• Title/Summary/Keyword: Regime Detection

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Dynamic Asset Allocation by Applying Regime Detection Analysis (Regime 탐지 분석을 이용한 동적 자산 배분 기법)

  • Kim, Woo Chang
    • Journal of Korean Institute of Industrial Engineers
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    • v.38 no.4
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    • pp.258-261
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    • 2012
  • In this paper, I propose a new asset allocation framework to cope with the dynamic nature of the financial market. The investment performance can be much improved by protecting the capital from the market crashes, and such crashes can be pre-identified with high probabilities by regime detection analysis via a specialized unsupervised machine learning technique.

Simulation of the Brownian Coagulation of Smoke Agglomerates in the Entire Size Regime using a Nodal Method (결절법을 이용한 전영역에서의 연기입자 응집체에 대한 브라운응집현상 해석)

  • Goo, Jae-Hark
    • Journal of Korean Society for Atmospheric Environment
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    • v.27 no.6
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    • pp.681-691
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    • 2011
  • The size distributions of smoke particles from fire are prerequisite for the studies on fire detection and adverse health effects. Above the flame of the fire, coagulation dominates and the smoke particles grow from 1 to 50 nm up to 100 to 3,000 nm, sizes ranging from the free-molecular regime to the continuum regime. The characteristics of the agglomeration of the smoke particles are well known, independently for each of the free-molecular and continuum regimes. However, there are not many systematic studies in the entire regime by the complexity of the mechanisms. The purpose of this work is to find the characteristics of the development of the size distribution of smoke particles by agglomeration in the entire size range covering the free-molecular regime, via transition regime, to the near-continuum and continuum regime for each variation of parameters such as fractal dimension, primary particle size and dimensionless coagulation time. In this work, the dynamic equation for the discrete-size spectrum of the particles was solved using a nodal method based on the modification of a sectional method. In the calculation, the collision frequency function for the entire regime, which is derived by using the concept of collision volume and general enhancement function, was applied. The self-preserving size distribution for the entire regime is compared with the ones for the free-molecular or continuum regimes for each variation of the parameters.

Detection of Atrial Fibrillation Using Markov Regime Switching Models of Heart Rate Intervals (심박간격의 마코프 국면전환 모형화를 통한 심방세동 탐지)

  • Jung, Yonghan;Kim, Heeyoung
    • Journal of Korean Institute of Industrial Engineers
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    • v.42 no.4
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    • pp.290-295
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    • 2016
  • This paper proposes a new method for the automatic detection of atrial fibrillation (AF), using Markov regime switching GARCH (1, 1) model. The proposed method is based on the observation that variability patterns of heart rate intervals during AF significantly differ from regular patterns. The proposed method captures the different patterns of heart rate intervals between two regimes : normal and AF states. We test the proposed method using Massachusetts Institute of Technology-Beth Israel Hospital (MIT-BIH) atrial fibrillation database, and demonstrate the effectiveness of the proposed method.

Linear Suppression of Intercarrier Interference in Time-Varying OFDM Systems: From the Viewpoint of Multiuser Detection

  • Li, Husheng
    • Journal of Communications and Networks
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    • v.12 no.6
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    • pp.605-615
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    • 2010
  • Intercarrier interference (ICI) in orthogonal frequency division multiplexing (OFDM) systems, which causes substantial performance degradation in time-varying fading channels, is analyzed. An equivalent spreading code formulation is derived based on the analogy of OFDM and code division multiple access (CDMA) systems. Techniques as linear multiuser detection in CDMA systems are applied to suppress the ICI in OFDM systems. The performance of linear detection, measured using multiuser efficiency and asymptotic multiuser efficiency, is analyzed given the assumption of perfect channel state information (CSI), which serves as an upper bound for the performance of practical systems. For systems without CSI, time domain and frequency domain channel estimation based linear detectors are proposed. The performance gains and robustness of a linear minimum mean square error (LMMSE) filter over a traditional filter (TF) and matched filter (MF) in the high signal-to-noise ratio (SNR) regime are demonstrated with numerical simulation results.

A comparative analysis of structural damage detection techniques by wavelet, kurtosis and pseudofractal methods

  • Pakrashi, Vikram;O'Connor, Alan;Basu, Biswajit
    • Structural Engineering and Mechanics
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    • v.32 no.4
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    • pp.489-500
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    • 2009
  • The aim of this paper is to compare wavelet, kurtosis and pseudofractal based techniques for structural health monitoring in the presence of measurement noise. A detailed comparison and assessment of these techniques have been carried out in this paper through numerical experiments for the calibration of damage extent of a simply supported beam with an open crack serving as an illustrative example. The numerical experiments are deemed critical due to limited amount of experimental data available in the field of singularity based detection of damage. A continuous detectibility map has been proposed for comparing various techniques qualitatively. Efficiency surfaces have been constructed for wavelet, kurtosis and pseudofractal based calibration of damage extent as a function of damage location and measurement noise level. Levels of noise have been identified for each technique where a sudden drop of calibration efficiency is observed marking the onset of damage masking regime by measurement noise.

Adaptive Algorithms for Bayesian Spectrum Sensing Based on Markov Model

  • Peng, Shengliang;Gao, Renyang;Zheng, Weibin;Lei, Kejun
    • KSII Transactions on Internet and Information Systems (TIIS)
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    • v.12 no.7
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    • pp.3095-3111
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    • 2018
  • Spectrum sensing (SS) is one of the fundamental tasks for cognitive radio. In SS, decisions can be made via comparing the test statistics with a threshold. Conventional adaptive algorithms for SS usually adjust their thresholds according to the radio environment. This paper concentrates on the issue of adaptive SS whose threshold is adjusted based on the Markovian behavior of primary user (PU). Moreover, Bayesian cost is adopted as the performance metric to achieve a trade-off between false alarm and missed detection probabilities. Two novel adaptive algorithms, including Markov Bayesian energy detection (MBED) algorithm and IMBED (improved MBED) algorithm, are proposed. Both algorithms model the behavior of PU as a two-state Markov process, with which their thresholds are adaptively adjusted according to the detection results at previous slots. Compared with the existing Bayesian energy detection (BED) algorithm, MBED algorithm can achieve lower Bayesian cost, especially in high signal-to-noise ratio (SNR) regime. Furthermore, it has the advantage of low computational complexity. IMBED algorithm is proposed to alleviate the side effects of detection errors at previous slots. It can reduce Bayesian cost more significantly and in a wider SNR region. Simulation results are provided to illustrate the effectiveness and efficiencies of both algorithms.

A Study on Current Status of Detection Technology and Establishment of National Detection Regime against Nuclear/Radiological Terrorism (핵테러/방사능테러 탐지 기술 현황 및 국내 탐지체계 구축 방안에 관한 연구)

  • Kwak, Sung-Woo;Jang, Sung-Soon;Lee, Joung-Hoon;Yoo, Ho-Sik
    • Journal of Radiation Protection and Research
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    • v.34 no.3
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    • pp.115-120
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    • 2009
  • Since 1990s, some events - detection of a dirty bomb in a Russian nation park in 1995, 9/11 terrorist attack to WTC in 2001, discovery of Al-Qaeda's experimentation to build a dirty bomb in 2003 etc - have showed that nuclear or radiological terrorism relating to radioactive materials (hereinafter "radioactive materials" is referred to as "nuclear material, nuclear spent fuel and radioactive source") is not incredible but serious and credible threat. Thus, to respond to the new threat, the international community has not only strengthened security and physical protection of radioactive materials but also established prevention of and response to illicit trafficking of radioactive materials. In this regard, our government has enacted or revised the national regulatory framework with a view to improving security of radioactive materials and joined the international convention or agreement to meet this international trend. For the purpose of prevention of nuclear/radiological terrorism, this paper reviews physical characteristics of nuclear material and existing detection instruments used for prevention of illicit trafficking. Finally, national detection regime against nuclear/radiological terrorism based on paths of the smuggled radioactive materials to terrorist's target building/area, national topography and road networks, and defence-in-depth concept is suggested in this paper. This study should contribute to protect people's health, safety and environment from nuclear/radiological terrorism.

Using Subspace Pursuit Algorithm to Improve Performance of the Distributed Compressive Wide-Band Spectrum Sensing

  • Le, Thanh Tan;Kong, Hyung-Yun
    • Journal of electromagnetic engineering and science
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    • v.11 no.4
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    • pp.250-256
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    • 2011
  • This paper applies a compressed algorithm to improve the spectrum sensing performance of cognitive radio technology. At the fusion center, the recovery error in the analog to information converter (AIC) when reconstructing the transmit signal from the received time-discrete signal causes degradation of the detection performance. Therefore, we propose a subspace pursuit (SP) algorithm to reduce the recovery error and thereby enhance the detection performance. In this study, we employ a wide-band, low SNR, distributed compressed sensing regime to analyze and evaluate the proposed approach. Simulations are provided to demonstrate the performance of the proposed algorithm.

Electroencephalogram-Based Driver Drowsiness Detection System Using Errors-In-Variables(EIV) and Multilayer Perceptron(MLP) (EIV와 MLP를 이용한 뇌파 기반 운전자의 졸음 감지 시스템)

  • Han, Hyungseob;Song, Kyoung-Young
    • The Journal of Korean Institute of Communications and Information Sciences
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    • v.39C no.10
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    • pp.887-895
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    • 2014
  • Drowsy driving is a large proportion of the total car accidents. For this reason, drowsiness detection and warning system for drivers has recently become a very important issue. Monitoring physiological signals provides the possibility of detecting features of drowsiness and fatigue of drivers. Many researches have been published that to measure electroencephalogram(EEG) signals is the effective way in order to be aware of fatigue and drowsiness of drivers. The aim of this study is to extract drowsiness-related features from a set of EEG signals and to classify the features into three states: alertness, transition, and drowsiness. This paper proposes a drowsiness detection system using errors-in-variables(EIV) for extraction of feature vectors and multilayer perceptron (MLP) for classification. The proposed method evaluates robustness for noise and compares to the previous one using linear predictive coding (LPC) combined with MLP. From evaluation results, we conclude that the proposed scheme outperforms the previous one in the low signal-to-noise ratio regime.

Simulation of Water/steam into Sodium Leak Behavior for an Acoustic Noise Generation Mechanism Study

  • Kim, Tae-Joon;Hwang, Sung-Tai;Jeong, Kyung-Chai;Park, Jong-Hyeun;Valery S. Yughay
    • Nuclear Engineering and Technology
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    • v.33 no.2
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    • pp.145-155
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    • 2001
  • This simulation first allows us to define a transition zone from a bubble to jet mode of the argon out-flow and hereinafter to define a similar area for water-steam leak in the KALIMER SG (Korea Advanced Liquid Metal Reactor Steam Generator) using a water mock-up system, taking into account the KALIMER leak classification and tube bundle design, as a simulation of a real water-steam into sodium leak. in accordance with leak conditions in the KALIMER SG, the transition from bubbling to jetting is studied by means of turbulence regime simulation for argon out-flow through a very small orifice, which has the equivalent diameter of about 0.253 mm. finally the noise generation mechanism is explained from the existing experimental data. We also confirmed the possibility of micro-leak detection from the information of the bubbling mode through simulations and the experiment in this study.

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