• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.20 no.4
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• pp.277-293
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• 2016

We develop an efficient numerical method for pricing the Derivative Linked Securities (DLS). The payoff structure of the hybrid DLS consists with a standard 2-Star step-down type ELS and the range accrual product which depends on the number of days in the coupon period that the index stay within the pre-determined range. We assume that the 2-dimensional Geometric Brownian Motion (GBM) as the model of two equities and a no-arbitrage interest model (One-factor Hull and White interest rate model) as a model for the interest rate. In this study, we employ the Monte Carlo simulation method with the Compute Unified Device Architecture (CUDA) parallel computing as the General Purpose computing on Graphic Processing Unit (GPGPU) technology for fast and efficient numerical valuation of DLS. Comparing the Monte Carlo method with single CPU computation or MPI implementation, the result of Monte Carlo simulation with CUDA parallel computing produces higher performance.

• Structural Engineering and Mechanics
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• v.38 no.2
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• pp.171-193
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• 2011

One of the possible alternatives of simulation-based time-dependent reliability assessment of pre-stressed biconcave and biconvex cable trusses, the Monte Carlo method, is applied in this paper. The influence of an excessive deflection of cable truss (caused by creep of cables and rheologic changes) on its time-dependent serviceability is investigated. Attention is given to the definition of the basic random variables and their statistical functions (basic, mutually dependent random variables such as the pre-stressing forces of the bottom and top cable, structural geometry, the Young's modulus of elasticity of the cables, and the independent variables, such as permanent load, wind, snow and thermal actions). Then, the determination of the response of the cable truss to the loading effects, and the definition of the limiting values considering serviceability of the structure are performed. The potential of the method, using direct Monte Carlo technique for simulation-based time-dependent reliability assessment as a powerful tool, is emphasized. Results obtained by the First order reliability method (FORM) are compared with those obtained by the Monte Carlo simulation technique.

• The Journal of the Acoustical Society of Korea
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• v.21 no.3
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• pp.221-229
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• 2002

In thin paper, error tolerance of each array element which satisfies error tolerance of beam pattern is decided by using the Monte-Carlo method. Conventional deterministic method decides the error tolerance of each element from the acceptance pattern by testing all cases, but this method is not suitable for the analysis of large number of array elements because the computation resources increase exponentially as the number of array elements increases. To alleviate this problem, we applied new algorithm which reduces the increment of calculation time increased by the number of the array elements. We have validates the determined error tolerance region through several simulation.

• Transactions of the Korean Society of Automotive Engineers
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• v.12 no.6
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• pp.135-142
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• 2004

The severe frontal crash tests are NCAP with belted occupant at 35mph and FMVSS 208 with unbelted occupant at 25mph, This paper describes the design process of occupant protection systems, airbag and seat belt, under the two tests. In this study, NCAP simulations are performed by Monte Carlo search method and cluster analysis. The Monte Carlo search method is a global optimization technique and requires execution of a series of deterministic analyses, The procedure is as follows. 1) Define the region of interest 2) Perform Monte Carlo simulation with uniform distribution 3) Transform output to obtain points grouped around the local minima 4) Perform cluster analysis to obtain groups that are close to each other 5) Define the several feasible design ranges. The several feasible designs are acquired and checked under FMVSS 208 simulation with unbelted occupant at 25mph.

• Proceedings of the KSME Conference
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• 2007.05b
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• pp.2165-2170
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• 2007

At nanoscales, the Boltzmann transport equation (BTE) can best describe the behavior of phonons which are energy carriers in crystalline materials. Through this study, the phonon transport in some micro/nanoscale problems was simulated with the Monte Carlo method which is a kind of the stochastic approach to the BTE. In the Monte Carlo method, the superparticles of which the number is the weighted value to the actual number of phonons are allowed to drift and be scattered by other ones based on the scattering probability. Accounting for the phonon dispersion relation and polarizations, we have confirmed the one-dimensional transient phonon transport in ballistic and diffusion limits, respectively. The thermal conductivity for GaAs was also calculated from the kinetic theory by using the proposed model. Besides, we simulated the electrostatic discharge event in the NMOS transistor as a two-dimensional problem by applying the Monte Carlo method.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.7 no.3
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• pp.552-557
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• 2003

This paper presents an algorithm for evaluating power wheeling effects considering contingency using Monte-Carlo simulation. The effects of power wheeling on generating cost, transmission losses, and system security are considered. And, for a specific operating condition, the effects are quantified by the sensitivity of specific quantities of interest with respect to wheeling level. This model is utilized to calculate probability distribution functions of the incremental effects of power wheeling with a Monte-Carlo simulation. The proposed method is applied to IEEE RTS-96 system and the results are presented.

• Bulletin of the Korean Chemical Society
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• v.23 no.6
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• pp.811-817
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• 2002

Gibbs ensemble Monte Carlo simulations were performed to calculate the vapor-liquid coexistence properties for the binary mixtures $CO_2/CH_3OH$, $CO_2/C_2H_5OH$, and $CO_2/CH_3CH_2CH_2OH.$ The configurational bias Monte Carlo method was used in the simulation of alcohol. Density of the mixture, composition of the mixture, the pressure-composition diagram, and the radial distribution function were calculated at vapor-liquid equilibrium. The composition and the density of both vapor and liquid from simulation agree considerably well with the experimental values over a wide range of pressures. The radial distribution functions in the liquid mixtures show that $CO_2$ molecules interact more stogly with methyl group than methylene group of $C_2H_5OH$ and $CH_3CH_2CH_2OH$ due to the steric effects of the alcohol molecules.

• Current Optics and Photonics
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• v.1 no.5
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• pp.551-555
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• 2017

Tissue optics is a well-established and extensively studied area. In the last decades, Monte Carlo simulation (MCS) has been one of the standard tools for simulation of light propagation in turbid media. The utilization of parallel processing exhibits dramatic increase in the speed of MCS's of photon migration. Some calculations based on MCS can be completed within a few seconds. Since the MCS's have the potential to become a real time calculation method, a dynamic accuracy estimation, which is also known as history by history statistical estimators, is required in the simulation code to automatically terminate the MCS as the results' accuracy achieves a high enough level. In this work, spatial and time-domain GPU-based MCS, adopting the dynamic accuracy estimation, are performed to calculate the light dose/reflectance in homogeneous and heterogeneous tissue media. This dynamic accuracy estimation can effectively derive the statistical error of optical dose/reflectance during the parallel Monte Carlo process.

• Journal of the Korean Society of Hazard Mitigation
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• v.9 no.3
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• pp.127-133
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• 2009

In this study, dimensionless-cumulative rainfall curves were generated by multivariate Monte Carlo method. For generation of rainfall curve rainfall storms were divided and made into dimensionless type since it was required to remove the spatial and temporal variances as well as differences in rainfall data. The dimensionless rainfall curves were divided into 4 types, and log-ratio method was introduced to overcome the limitations that elements of dimensionless-cumulative rainfall curve should always be more than zero and the sum total should be one. Orthogonal transformation by Johnson system and the constrained non-normal multivariate Monte Carlo simulation were introduced to analyse the rainfall characteristics. The generative technique in stochastic rainfall variation using multivariate Monte Carlo method will contribute to the design and evaluation of hydrosystems and can use the establishment of the flood disaster prevention system.

• Tunnel and Underground Space
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• v.14 no.2
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• pp.97-107
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• 2004

Various kinds of rock mass properties, which can be obtained from laboratory tests as well as field tests, can be reasonably applied to the design of earth structures. An extrapolation technique can be used for this application and it generally guarantee its quality from a sufficient amount of test results because it is based on the RMR value in most cases. When the confident RMR can not be obtained because of the insufficient testing results, the Monte Carlo Simulation technique can be introduced fer deducing the proper RMR and this assessed RMR can be reused fur the major input parameters. Authors' proposed method can be verified from the comparison between the results of numerical analysis and the evidences of field site.