• Journal of the Korean Statistical Society
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• 제28권2호
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• pp.235-251
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• 1999

In this paper we examine extremal behavior of a $textsc{k}$th-order stationary Markov chain {X\ulcorner} by considering excesses over a high level which typically appear in clusters. Excesses over a high level within a cluster define a cluster damage, i.e., a normalized sum of all excesses within a cluster, and all excesses define a damage point process. Under some distributional assumptions for {X\ulcorner}, we prove convergence in distribution of the cluster damage and obtain a representation for the limiting cluster damage distribution which is well suited for simulation. We also derive formulas for the mean and the variance of the limiting cluster damage distribution. These results guarantee a compound Poisson limit for the damage point process, provided that it is strongly mixing.

• 한국정보과학회:학술대회논문집
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• 한국정보과학회 2007년도 한국컴퓨터종합학술대회논문집 Vol.34 No.1 (C)
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• pp.263-266
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• 2007

본 논문은 베이지안 통계 추론에 대하여 논의한다. 논문은 베이지안 추론, Markov Chain과 Monte Carlo 적분, MCMC(Markov Chain Monte Carlo) 기법, Metropolis-Hastings 알고리즘, Gibbs 샘플링, Maximum Likelihood Estimation, EM 알고리즘, 상실된 데이터 보완 기법, BMA(Bayesian Model Averaging) 순서로 논의를 진행한다. 이러한 통계적 기법들은 대용량의 데이터를 처리하는 생물학, 의학, 생명 공학, 과학과 공학, 그리고 일반 데이터 조사와 처리 등에 사용되고 있으며, 최적의 추론 결과를 이끌어 내는데 중요한 방법을 제공하고 있다. 그리고 마지막으로 PC(Principal Component) 분석 기법에 대하여 논의한다. PC 분석 기법도 데이터 분석과 연구에 많이 활용된다.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제8권9호
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• pp.3110-3125
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• 2014

Network coding improves TCP's performance in lossy wireless networks. However, the complex congestion window evolution of network coded TCP (TCP-NC) makes the analysis of end-to-end throughput challenging. This paper analyzes the evolutionary process of TCP-NC against lossy links. An analytic model is established by applying a two-dimensional Markov chain. With maximum window size, end-to-end erasure rate and redundancy parameter as input parameters, the analytic model can reflect window evolution and calculate end-to-end throughput of TCP-NC precisely. The key point of our model is that by the novel definition of the states of Markov chain, both the number of related states and the computation complexity are substantially reduced. Our work helps to understand the factors that affect TCP-NC's performance and lay the foundation of its optimization. Extensive simulations on NS2 show that the analytic model features fairly high accuracy.

• Journal of the Korean Statistical Society
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• 제23권1호
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• pp.1-12
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• 1994

We consider the markov process ${X_n}$ on R which is genereated by $X_{n+1} = f(X_n) + \epsilon_{n+1}$. Sufficient conditions for irreducibility and geometric ergodicity are obtained for such Markov processes. In additions, when ${X_n}$ is geometrically ergodic, the functional central limit theorem is proved for every bounded functions on R.

• 한국경영과학회지
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• 제19권3호
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• pp.93-109
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• 1994

Even though sojourn time distributions are essential information in analyzing queueing networks, there are few methods to compute them accurately in non-product form queueing networks. In this study, we model the location process of a typical customer as a GMPH semi-Markov chain and develop computationally useful formula for the transition function and the first-passage time distribution in the GMPH semi-Markov chain. We use the formula to develop an effcient method for approximating sojourn time distributions in the non-product form queueing networks under quite general situation. We demonstrate its validity through numerical examples.

• Journal of applied mathematics & informatics
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• 제28권1_2호
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• pp.275-282
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• 2010

This paper analyzes a discrete-time bulk-service queue with probabilistic bulk size, where the service process is interrupted by a Markov chain. We study the joint probability generating function of system occupancy and the state of the Markov chain. We derive several performance measures of interest, including average system occupancy and delay distribution.

• 대한수학회논문집
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• 제14권3호
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• pp.627-633
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• 1999

Let the given distribution $\pi$ have a log-concave density which is proportional to exp(-V(x)) on $R^d$. We consider a Markov chain induced by the method Gibbs sampling having $\pi$ as its in-variant distribution and prove geometric ergodicity and the functional central limit theorem for the process.

• 대한수학회논문집
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• 제18권3호
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• pp.541-550
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• 2003

We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if (equation omitted) β/sub i/ < 1, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.

• 산업경영시스템학회지
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• 제22권51호
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• pp.231-240
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• 1999

A major concern in Concurrent Engineering is the control and management of workload in a period of process. As a general rule, leveling the peak of workload in certain period is difficult because concurrent processing is comprised of various processes, including overlapping, paralleling looping and so on. Therefore, the workload management with resource constraints is so beneficial that effective methods to analyze design process are momentous. This study presents the Timed Petri Nets approach of precedence logic networks, and provides an alternative for users to analyze constraint processes to resolve conflicts of resources. Another approach to Continuous Time Markov Chain using Stochastic Petri Nets is also proposed. These approaches are expected to facilitate resolving resource constrained scheduling problems more systematically in Concurrent Engineering environment.

• 대한산업공학회지
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• 제16권2호
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• pp.1-9
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• 1990

The control of deterioration processes for which only incomplete state information is available is examined in this study. When the deterioration is governed by a Markov process, such processes are known as Partially Observable Markov Decision Processes (POMDP) which eliminate the assumption that the state or level of deterioration of the system is known exactly. This research investigates a two state partially observable Markov chain in which only deterioration can occur and for which the only actions possible are to replace or to leave alone. The goal of this research is to develop a new jump algorithm which has the potential for solving system problems dealing with continuous state space Markov chains.