• 한국건설관리학회논문집
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• 제6권1호
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• pp.73-79
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• 2005

This paper, introduces a Stochastic Project Scheduling Simulation system (SPSS III) developed by the author to predict a project completion probability in a certain time. The system integrates deterministic CPM, probabilistic PERT, and stochastic Discrete Event Simulation (DES) scheduling methods into one system. It implements automated statistical analysis methods for computing the minimum number of simulation runs, the significance of the difference between independent simulations, and the confidence interval for the mean project duration as well as sensitivity analysis method in What-if analyzer component. The SPSS 111 gives the several benefits to researchers in that it (1) complements PERT and Monte Carlo simulation by using stochastic activity durations via a web based JAVA simulation over the Internet, (2) provides a way to model a project network having different probability distribution functions, (3) implements statistical analyses method which enable to produce a reliable prediction of the probability of completing a project in a specified time, and (4) allows researchers to compare the outcome of CPM, PERT and DES under different variability or skewness in the activity duration data.

• Wind and Structures
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• 제18권6호
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• pp.693-715
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• 2014

Stochastic processes are used to represent phenomena in many diverse fields. Numerical simulation method is widely applied for the solution to stochastic problems of complex structures when alternative analytical methods are not applicable. In some practical applications the stochastic processes show non-Gaussian properties. When the stochastic processes deviate significantly from Gaussian, techniques for their accurate simulation must be available. The various existing simulation methods of non-Gaussian stochastic processes generally can only simulate super-Gaussian stochastic processes with the high-peak characteristics. And these methodologies are usually complicated and time consuming, not sufficiently intuitive. By revealing the inherent coupling effect of the phase and amplitude part of discrete Fourier representation of random time series on the non-Gaussian features (such as skewness and kurtosis) through theoretical analysis and simulation experiments, this paper presents a novel approach for the simulation of non-Gaussian stochastic processes with the prescribed amplitude probability density function (PDF) and power spectral density (PSD) by amplitude modulation and phase reconstruction. As compared to previous spectral representation method using phase modulation to obtain a non-Gaussian amplitude distribution, this non-Gaussian phase reconstruction strategy is more straightforward and efficient, capable of simulating both super-Gaussian and sub-Gaussian stochastic processes. Another attractive feature of the method is that the whole process can be implemented efficiently using the Fast Fourier Transform. Cases studies demonstrate the efficiency and accuracy of the proposed algorithm.

• Structural Engineering and Mechanics
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• 제4권6호
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• pp.703-715
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• 1996

In stochastic analysis, the randomness of the structural parameters is taken into consideration and the response variability is obtained in addition to the conventional (mean) response. In the present paper the structural response variability of plate structure is calculated using the weighted integral method and is compared with the results obtained by different methods. The stochastic field is assumed to be normally distributed and to have the homogeneity. The decomposition of strain-displacement matrix enabled us to extend the formulation to the stochastic analysis with the quadratic elements in the weighted integral method. A new auto-correlation function is derived considering the uncertainty of plate thickness. The results obtained in the numerical examples by two different methods, i.e., weighted integral method and Monte Carlo simulation, are in a close agreement. In the case of the variable plate thickness, the obtained results are in good agreement with those of Lawrence and Monte Carlo simulation.

• 한국CDE학회논문집
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• 제2권4호
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• pp.215-221
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• 1997

A new approach in solving design centering problem is presented. Like most stochastic optimization problems, optimal design centering problems have intrinsic difficulties in multivariate intergration of probability density functions. In order to avoid to avoid those difficulties, genetic algorithm and very coarse Monte Carlo simulation are used in this research. The new algorithm performs robustly while producing improved yields. This result implies that the combination of robust optimization methods and approximated simulation schemes would give promising ways for many stochastic optimizations which are inappropriate for mathematical programming.

• 한국시뮬레이션학회논문지
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• 제3권2호
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• pp.57-67
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• 1994

For many practical and industrial optimization problems where some or all of the system components are stochastic, the objective functions cannot be represented analytically. Therefore, modeling by computer simulation is one of the most effective means of studying such complex systems. In this paper, with discussion of simulation optimization techniques, a case study in machining process for application of simulation optimization is presented. Most of optimization techniques can be classified as single-or multiple-response techniques. The optimization of single-response category, these strategies are gradient based search methods, stochastic approximate method, response surface method, and heuristic search methods. In the multiple-response category, there are basically five distinct strategies for treating the responses and finding the optimum solution. These strategies are graphical method, direct search method, constrained optimization, unconstrained optimization, and goal programming methods. The choice of the procedure to employ in simulation optimization depends on the analyst and the problem to be solved.

• 한국농공학회지
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• 제36권1호
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• pp.54-62
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• 1994

The expanding technique of the Stochastic Finite Element Method(SFEM) is proposed in this paper for adapting direct integration methods in stochastical dynamic analysis of structures. Grafting the direct integration methods and the SFEM together, one can deal with nonlinear structures and nonstationary process problems without any restriction. The stochastical central diffrence and stochastic Houbolt methods are introduced to show the expanding technique, and their adaptabilities are discussed. Results computed by the proposed method (the Stochastic Finite Element Method in Dynamics: SFEMD) for two degree-of-free- dom system are compared with those obtained by Monte Carlo Simulation.

• Structural Engineering and Mechanics
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• 제11권4호
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• pp.373-392
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• 2001

The main idea behind the paper is to present two alternative methods of homogenization of the heat conduction problem in composite materials, where the heat conductivity coefficients are assumed to be random variables. These two methods are the Monte-Carlo simulation (MCS) technique and the second order perturbation second probabilistic moment method, with its computational implementation known as the Stochastic Finite Element Method (SFEM). From the mathematical point of view, the deterministic homogenization method, being extended to probabilistic spaces, is based on the effective modules approach. Numerical results obtained in the paper allow to compare MCS against the SFEM and, on the other hand, to verify the sensitivity of effective heat conductivity probabilistic moments to the reinforcement ratio. These computational studies are provided in the range of up to fourth order probabilistic moments of effective conductivity coefficient and compared with probabilistic characteristics of the Voigt-Reuss bounds.

• Journal of Electrical Engineering and Technology
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• 제13권3호
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• pp.1110-1122
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• 2018

This paper proposes an alternative method to evaluate the effect of wind power to the power system stability with small disturbance. Alternatively, available techniques for stability analysis of a power system based on deterministic methods are less accurate for high penetration of wind power. Numerical simulations of random behaviors are computationally expensive. A stochastic stability index (SSI) is proposed for the power system stability evaluation based on the theory of stochastic stability and energy function, specifically the stochastic derivative of the relative well-defined energy function and the critical energy. The SSI is implemented on the modified nine-bus system including wind turbines under different conditions. A doubly-fed induction generator (DFIG) wind turbine is characterized and modeled using measured wind data from several sites in Thailand. Each of the obtained wind power data is analyzed. The wind power effect is modeled considering the aggregated effect of wind turbines. With the proposed method, the system behavior is properly predicted and the stability is quantitatively evaluated with less computational effort compared with conventional numerical simulation methods.

• Wind and Structures
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• 제29권6호
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• pp.389-403
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• 2019

In this study, two original spectral representations of stationary stochastic fields, say the continuous proper orthogonal decomposition (CPOD) and the frequency-wavenumber spectral representation (FWSR), are derived from the Fourier-Stieltjes integral at first. Meanwhile, the relations between the above two representations are discussed detailedly. However, the most widely used conventional Monte Carlo schemes associated with the two representations still leave two difficulties unsolved, say the high dimension of random variables and the incompleteness of probability with respect to the generated sample functions of the stochastic fields. In view of this, a dimension-reduction model involving merely one elementary random variable with the representative points set owing assigned probabilities is proposed, realizing the refined description of probability characteristics for the stochastic fields by generating just several hundred representative samples with assigned probabilities. In addition, for the purpose of overcoming the defects of simulation efficiency and accuracy in the FWSR, an improved scheme of non-uniform wavenumber intervals is suggested. Finally, the Fast Fourier Transform (FFT) algorithm is adopted to further enhance the simulation efficiency of the horizontal stochastic wind velocity fields. Numerical examplesfully reveal the validity and superiorityof the proposed methods.

• Communications for Statistical Applications and Methods
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• 제28권2호
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• pp.171-188
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• 2021

Due to an increased demand for longevity risk analysis, various stochastic models have been suggested to evaluate uncertainly in estimated life expectancy and the associated value of future annuity payments. Recently updated data allow us to analyze mortality for a longer historical period and extended age ranges. This study followed up previous case studies using up-to-date empirical data on Korean mortality and the recently developed R package StMoMo for stochastic mortality models analysis. The suitability of stochastic mortality models, focusing on retirement ages, was investigated with goodness-of-fit, validity of models, and ability of generating reasonable sets of simulation paths of future mortality. Comparisons were made across various types of models. Based on the selected models, the variability of important estimated measures associated with pension, annuity, and reverse mortgage were quantified using simulations.