• Geotechnical Engineering
• /
• v.4 no.3
• /
• pp.19-26
• /
• 1988

A stochastic numerical model for predictions of differential settlement of foundation Eoils is developed in this Paper. The differential settlement is highly dependent on the spatial variability of elastic modulus of soil. The Kriging method is used to account for the spatial variability of the elastic modulus. This technique provides the best linear unbiased estimator of a parameter and its minimum variance from a limited number of measured data. The stochastic finite element method, employing the first-order second-moment analysis for computations of error Propagation, is used to obtain the means, ariances, and covariances of nodal displacements. Finally, a reliability model of differential settlement is proposed by using the results of the stochastic FEM analysis. It is found that maximum differential settlement occurs when the distance between two foundations is approximately same It with the scale of fluctuation in horizontal direction, and the probability that differential settlement exceeds the allot.able vague might be significant.

• Journal of Electrical Engineering and Technology
• /
• v.11 no.1
• /
• pp.200-214
• /
• 2016

This paper investigates the problem of stability analysis and robust H_∞ controller for time-delayed systems with parameter uncertainties and stochastic disturbances. It is assumed parameter uncertainties are norm bounded and mean and variance for disturbances of them are known. Firstly, by constructing a newly augmented Lyapunov-Krasovskii functional, a stability criterion for nominal systems with time-varying delays is derived in terms of linear matrix inequalities (LMIs). Secondly, based on the result of stability analysis, a new controller design method is proposed for the nominal form of the systems. Finally, the proposed method is extended to the problem of robust H_∞ controller design for a time-delayed system with parameter uncertainties and stochastic disturbances. To show the validity and effectiveness of the presented criteria, three examples are included.

• Journal of Korea Society of Industrial Information Systems
• /
• v.23 no.3
• /
• pp.49-57
• /
• 2018

In a previous article, for analyzing a stochastic activity network, Cho proposed a method for estimating the moments (mean, variance, skewness, kurtosis) of the project completion time under the assumption that the durations of activities are independently and normally distributed. Developed in the present article is a method for estimating those moments for stochastic activity networks which allow any type of distributions for activity durations. The proposed method uses the moment matching approach to discretize the distribution function of activity duration, and then a discrete inverse-transform method to determine activity durations to be used for calculating the project completion time. The proposed method can be easily applied to large-sized activity networks, and computationally more efficient than Monte Carlo simulation, and its accuracy is comparable to that of Monte Carlo simulation.

• Journal of Korea Water Resources Association
• /
• v.31 no.6
• /
• pp.855-862
• /
• 1998

This paper investigates the impact of the forecast error on performance of a reservoir system for hydropower production. Forecast error is measured as th Root Mean Square Error (RMSE) and parametrically varied within a Generalized Maintenance Of Variance Extension (GMOVE) procedure. A set of transition probabilities are calculated as a function of the RMSE of the GMOVE procedure and then incorporated into a Bayesian Stochastic Dynamic Programming model which derives monthly operating policies and assesses their performance. As a case study, the proposed methodology is applied to the Skagit Hydropower System (SHS) in Washington state. The results show that the system performance is a nonlinear function of RMSE and therefor suggested that continued improvements in the current forecast accuracy correspond to gradually greater increase in performance of the SHS.

• Korean Management Science Review
• /
• v.31 no.1
• /
• pp.49-61
• /
• 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.

• Computational Structural Engineering
• /
• v.8 no.1
• /
• pp.127-136
• /
• 1995

In this paper the stochastic FE analysis considering the material and geometrical property of the plate structure is performed by the weighted integral method. To consider the stochasity of the material and geometrical property, the stochastic field is assumed respectively. The mean value of the stochastic field is 0 and the value of variance is assumed as 0.1. The characteristics of the assumed stochastic field is represented by auto-correlation function. This auto-correlation function is used in evaluating the response variability of the plate structure. In this study a new auto-correlation function is derived to concern the uncertainty of the plate thickness. The newly derived auto-correlation function is a function of auto-correlation function and coefficient of variation of the assumed stochastic field. The two results, obtained by proposed Weighted Integral method and Monte Carlo Simulation method, are coincided with each other and these results are almost equal to the theoretical result that is derived in this study. In the case of considering the variability of plate thickness, the obtained result is well coincide with those of Lawrence and Monte Carlo simulation.

• Journal of Korea Multimedia Society
• /
• v.6 no.3
• /
• pp.508-517
• /
• 2003

This paper presents perceptual model with a stochastic multiresolution characteristic that can be applied with watermark embedding in the biorthogonal wavelet domain. The perceptual model with adaptive watermarking algorithm embeds at the texture and edge region for more strongly embedded watermark by the SSQ. The watermark embedding is based on the computation of a NVF that has local image properties. This method uses non- stationary Gaussian and stationary Generalized Gaussian models because watermark has noise properties. The particularities of embedding in the stationary GG model use shape parameter and variance of each subband regions in multiresolution. To estimate the shape parameter, we use a moment matching method. Non-stationary Gaussian model uses the local mean and variance of each subband. The experiment results of simulation were found to be excellent invisibility and robustness. Experiments of such distortion are executed by Stirmark 3.1 benchmark test.

• The Korean Journal of Applied Statistics
• /
• v.26 no.3
• /
• pp.413-420
• /
• 2013

Stochastic weather generator is a commonly used tool to simulate daily weather time series. Recently, a generalized linear model(GLM) has been proposed as a convenient approach to tting these weather generators. In the present paper, a stochastic weather generator is considered to model the time series of daily temperatures for Seoul South Korea. As a covariate, precipitation occurrence is introduced to a relate short-term predictor to short-term predictands. One of the limitations of stochastic weather generators is a marked tendency to underestimate the observed interannual variance of monthly, seasonal, or annual total precipitation. To reduce this phenomenon, we incorporate a time series of seasonal mean temperatures in the GLM weather generator as a covariate.

• Proceedings of the Korean Society of Precision Engineering Conference
• /
• 2005.06a
• /
• pp.602-606
• /
• 2005

A systematic procedure of probability analysis for general distributions is developed based on the first four moments estimated from polynomial interpolation of the system response function and the Pearson system. The function approximation is based on a specially selected experimental region for accuracy and the number of function evaluations is taken equal to that of the unknown coefficient for efficiency. For this purpose, three error-minimizing conditions are proposed and corresponding canonical experimental regions are formed for popular probability. This approach is applied to study the stochastic properties of the performance functions of a MEMS structure, which has quite large fabrication errors compared to other structures. Especially, the vibratory micro-gyroscope is studied using the statistical moments and probability density function (PDF) of the performance function to be the difference between resonant frequencies corresponding to sensing and driving mode. The results show that it is very sensitive to the fabrication errors and that the types of PDF of each variable also affect the stochastic properties of the performance function although they have same the mean and variance.

• Journal of the Korean Society of Hazard Mitigation
• /
• v.1 no.2 s.2
• /
• pp.115-121
• /
• 2001

The purpose of the synthetic generation of monthly river flows based on the short term observed data by means of stochastic models is to provide abundant input data to the water resources systems of which the system performance and operation policy are to be determined beforehand. In this study, a multivariate autoregressive model has been applied to generate monthly flows of the multi sites considering the correlations between each site. The model performance was examined using statistical comparisons between the historical and generated monthly series such as mean, variance, skewness and correlation coefficients. The results of this study showed that the modeled generated flows were statistically similar to the historical flows.