
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• 2023

Approximating the implied volatilities and estimating the model parameters are important topics in quantitative finance. This study proposes an approximation formula for short-maturity near-the-money implied volatilities in stochastic volatility models. A general second-order nonlinear PDE for implied volatility is derived in terms of time-to-maturity and log-moneyness from the Feyman-Kac formula. Using regularity conditions and the Taylor expansion, an approximation formula for implied volatility is obtained for short-maturity nearthe-money call options in two stochastic volatility models: Heston model and SABR model. In addition, we proposed a novel numerical method to estimate model parameters. This method reduces the number of model parameters that should be estimated. Generating sample data on log-moneyness, time-to-maturity, and implied volatility, we estimate the model parameters fitting the sample data in the above two models. Our method provides parameter estimates that are close to true values.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.34 no.9
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• pp.33-44
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• 2006

As many scientific phenomena are now investigated using complex computer models, the effective use of Kriging on physical problems has been expanded to provide global approximations for optimization problems. This paper is focused on the two types of strategies to improve efficiency and accuracy of approximate optimization models using Kriging. These methods are performed by the stochastic process, stochastic-localization method(SLM), as the criterion to move the local domains and the design of experiments(DOE), the classical design and space-filling design. The proposed methodology is applied to the designs of 3-bar truss, Sandgren's pressure vessel, and honeycomb upper platform of a satellite structure.

• Proceedings of the Korea Water Resources Association Conference
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• 2020.06a
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• pp.171-171
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• 2020

Decision making strategies should consider both adaptiveness and robustness in order to deal with two main characteristics of climate change: non-stationarity and deep uncertainty. Especially, robust strategies are different from traditional optimal strategies in the sense that they are satisfactory over a wider range of uncertainty and may act as a key when confronting climate change. In this study, a new framework named Robust Stochastic Dynamic Programming (R-SDP) is proposed, which couples previously developed robust optimization (RO) into the objective function and constraint of SDP. Two main approaches of RO, feasibility robustness and solution robustness, are considered in the optimization algorithm and consequently, three models to be tested are developed: conventional-SDP (CSDP), R-SDP-Feasibility (RSDP-F), and R-SDP-Solution (RSDP-S). The developed models were used to derive optimal monthly release rules in a single reservoir, and multiple simulations of the derived monthly policy under inflow scenarios with varying mean and standard deviations are undergone. Simulation results were then evaluated with a wide range of evaluation metrics from reliability, resiliency, vulnerability to additional robustness measures. Evaluation results were finally visualized with advanced visualization tools that are used in multi-objective robust decision making (MORDM) framework. As a result, RSDP-F and RSDP-S models yielded more risk averse, or conservative, results than the CSDP model, and a trade-off relationship between traditional and robustness metrics was discovered.

• Proceedings of the Korea Water Resources Association Conference
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• 2020.06a
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• pp.101-101
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• 2020

Traditional stochastic simulation of hydroclimatological variables often underestimates the variability and correlation structure of larger timescale due to the difficulty in preserving long-term memory. However, the Long Short-Term Memory (LSTM) model illustrates a remarkable long-term memory from the recursive hidden and cell states. The current study, therefore, employed the LSTM model in stochastic generation of hydrologic and climate variables to examine how much the LSTM model can preserve the long-term memory and overcome the drawbacks of conventional time series models such as autoregressive (AR). A trigonometric function and the Rössler system as well as real case studies for hydrological and climatological variables were tested. Results presented that the LSTM model reproduced the variability and correlation structure of the larger timescale as well as the key statistics of the original time domain better than the AR and other traditional models. The hidden and cell states of the LSTM containing the long-memory and oscillation structure following the observations allows better performance compared to the other tested conventional models. This good representation of the long-term variability can be important in water manager since future water resources planning and management is highly related with this long-term variability.

• Korean Management Science Review
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• v.33 no.1
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• pp.35-47
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• 2016

Generation of electricity using wind power has received considerable attention worldwide in recent years mainly due to its minimal environmental impact. However, volatility of wind power production causes additional problems to provide reliable electricity to an electrical grid regarding power system operations, power system planning, and wind farm operations. Those problems require appropriate stochastic models for the electricity generation output of wind power. In this study, we review previous literatures for developing the stochastic model for the wind power generation, and propose a systematic procedure for developing a stochastic model. This procedure shows a way to build an ARIMA model of volatile wind power generation using historical data, and we suggest some important considerations. In addition, we apply this procedure into a case study for a wind farm in the Republic of Korea, Shinan wind farm, and shows that our proposed model is helpful for capturing the volatility of wind power generation.

• Geomechanics and Engineering
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• v.12 no.2
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• pp.269-294
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• 2017

This study aimed to realize the creation of fuzzy stochastic damage to describe reliability more essentially with the analysis of harmony of damage conception, probability and fuzzy degree of membership in interval [0,1]. Two kinds of fuzzy behaviors of damage development were deduced. Fuzzy stochastic damage models were established based on the fuzzy memberships functional and equivalent normalization theory. Fuzzy stochastic damage finite element method was developed as the approach to reliability simulation. The three-dimensional fuzzy stochastic damage mechanical behaviors of Jianshan mine slope were analyzed and examined based on this approach. The comprehensive results, including the displacement, stress, damage and their stochastic characteristics, indicate consistently that the failure foci of Jianshan mine slope are the slope-cutting areas where, with the maximal failure probability 40%, the hazardous Domino effects will motivate the neighboring rock bodies' sliding activities.