• 응용통계연구
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• 제29권1호
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• pp.181-192
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• 2016

옵션의 가격을 결정하는 문제에서 블랙-숄즈 모형이 가지는 단점을 보완하기 위해 블랙-숄즈 가격을 선도항으로 하여 보정항을 구하는 근사적 옵션가격의 결정방법을 고려하였다. 이러한 근사적 가격결정 방법들은 비교적 적은 자료를 가지고 간단한 계산으로 다양한 형태의 위험중립 확률분포에 의한 옵션가격을 계산할 수 있다. 이 논문에서는 일반적으로 관찰되는 시장상황을 모사한 모의실험과 실제 시장에서 관측되는 KOSPI200 옵션가격 자료를 통해 몇 가지 근사방법들의 적합성과를 비교, 평가하였다. 헤르미트 다항식 계열의 Edgeworth 확장과 A-type Gram-Charlier, C-type Gram-Charlier 방법, NIG 분포를 이용하는 방법, 비선형 회귀를 이용한 점근적 근사방법이 고려되었다. 모의실험에서는 순수 점프 레비 확률과정 가운데 옵션가격이 닫힌 해의 형태로 존재하는 Variance gamma 과정을 가정하여 자료를 생성하였다. 모의실험과 실제 자료분석의 결과, 분포함수를 먼저 근사하여 가격을 계산하는 것보다 근사적 가격식을 유도하여 직접 가격을 근사하는 방법들의 성능이 좀 더 좋았으며, 그 가운데 비선형 회귀를 이용한 점근적 근사방법이 상대적으로 좋은 성능을 보였다.

• 소음진동
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• 제7권2호
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• pp.319-329
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• 1997

Wigner-Ville distribution has been recognized as a useful tool and applied to various types of mechanical noise and vibration signals, but its limitation which mainly comes from the cross-talk has not been well addressed. The cross-talk takes place for a signal with multiple components, simply because the Wigner-Ville distribution is a bilinear transform. The cross-talk often causes a negative value in the distribution. This cannot be accepted for the Wigner- Ville distribution, because it is an expression of power. Smoothing the Wigner-Ville distribution by convoluting it wih a window, is most commonly used to reduce the cross-talk. There can be infinite number of distributions depending on the windows. In this paper, we attempted to develop a distribution which is the best or the optimal in reducing the cross-talk. This could be possible by employing the ambiguity function. For a general signal, however it is difficult to express the ambiguity function as a mathematically closed form. This requires an appropriate modeling to make such expression possible. We approximated the Wigner-Ville distribution as a sum of linear segments. In the ambiguity function domain, the legitimate components are reflected as linear lines passing through the origin. Every lines has its own length and slope. But, the cross-talk is widely distributed in the ambiguity function plane. Based on this realization, we proposed a two-dimensional window which is in fact 'rotating window', that can eliminate cross-talk component. The rotating window is examined numerically and is found to have a better performance in reducing the cross-talk than conventional windows, the Gaussian window.

• 한국항공우주학회지
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• 제38권8호
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• pp.774-780
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• 2010

본 논문은 $t_{go}$-다항식 유도 법칙에서 가속도 제한을 고려한 유도이득(guidance gain)을 선정하는 방법을 다룬다. 다항식 유도 법칙은 유도명령의 형태를 $t_{go}$의 다항식 형태로 가정하여 유도 되며 유도이득으로 임의의 양의 실수 값 (Real value)을 선정할 수 있다는 특징을 가지고 있다. 따라서 유도이득의 결정에 따라 큰 가속도 명령이 산출 될 수 있는 가능성이 있어서, 적절한 유도이득을 결정하는데 모호성이 존재하게 된다. 이러한 어려움을 해결하기 위해 본 논문에서 다항식 유도 법칙의 가속도 명령의 닫힌 해를 유도하고, 이로 부터 최대 가속도와 유도이득 간의 관계식을 구하여 가속도 제한을 넘지 않는 유도이득을 선정하는 방법을 제안한다. 최종적으로 시뮬레이션을 통해 제안한 방법을 검증한다.

• 한국해안해양공학회지
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• 제2권4호
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• pp.208-222
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• 1990

가변흘수를 갖는 힌지형 조파기에 작용하는 비선형 파력 및 모멘트를 산정하기 위하여 비선형경계식 문제의 2차 근사해를 Stokes의 전개기법을 이용하여 구하였다. 2차파 성분이 파력 및 모멘트에 기여하는 물리적 의미에 대해 상술하였다. 2차파에 의한 비선형성과 조파판의 흘수에 따른 파력 모멘트 변화를 결정할 수 있도록 설계곡선을 제시하였다. 2차파 성분의 전도력 및 모멘트에 기여하는 부분은 조화성분과 상수성분으로 구성된다. 1차파와 2차파 성분을 합성한 파력 및 모멘트의 크기는 선형 조파이론의 값보다 상당한 증가를 보인다. 2차파 성분의 효과는 상대수심과 파고에 따라 달라지며 짧은 흘수를 갖는 조파기에서 상대적으로 더욱 중요하다.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제2권2호
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• pp.63-81
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• 2008

WiMAX has been introduced as a competitive alternative for metropolitan broadband wireless access technologies. It is connection oriented and it can provide very high data rates, large service coverage, and flexible quality of services (QoS). Due to the large number of connections and flexible QoS supported by WiMAX, the uplink access in WiMAX networks is very challenging since the medium access control (MAC) protocol must efficiently manage the bandwidth and related channel allocations. In this paper, we propose and investigate a cost-effective WiMAX bandwidth management scheme, named the WiMAX partial sharing scheme (WPSS), in order to provide good QoS while achieving better bandwidth utilization and network throughput. The proposed bandwidth management scheme is compared with a simple but inefficient scheme, named the WiMAX complete sharing scheme (WCPS). A maximum entropy (ME) based analytical model (MEAM) is proposed for the performance evaluation of the two bandwidth management schemes. The reason for using MEAM for the performance evaluation is that MEAM can efficiently model a large-scale system in which the number of stations or connections is generally very high, while the traditional simulation and analytical (e.g., Markov models) approaches cannot perform well due to the high computation complexity. We model the bandwidth management scheme as a queuing network model (QNM) that consists of interacting multiclass queues for different service classes. Closed form expressions for the state and blocking probability distributions are derived for those schemes. Simulation results verify the MEAM numerical results and show that WPSS can significantly improve the network’s performance compared to WCPS.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제13권12호
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• pp.5862-5887
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• 2019

In this paper, we propose a two-way relaying scheme using non-orthogonal multiple access (NOMA) technology. In this scheme, two sources transmit packets with each other under the assistance of the decode-and-forward (DF) relays, called as a TWDFNOMA protocol. The cooperative relays exploit successive interference cancellation (SIC) technique to decode sequentially the data packets from received summation signals, and then use the digital network coding (DNC) technique to encrypt received data from two sources. A max-min criterion of end-to-end signal-to-interference-plus-noise ratios (SINRs) is used to select a best relay in the proposed TWDFNOMA protocol. Outage probabilities are analyzed to achieve exact closed-form expressions and then, the system performance of the proposed TWDFNOMA protocol is evaluated by these probabilities. Simulation and analysis results discover that the system performance of the proposed TWDFNOMA protocol is improved when compared with a conventional three-timeslot two-way relaying scheme using DNC (denoted as a TWDNC protocol), a four-timeslot two-way relaying scheme without using DNC (denoted as a TWNDNC protocol) and a two-timeslot two-way relaying scheme with amplify-and-forward operations (denoted as a TWANC protocol). Particularly, the proposed TWDFNOMA protocol achieves best performances at two optimal locations of the best relay whereas the midpoint one is the optimal location of the TWDNC and TWNDNC protocols. Finally, the probability analyses are justified by executing Monte Carlo simulations.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제9권5호
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• pp.1768-1789
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• 2015

The maximal signal-to-interference-plus-noise ratio (Max-SINR) algorithm for interference alignment (IA) has received considerable attention for its high sum rate achievement in the multiple-input multiple-output (MIMO) interference channel. However, its complexity may increase dramatically when the number of users approaches the IA feasibility bound, and the number of iterations and computational time may become unacceptable. In this paper, we study the properties of the Max-SINR algorithm thoroughly by presenting theoretical insight into the algorithm and by providing the potential of reducing the overall computational cost. Furthermore, a novel IA algorithm based on the principle direction search is proposed, which can converge more rapidly than the conventional Max-SINR method. In the proposed algorithm, it searches along the principle direction, which is found to approximately point to the convergence values, and can approach the convergence solutions rapidly. In addition, the closed-form solution of the optimal step size can be formulated in the sense of minimal interference leakage. Simulation results demonstrate that the proposed algorithm outperforms the conventional minimal interference leakage and Max-SINR algorithms in terms of the convergence rate while guaranteeing the high throughput of IA networks.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제8권11호
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• pp.3967-3983
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• 2014

The performance of an partial relay selection on the decode-and-forward (DF) mode cognitive radio (CR) relay networks is studied, with some important factors, including the outage probability, the bit error ratio (BER), and the average channel capacity being analyzed. Different from the conventional relay selection schemes, the impact of spectrum sensing process as well as the spectrum utilization efficiency of primary users on the performance of DF-based CR relaying networks has been taken into consideration. In particular, the exact closed-form expressions for the figures of merit such as outage probability, BER, and average channel capacity over independent and identically distributed (i.i.d.) Rayleigh fading channels, have been derived in this paper. The validity of the proposed analysis is proven by simulation, which showed that the numerical results are consistent with the theoretical analysis in terms of the outage probability, the BER and the average channel capacity. It is also shown that the full spatial diversity order can always be obtained at the signal-to-noise ratio (SNR) range of [0dB, 15dB] in the presence of multiple potential relays.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제7권8호
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• pp.1754-1769
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• 2013

For the purpose of enhancing the spectrum efficiency, cognitive radio (CR) technology has been recently proposed as a promising dynamic spectrum allocation paradigm. In CR, spectrum sensing is the key capability of secondary users in a cognitive radio network that aims for reducing the probability of harmful interference with primary users. However, the individual CRs might not be able to carry out reliable detection of the presence of a primary radio due to the impact of channel fading or shadowing. This paper studies the cooperative spectrum sensing scheme as means of optimizing the sensing performance in AWGN and Rayleigh channels. Results generated from simulation provide evidence of the impact of channel condition on the complementary receiver operating characteristic (ROC). Based on the results, it was found that with constant local SNRs at the secondary users, the probability of missed detection ($P_m$) of cooperative spectrum sensing in a cognitive radio network, calculated using a closed form expression, can be significantly minimized. Thus, the paper illustrates that improvement of the detection performance of the CR network can be achieved by establishing a centralized cooperation among neighboring cognitive radio users. Finally, verification of the validity of the fusion schemes utilized for combining the individual CR decisions is provided.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제12권9호
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• pp.4166-4182
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• 2018

We consider the Device-to-Device (D2D) communications in cellular networks where each cellular user (CU) shares the same resource with multiple D2D users (DUs). In this paper, we aim to maximize the energy efficiency (EE) of the D2D networks, subject to an interference constraint required by the CU. Since the cellular and D2D communications belong to different networks, we consider to incentivize base station (BS) while assisting the DUs. To this end, we propose a Stackelberg game based interference pricing framework for the considered D2D communications in cellular networks. Unlike most of the existing methods, we use interference pricing framework to jointly address the EE resource allocation problem and the interference management in our networks rather than only improve the EE of the DUs or protect cellular networks. In particular, BS and all the users do not need all channel state information, which is more realistic in practice. In addition, two different pricing strategies are also proposed. Based on the two strategies, we analyze the equilibrium of the game. Moreover, in the first strategy, the upper and lower boundaries of the interference price are obtained. The closed-form expression is gained with a backward induction for the second strategy. Both offer valuable insights to the considered scenarios. Finally, compared with the existing work, the EE of the D2D communications is significantly improved. The advantageous performance of our scheme are demonstrated by the simulation results.