• 한국통신학회논문지
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• 제34권5A호
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• pp.355-362
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• 2009

In real-time communication services, delay constraints are among the most important QoS (Quality of Service) factors. In particular, it is difficult to guarantee the delay requirement over wireless channels, since they exhibit dynamic time-varying behavior and even severe burst-errors during periods of deep fading. Channel throughput may be increased, but at the cost of the additional delays when ARQ (Automatic Repeat Request) schemes are used. For real-time communication services, it is very essential to predict data deliverability. This paper derives the delay distribution and the successful delivery probability within a given delay budget using a priori channel model and a posteriori information from the perspective of queueing theory. The Gilbert-Elliot burst-noise channel is employed as an a Priori channel model, where a two-state Markov-modulated Bernoulli process $(MMBP_2)$ is used. for a posteriori information, the channel parameters, the queue-length and the initial channel state are assumed to be given. The numerical derivation is verified and analyzed via Monte Carlo simulations. This numerical derivation is then applied to a rate control scheme for real-time video transmission, where an optimal encoding rate is determined based on the future channel capacity and the distortion of the reconstructed pictures.

• Smart Structures and Systems
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• 제26권5호
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• pp.667-680
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• 2020

This study aims at reporting a systematic procedure for evaluating the static and dynamic structural performance of steel bridges based on a short-period structural health monitoring measurement. Sungsu bridge located in Korea is considered as a case study presenting the most recent tests carried out to examine the bridge condition. Short-period measurements of Structural Health Monitoring (SHM) system were used during the bridge testing phase. A novel symmetry index is introduced using statistical analyses of deflection and strain measurements. Frequency Domain Decomposition (FDD) is implemented to the strain measurements to estimate the bridge mode shapes and damping ratios. Furthermore, Markov Chain Monte Carlo (MCMC) is also implemented to examine the reliability of bridge performance while ambient design trucks are in static or moving at different speeds. Strain, displacement and acceleration were measured at selected locations on the bridge. The results show that the symmetry index can be an efficient and useful measure in assessing the steel bridge performance. The results from the used method reveal that the performance of the Sungsu bridge is safe under operational conditions.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.95-104
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• 2020

In financial economics studies, the autoregressive model has been a workhorse for a long time. However, the model has a fixed value on every parameter and requires the stationarity assumptions. Time-varying coefficient autoregressive model that we use in this paper offers some desirable benefits over the traditional model such as the parameters are allowed to be varied over-time and can be applies to non-stationary financial data. This paper provides the Monte Carlo simulation studies which show that the model can capture the dynamic movement of parameters very well, even though, there are some sudden changes or jumps. For the daily data from January 1, 2015 to February 12, 2020, our paper provides the empirical studies that Thailand, Taiwan and Tokyo Stock market Index can be explained very well by the time-varying coefficient autoregressive model with lag order one while South Korea's stock index can be explained by the model with lag order three. We show that the model can unveil the non-linear shape of the estimated mean. We employ GJR-GARCH in the condition variance equation and found the evidences that the negative shocks have more impact on market's volatility than the positive shock in the case of South Korea and Tokyo.

• Communications for Statistical Applications and Methods
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• 제23권2호
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• pp.131-146
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• 2016

In research on behavioral studies, significant attention has been paid to the stage-sequential process for longitudinal data. Latent class profile analysis (LCPA) is an useful method to study sequential patterns of the behavioral development by the two-step identification process: identifying a small number of latent classes at each measurement occasion and two or more homogeneous subgroups in which individuals exhibit a similar sequence of latent class membership over time. Maximum likelihood (ML) estimates for LCPA are easily obtained by expectation-maximization (EM) algorithm, and Bayesian inference can be implemented via Markov chain Monte Carlo (MCMC). However, unusual properties in the likelihood of LCPA can cause difficulties in ML and Bayesian inference as well as estimation in small samples. This article describes and addresses erratic problems that involve conventional ML and Bayesian estimates for LCPA with small samples. We argue that these problems can be alleviated with a small amount of prior input. This study evaluates the performance of likelihood and MCMC-based estimates with the proposed prior in drawing inference over repeated sampling. Our simulation shows that estimates from the proposed methods perform better than those from the conventional ML and Bayesian method.

• Structural Engineering and Mechanics
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• 제39권5호
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• pp.621-642
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• 2011

Passive tuned mass dampers (TMDs) efficiently suppress vibrations induced by quasi-stationary dynamic inputs, such as winds, sea waves or traffic loads, but may prove of little use against pulse-like excitations, such as near-field (NF) ground motions. The extent of such impairment is however controversial, partly due to the different evaluation criteria adopted within the literature, partly to the limited number of seismic records used in most investigations. In this study, three classical techniques and two new variants for designing a TMD on an SDOF structure are tested under 338 NF records from the PEER NGA database, including 156 records with forward-directivity features. Percentile response reduction spectra are introduced to statistically assess TMD performance, and TMD robustness is verified through Monte Carlo simulations. The methodology is extended to a variety of MDOF bending-type and shear-type frames, and simulated on a case study building structure recently constructed in Central Italy.Results offer an interesting insight into the performance of TMDs against NF earthquakes, ultimately showing that, if properly designed and sufficiently massive, TMDs are effective and robust even in the face of pulse-like ground motions. The two newly proposed design techniques are shown to generally outperform the classical ones.

• Journal of the Korean Data and Information Science Society
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• 제25권6호
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• pp.1333-1343
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• 2014

본 연구는 일변량 금융지수의 변동성 모형에서 GARCH(1,1) 모형이 여러 복잡한 GARCH 확장 모형에 비교해서 결코 뒤쳐지지 않는다는 Hansen과 Lunde (2005) 연구를 다변량 변동성으로 확장한다. 또한 모형의 비교 방법으로 예측값에 기반한 평균제곱예측오차 (MSPE) 뿐 만 아니라 리스크 관리 측면에서 최대 손실 금액을 나타내는 VaR 및 사후 검정인 실패율을 동시에 고려하였다. 모의실험 결과 다변량 변동성의 경우에서도 GARCH 모형이 예측력은 크게 다르지는 않았으나 리스크 관리 측면에서는 좀 더 신중한 판단을 요구함을 보인다. 또한 최근 10년동안의 KOSPI, NASDAQ 및 HANG SENG의 주가 지수 실증 자료를 통하여 리스크 관리 측면에서의 다변량 GARCH 모형 선택에 대해서 논의한다.

• 천문학회보
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• 제36권1호
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• pp.82.1-82.1
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• 2011

We present a new code for solving non-LTE radiative transfer problems in a general grid (RIG). RIG develops from RATRAN code (Hogerheijde & van der Tak 2000) using the Accelerated Monte-Carlo method, and it can cope with line overlap effect among multiple molecular and atomic species. In this algorithm we make grids in arbitrary coordinates adequate to the problem, but, on the other hand, photons propagate in the Cartesian coordinates. For spherical, cylindrical and other well defined coordinate, the problem of tracing photon's path reduces to solving simple quadratic equations. For example, the outflow in the star formation have high dynamic range in scales from a few AU to ~ 0.1 pc and have also cylindrical symmetry. So, we have used (r, ${\alpha}$) coordinate system, where r is the distance from the origin and ${\alpha}$ is z/ R2 in the cylindrical coordinate of (R,z). The (r, ${\alpha}$) coordinate realizes the density - power function of r - and temperature distributions of the problems with smaller numbers of grid than the cylindrical coordinate does, and the former consumes less time to solve the problems than the latter.

• Earthquakes and Structures
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• 제17권5호
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• pp.463-475
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• 2019

In this paper, a procedure to develop fragility curves of structures equipped with semi-active tuned mass dampers (SATMDs) considering multiple failure criteria has been presented while accounting for the uncertainties of the input excitation, structure and control device parameters. In this procedure, Latin hypercube sampling (LHS) method has been employed to generate 30 random SATMD-structure systems and nonlinear incremental dynamic analysis (IDA) has been conducted under 20 earthquakes to determine the structural responses, where failure probabilities in each intensity level have been evaluated using Monte Carlo simulation (MCS) method. For numerical analysis, an eight-story nonlinear shear building frame with bilinear hysteresis material behavior has been used. Fragility curves for the structure equipped with optimal SATMDs have been developed considering single and multiple failure criteria for different performance levels and compared with that of uncontrolled structure as well as structure controlled using passive tuned mass damper (TMD). Numerical analysis has shown the capability of SATMDs in significant enhancement of the seismic fragility of the nonlinear structure. Also, considering multiple failure criteria has led to increasing the fragility of the structure. Moreover, it is observed that the influence of the uncertainty of input excitation with respect to the other uncertainties is considerable.

• Structural Engineering and Mechanics
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• 제69권3호
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• pp.317-326
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• 2019

This research aims to assess the tight seismic risk curve of the intake tower at Geumgwang reservoir by considering the recorded historical earthquake data in the Korean Peninsula. The seismic fragility, a significant part of risk assessment, is updated by using Bayesian inference to consider the uncertainties and computational efficiency. The reservoir is one of the largest reservoirs in Korea for the supply of agricultural water. The intake tower controls the release of water from the reservoir. The seismic risk assessment of the intake tower plays an important role in the risk management of the reservoir. Site-specific seismic hazard is computed based on the four different seismic source maps of Korea. Probabilistic Seismic Hazard Analysis (PSHA) method is used to estimate the annual exceedance rate of hazard for corresponding Peak Ground Acceleration (PGA). Hazard deaggregation is shown at two customary hazard levels. Multiple dynamic analyses and a nonlinear static pushover analysis are performed for deriving fragility parameters. Thereafter, Bayesian inference with Markov Chain Monte Carlo (MCMC) is used to update the fragility parameters by integrating the results of the analyses. This study proves to reduce the uncertainties associated with fragility and risk curve, and to increase significant statistical and computational efficiency. The range of seismic risk curve of the intake tower is extracted for the reservoir site by considering four different source models and updated fragility function, which can be effectively used for the risk management and mitigation of reservoir.

• 국제강구조저널
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• 제18권5호
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• pp.1684-1698
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• 2018

Fragility functions are determined for braced steel moment frames (SMFs) with plans such as square-, T-, L-, U-, trapezoidal-, and semicircular-shaped, subjected to blast. The frames are designed for gravity and seismic loads, but not necessarily for the blast loads. The blast load is computed for a wide range of scenarios involving different parameters, viz. charge weight, standoff distance, and blast location relative to plan of the structure followed by nonlinear dynamic analysis of the frames. The members failing in rotation lead to partial collapse due to plastic mechanism formation. The probabilities of partial collapse of the SMFs, with and without bracing system, due to the blast loading are computed to plot fragility curves. The charge weight and standoff distance are taken as Gaussian random input variables. The extent of propagation of the uncertainties in the input parameters onto the response quantities and fragility of the SMFs is assessed by computing Sobol sensitivity indices. The probabilistic analysis is conducted using Monte Carlo simulations. The frames have least failure probability for blasts occurring in front of their corners or convex face. Further, the unbraced frames are observed to have higher fragility as compared to counterpart braced frames for far-off detonations.