• 대한수학회지
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• 제32권1호
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• pp.85-92
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• 1995

Supppose ${X_n}$ is a Markov process taking values in some arbitrary state space $(S, F)$ with temporarily homogeneous transition probabilities $p^n(x, A) = P(X_n \in $A\mid$X_0 = x), x \in S, A \in F$. Write $p(x, A) for p^1(x, A)$.

• 대한수학회지
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• 제37권1호
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• pp.45-53
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• 2000

Existence of a unique invariant probability is considered for a class of Markov processes which may not be irreducible and a functional central limit theorem for a class of nonlinear irreducible uniformly ergodic processes is derived as well.

• Communications for Statistical Applications and Methods
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• 제21권6호
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• pp.513-520
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• 2014

We study numerical methods to obtain the stationary probabilities of continuous-time Markov chains whose embedded chains are periodic. The power method is applied to the balance equations of the periodic embedded Markov chains. The power method can have the convergence speed of exponential rate that is ambiguous in its application to original continuous-time Markov chains since the embedded chains are discrete-time processes. An illustrative example is presented to investigate the numerical iteration of this paper. A numerical study shows that a rapid and stable solution for stationary probabilities can be achieved regardless of periodicity and initial conditions.

• 대한수학회논문집
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• 제6권2호
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• pp.239-247
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• 1991

• Management Science and Financial Engineering
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• 제14권2호
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• pp.105-118
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• 2008

There are many debates on the topic of the relationship between oil prices and economic growth. Through the repeated processes of conformations and contractions on the subject, two main issues are developed; one is how to define and drive oil shocks from oil prices, and the other is how to specify an econometric model to reflect the asymmetric relations between oil prices and output growth. The study, thus, introduces the unobserved component model to pick up the oil shocks and a first-order Markov switching model to reflect the asymmetric features. We finally employ unique oil shock variables from the stochastic trend components of oil prices and adapt four lags of the mean growth Markov Switching model. The results indicate that oil shocks exert more impact to recessionary state than expansionary state and the supply-side oil shocks are more persistent and significant than the demand-side shocks.

• 한국소음진동공학회논문집
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• 제13권1호
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• pp.48-55
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• 2003

Hidden Markov Model(HMM) has a doubly embedded stochastic process with an underlying stochastic process that can be observed through another set of stochastic processes. This structure of HMM is useful for modeling vector sequence that doesn't look like a stochastic process but has a hidden stochastic process. So, HMM approach has become popular in various areas in last decade. The increasing popularity of HMM is based on two facts : rich mathematical structure and proven accuracy on critical application. In this paper, we applied continuous HMM (CHMM) approach with AR coefficient to detect and predict the chatter of lathe bite and to diagnose the wear of oil Journal bearing using rotor shaft displacement. Our examples show that CHMM approach is very efficient method for machine health monitoring and prediction.

• 한국정보통신학회논문지
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• 제4권3호
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• pp.549-555
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• 2000

본 논문에서는 n개의 버스트 입력 트래픽을 처리하는 이산 시간 큐잉 모형을 분석하기 위한 근사 계산 알고리즘을 제안한다. 입력되는 각각의 버스트 트래픽은 IBP(Interrupted Bernoulli Process)로 모형화된다. 이 알고리즘은 n 개의 입력 프로세스를 하나의 상태 변수로 표시하여 n 개의 입력 프로세스로 표현된 마코프 체인(Markov Chain)의 확률 전이 상태를 단순화한다. 이렇게 단순화된 하나의 상태 변수를 이용하여 큐잉모형의 상태 전이를 표현하고 이를 완전 수치 계산에 의해 해를 구한다. 이러한 절차를 통해 구한 큐 길이, 대기 시간 분포를 시뮬레이션에 의해 구한 값과 비교하여 알고리즘의 타당성을 검증한다.

• 한국통신학회논문지
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• 제31권3B호
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• pp.175-182
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• 2006

본 논문에서는 Localized Aptive QoS 라우팅을 위해 POMDP(Partially Observable Markov Decision Processes)와 Exploration Bonus 기법을 사용하는 방법을 제안하였다. 또한, POMDP 문제를 해결하기 위해 Dynamic Programming을 사용하여 최적의 행동을 찾는 연산이 매우 복잡하고 어렵기 때문에 CEA(Certainty Equivalency Approximation) 기법을 통한 기댓값 사용으로 문제를 단순하였으며, Exploration Bonus 방식을 사용해 현재 경로보다 나은 경로를 탐색하고자 하였다. 이를 위해 다중 경로 탐색 알고리즘(SEMA)을 제안했다. 더욱이 탐색의 횟수와 간격을 정의하기 위해 $\phi$와 k 성능 파라미터들을 사용하여 이들을 통해 탐색의 횟수 변화를 통한 서비스 성공률과 성공 시 사용된 평균 홉 수에 대한 성능을 살펴보았다. 결과적으로 $\phi$ 값이 증가함에 따라 현재의 경로보다 더 나은 경로를 찾게 되며, k 값이 증가할수록 탐색이 증가함을 볼 수 있다.

• Journal of the Korean Data and Information Science Society
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• 제8권2호
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• pp.119-125
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• 1997

We handle the stochastic processes of independent and identically distributed random variables. But random variables are usually dependent among themselves in actual life. So in this paper, we find out a new process not satisfying Markov property. We investigate the probability mass functions and study on the probability of the first-passage time. Also we find out the average frequency of continuous successes in from 0 to n time.

• 한국경영과학회지
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• 제19권1호
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• pp.201-206
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• 1994

The linear search problem is concerned with finding a hiden target on the real line R. The position of the target governed by some probability distribution. It is desired to find the target in the least expected search time. This problem has been formulated as an optimization problem by a number of authors without making use of Markov Decision Process (MDP) theory. It is the aim of the paper to give a (MDP) formulation to the search problem which we feel is both natural and easy to follow.