• Proceedings of the Korea Water Resources Association Conference
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• 한국수자원학회 2012년도 학술발표회
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• pp.123-123
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• 2012

일강수량은 수공구조물 설계 및 수자원계획을 수립하기 위한 입력 자료로 이용된다. 일반적으로 수자원계획은 장기적인 목적을 가지고 수행되어지며, 장기간의 일강수량 자료를 필요로 한다. 하지만 장기간의 일강수량 자료의 획득의 어려움으로 단기간의 일강수량자료를 이용하여 모의한 장기간 강수자료를 이용하게 된다. 이처럼 수자원계획의 수립에 있어서 일강수량 모의기법의 성능은 수자원계획의 신뢰성 및 결과에 큰 영향을 준다. 일강수량 모의기법은 국내외적으로 매우 활발하게 이루어지고 있으며, 수자원계획 및 수공구조물 설계 외에도 매우 다양한 목적으로 활용되어 지고 있다. 일강수량을 모의기법 중 강수계열의 단기간의 기억(memory)을 활용한 Markov Chain 모형이 가장 일반적이지만, 기존 Markov Chain 모형을 통한 일강수량 모의는 극치강수량을 재현하기 어렵다는 문제점이 있다. 또한, 일강수량 모의 기법의 목적인 수자원계획 및 수공구조물 설계 등의 입력자료로 활용되어지기 위해서는 모의 결과가 유역내 지점별 공간 상관성을 재현함으로써 모형의 우수성과 자료결과의 신뢰성을 확보할 수 있어야 하겠다. 이러한 점에서 본 연구에서는 내삽에서 우수한 재현능력을 갖는 핵 밀도함수와 극치강수량 재현에 유리한 GPD분포의 특징을 함께 고려할 수 있는 불연속 Kernel-Pareto Distribution 기반에 공간상관성 재현 알고리즘을 결합한 일강수량모의기법을 개발하였다. 한강유역의 18개 강수지점에 대해서 기존 Gamma분포를 사용한 Markov Chain 모형과 본 연구에서 제안한 방법을 적용하여 모형을 평가해 보고자 한다. Gamma 분포기반 Markov Chain 모형의 경우 일강수량 모의 시 1차모멘트인 평균과 2-3차 모멘트 모두 효과적으로 재현하지 못하는 문제점이 나타났다. 그러나 본 연구에서 적용한 다지점 불연속 Kernel-Pareto 분포 모형은 강수계열의 평균적인 특성뿐만 아니라 표준편차 및 왜곡도의 경우에도 관측치의 통계특성을 매우 효과적으로 재현하며, 100년빈도 강수량 모의결과 기존 모의모형의 문제점을 보완할 수 있는 개선된 결과를 보여주었다. 본 연구에서 제시한 방법론은 유역내의 공간상관성을 재현하며, 평균 및 중간값 등 낮은 차수의 모멘트 등 일강수량 분포특성을 더욱 효과적으로 모의할 수 장점을 확인하였다.

• Journal of the Korea Institute of Building Construction
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• 제11권1호
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• pp.91-99
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• 2011

Bayesian network is a form of probabilistic graphical model. It incorporates human reasoning to deal with sparse data availability and to determine the probabilities of uncertain cases. In this research, bayesian network is adopted to model the problem of construction project cost. General information, time, cost, and material, the four main factors dominating the characteristic of construction costs, are incorporated into the model. This research presents verify a model that were conducted to illustrate the functionality and application of a decision support system for predicting the costs. The Markov Chain Monte Carlo (MCMC) method is applied to estimate parameter distributions. Furthermore, it is shown that not all the parameters are normally distributed. In addition, cost estimates based on the Gibbs output is performed. It can enhance the decision the decision-making process.

• Communications for Statistical Applications and Methods
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• 제25권4호
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• pp.355-371
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• 2018

The two parameter negative exponential distribution has many practical applications in queuing theory such as the service times of agents in system, the time it takes before your next telephone call, the time until a radioactive practical decays, the distance between mutations on a DNA strand, and the extreme values of annual snowfall or rainfall; consequently, has many applications in reliability systems. This paper considers an estimation problem of stress-strength model with two parameter negative parameter exponential distribution. We introduce a maximum penalized likelihood method, Bayes estimator using Lindley approximation to estimate stress-strength model and compare the proposed estimators with regular maximum likelihood estimator for complete data. We also introduce a maximum penalized likelihood method, Bayes estimator using a Markov chain Mote Carlo technique for incomplete data. A Monte Carlo simulation study is performed to compare stress-strength model estimates. Real data is used as a practical application of the proposed model.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제11권2호
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• pp.764-784
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• 2017

Energy efficiency is an essential requirement in designing a MAC protocol for wireless sensor networks (WSNs) using battery-operated sensor nodes. We proposed a new receiver-initiated MAC protocol, RIX-MAC, based on the X-MAX protocol with asynchronous duty cycles. In this paper, we analyzed the performance of RIX-MAC protocol in terms of throughput, delay, and energy consumption using the model. For modeling the protocol, we used the Markov chain model, derived the transmission and state probabilities, and obtained the equations to solve the performance of throughput, delay, and energy consumption. Our proposed model and analysis are validated by comparing numerical results obtained from the model, with simulation results using NS-2.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제10권10호
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• pp.4825-4847
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• 2016

In this paper, we focus on the per-flow throughput analysis of IEEE 802.11 multi-hop ad hoc networks. The importance of an accurate saturation throughput model lies in establishing the theoretical foundation for effective protocol performance improvements. We argue that the challenge in modeling the per-flow throughput in IEEE 802.11 multi-hop ad hoc networks lies in the analysis of the freezing process and probability of collisions. We first classify collisions occurring in the whole transmission process into instantaneous collisions and persistent collisions. Then we present a four-dimensional Markov chain model based on the notion of the fixed length channel slot to model the Binary Exponential Backoff (BEB) algorithm performed by a tagged node. We further adopt a continuous time Markov model to analyze the freezing process. Through an iterative way, we derive the per-flow throughput of the network. Finally, we validate the accuracy of our model by comparing the analytical results with that obtained by simulations.

• Journal of the Korea Institute of Information and Communication Engineering
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• 제17권9호
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• pp.2036-2040
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• 2013

In this paper, we consider two dynamic spectrum access schemes in cognitive network with two independent and identically distributed channels. Under the first scheme, secondary users switch channel only after transmission failure. On the other hand, under the second one, they switch channel only after successful transmission. We develop a mathematical model to investigate the performance of the second one and analyze the model using 3-dimensional embedded Markov chain. Numerical results and simulations are presented to compare between the two schemes.

• IE interfaces
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• 제16권spc호
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• pp.21-27
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• 2003

Objective of this paper is to develop the user mobility model(UMM) which is used for the performance analysis of location update and paging algorithm and at the same time, consider the user mobility pattern(UMP) in zone-based cellular networks. User mobility pattern shows correlation in space and time. UMM should consider these correlations of UMP. K-dimensional Markov chain is presented as a UMM considering them where the states of Markov chain are defined as the current location area(LA) and the consecutive LAs visited in the path. Also, a new two dimensional Markov chain composed of current LA and time interval is presented. Simulation results show that the appropriate size of K in the former UMM is two and the latter UMM reflects the characteristic of UMP well and so is a good model for the analytic method to solve the performance of location update and paging algorithm.

• The Korean Journal of Applied Statistics
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• 제33권1호
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• pp.47-59
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• 2020

In this paper, we present the longitudinal Markov binary regression model with t-link function when its transition order is known or unknown. It is assumed that logit or probit models are considered in binary regression models. Here, t-link function can be used for more flexibility instead of the probit model since the t distribution approaches to normal distribution as the degree of freedom goes to infinity. A Markov regression model is considered because of the longitudinal data of each individual data set. We propose Bayesian method to determine the transition order of Markov regression model. In particular, we use the deviance information criterion (DIC) (Spiegelhalter et al., 2002) of possible models in order to determine the transition order of the Markov binary regression model if the transition order is known; however, we compute and compare their posterior probabilities if unknown. In order to overcome the complicated Bayesian computation, our proposed model is reconstructed by the ideas of Albert and Chib (1993), Kuo and Mallick (1998), and Erkanli et al. (2001). Our proposed method is applied to the simulated data and real data examined by Sommer et al. (1984). Markov chain Monte Carlo methods to determine the optimal model are used assuming that the transition order of the Markov regression model are known or unknown. Gelman and Rubin's method (1992) is also employed to check the convergence of the Metropolis Hastings algorithm.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제13권11호
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• pp.5276-5298
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• 2019

Internet of Things (IoT) based sensor networks have gained unprecedented popularity in recent years. With the exponential explosion of the objects (sensors and mobiles), the bandwidth and the speed of data transmission are dwarfed by the anticipated emergence of IoT. In this paper, we propose a novel heterogeneous IoT model integrated the power line communication (PLC) and WiFi network to increase the network capacity and cope with the rapid growth of the objects. We firstly propose the mean transmission delay calculation algorithm based the 3D Markov chain according to the multi-priority of the objects. Then, the attractor selection algorithm, which is based on the adaptive behavior of the biological system, is exploited. The combined the 3D Markov chain and the attractor selection model, named MASM, can select the optimal path adaptively in the heterogeneous IoT according to the environment. Furthermore, we verify that the MASM improves the transmission efficiency and reduce the transmission delay effectively. The simulation results show that the MASM is stable to changes in the environment and more applicable for the heterogeneous IoT, compared with the other algorithms.

• Journal of the Korean Operations Research and Management Science Society
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• 제40권2호
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• pp.1-17
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• 2015

In this paper, we propose a portfolio selection model utilizing a Markov chain for investing in the foreign exchange market based on market forecasts and exchange rate movement predictions. The proposed model is utilized to compute optimum investment portfolio weights for investing in margin-based markets such as the FX margin market. We further present an objective investment algorithm for applying the proposed model in real-life investments. Empirical performance of the proposed model and investment algorithm is evaluated by conducting an experiment in the FX market consisting of the 7 most traded currency pairs, for a period of 9 years, from the beginning of 2005 to the end of 2013. We compare performance with 1) the Dollar Index, 2) a 1/N Portfolio that invests the equal amount in the N target assets, and 3) the Barclay BTOP FX Index. Performance is compared in terms of cumulated returns and Sharpe ratios. The results suggest that the proposed model outperforms all benchmarks during the period of our experiment, for both performance measures. Even when compared in terms of pre- and post-financial crisis, the proposed model outperformed all other benchmarks, showing that the model based on objective data and mathematical optimization achieves superior performance empirically.