• 응용통계연구
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• 제10권2호
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• pp.261-274
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• 1997

기존에 제안되어온 판별분석 기법이 대상으로 하는 대부분의 자료는 각 개체가 어느 한 특정한 집단에 전적으로 소속되어 있는 것으로 국한되어 왔다. 그러나 오늘날 (0-1)의 이치논리가 퍼지(Fuzzy) 개념과 다치논리로 확장되는 현상은 어느 한 개체를 꼭 한개의 집단에만 국한시키는 관점 역시 변화를 요구하고 있다고 본다. 이에 본 논문에서는 한 개체가 어떤 소속확률을 갖고 여러개의 집단에 소속되어 있는 상황을 고려하여 이러한 개체들로 구성된 학습표본으로부터 판별분석 규칙을 개발하는 것을 목표로 하였다. 방법론으로는 개체들의 특성벡터와 소속상태의 관계를 역추정(calibration) 모형으로 표현하고 판별대상개체의 특성벡터가 주어졌을 때 소속상태를 추정하도록 하며 이때 추정은 베이지안 방법, Metropolis 알고리즘 등을 사용하였다. 또한 제안된 판별규칙의 평가를 위한 기준을 제안하고 두개의 자료를 기존의 다른 규칙들과 함께 분석하여 결과를 비교하였다.

• Communications for Statistical Applications and Methods
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• 제19권5호
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• pp.705-720
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• 2012

In this paper, we introduce a hierarchical Bayesian model to simultaneously estimate the thresholds of each 6 cities. It was noted in the literature there was a dramatic increases in the number of deaths if the mean temperature passes a certain value (that we call a threshold). We estimate the difference of mortality before and after the threshold. For the hierarchical Bayesian analysis, some proper prior distribution of parameters and hyper-parameters are assumed. By combining the Gibbs and Metropolis-Hastings algorithm, we constructed a Markov chain Monte Carlo algorithm and the posterior inference was based on the posterior sample. The analysis shows that the estimates of the threshold are located at $25^{\circ}C{\sim}29^{\circ}C$ and the mortality around the threshold changes from -1% to 2~13%.

• Management Science and Financial Engineering
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• 제19권2호
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• pp.49-53
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• 2013

A Markov-chain Monte Carlo sampling algorithm samples a new point around the latest sample due to the Markov property, which prevents it from sampling from multi-modal distributions since the corresponding chain often fails to search entire support of the target distribution. In this paper, to overcome this problem, mode switching scheme is applied to the conventional MCMC algorithms. The algorithm separates the reducible Markov chain into several mutually exclusive classes and use mode switching scheme to increase mixing rate. Simulation results are given to illustrate the algorithm with promising results.

• 응용통계연구
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• 제22권3호
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• pp.627-634
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• 2009

Recently, the general contour Monte Carlo has been proposed by Liang (2004) as a space annealing version(ACMC) for optimization problems. The algorithm can be applied successfully to determine the ground configurations for the prediction of protein folding. In this approach, we use the distances between the consecutive $C_{\alpha}$ atoms along the peptide chain and the mapping sequences between the 20-letter amino acids and a coarse-grained three-letter code. The algorithm was tested on the real proteins. The comparison showed that the algorithm made a significant improvement over the simulated annealing(SA) and the Metropolis Monte Carlo method in determining the ground configurations.

• 응용통계연구
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• 제28권3호
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• pp.393-406
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• 2015

본 논문은 2요인(two-factor) 사망률 모형에 평균회귀모형(mean reverting process)을 적용하여 2요인의 확률적 변동을 모형화하여 사망률리스크(mortality risk)와 장수리스크(longevity risk)를 분석하였다. 최근 고령사회로 진입한 국가들에서 사망률 개선의 둔화가 관측되고 있는 시점에서 기존의 선형증가 또는 감소의 사망률 개선 모형을 보완함에 그 목적을 두었다. 영국의 1991~2015년 사망률 자료를 이용하여 제시한 모형의 모수를 메트로폴리스 알고리듬을 이용해 추정하였고 추정된 모수 값을 이용하여 다수 시뮬레이션을 통하여 장기간의 미래 사망률 예측값을 계산하였다. 평균회귀 모형의 특성으로 인해 약 60년의 시간이 지난 뒤부터는 사망률 개선이 거의 사라져 사망률이 일정한 값에 근접하였다. 사망률 개선이 둔화되는 현상이 관측되는 특정 집단(국가, 사회)의 경우 2요인 평균회귀 모형은 장기간 사망률 예측방법의 대안으로 간주될 것으로 기대되며, 모형의 응용으로서 평균회귀율의 추정결과로부터 사망률 개선의 속도를 계량화하는 기준을 제시하였다. 끝으로, 2014년~2040 기간의 사망률 예측값을 이용하여 25년 만기 장수채권의 발행가격을 산출하였다.

• 한국물환경학회지
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• 제36권4호
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• pp.300-313
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• 2020

The Bayesian approach can be used to estimate hydrologic model parameters from the prior expert knowledge about the parameter values and the observed data. The purpose of this study was to compare the performance of the two Bayesian methods, the Metropolis-Hastings (MH) algorithm and the Generalized Likelihood Uncertainty Estimation (GLUE) method. These two methods were applied to the TANK model, a hydrological model comprising 13 parameters, to examine the uncertainty of the parameters of the model. The TANK model comprises a combination of multiple reservoir-type virtual vessels with orifice-type outlets and implements a common major hydrological process using the runoff calculations that convert the rainfall to the flow. As a result of the application to the Nam River A watershed, the two Bayesian methods yielded similar flow simulation results even though the parameter estimates obtained by the two methods were of somewhat different values. Both methods ensure the model's prediction accuracy even when the observed flow data available for parameter estimation is limited. However, the prediction accuracy of the model using the MH algorithm yielded slightly better results than that of the GLUE method. The flow duration curve calculated using the limited observed flow data showed that the marginal reliability is secured from the perspective of practical application.

• 한국물환경학회지
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• 제36권5호
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• pp.373-384
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• 2020

Hydrological models are based on a combination of parameters that describe the hydrological characteristics and processes within a watershed. For this reason, the model performance and accuracy are highly dependent on the parameters. However, model uncertainties caused by parameters with stochastic characteristics need to be considered. As a follow-up to the study conducted by Choi et al (2020), who developed a relatively simple semi-distributed hydrological model, we propose a tool to estimate the posterior distribution of model parameters using the Metropolis-Hastings algorithm, a type of Markov-Chain Monte Carlo technique, and analyze the uncertainty of model parameters and simulated stream flow. In addition, the uncertainty caused by the parameters of each version is investigated using the lumped and semi-distributed versions of the applied model to the Hapcheon Dam watershed. The results suggest that the uncertainty of the semi-distributed model parameters was relatively higher than that of the lumped model parameters because the spatial variability of input data such as geomorphological and hydrometeorological parameters was inherent to the posterior distribution of the semi-distributed model parameters. Meanwhile, no significant difference existed between the two models in terms of uncertainty of the simulation outputs. The statistical goodness of fit of the simulated stream flows against the observed stream flows showed satisfactory reliability in both the semi-distributed and the lumped models, but the seasonality of the stream flow was reproduced relatively better by the distributed model.

• Communications for Statistical Applications and Methods
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• 제19권3호
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• pp.495-500
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• 2012

We consider a Bayesian test of independence in a two-way contingency table that has some zero cells. To do this, we take a three-stage hierarchical Bayesian model under each hypothesis. For prior, we use Dirichlet density to model the marginal cell and each cell probabilities. Our method does not require complicated computation such as a Metropolis-Hastings algorithm to draw samples from each posterior density of parameters. We draw samples using a Gibbs sampler with a grid method. For complicated posterior formulas, we apply the Monte-Carlo integration and the sampling important resampling algorithm. We compare the values of the Bayes factor with the results of a chi-square test and the likelihood ratio test.

• Journal of the Korean Data and Information Science Society
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• 제23권3호
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• pp.587-593
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• 2012

We study Bayesian estimates for finite population proportions in multinomial problems. To do this, we consider a three-stage hierarchical Bayesian model. For prior, we use Dirichlet density to model each cell probability in each cluster. Our method does not require complicated computation such as Metropolis-Hastings algorithm to draw samples from each density of parameters. We draw samples using Gibbs sampler with grid method. We apply this algorithm to a couple of simulation data under three scenarios and we estimate the finite population proportions using two kinds of approaches We compare results with the point estimates of finite population proportions and their standard deviations. Finally, we check the consistency of computation using differen samples drawn from distinct iterates.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1995년도 Proceedings of the Korea Automation Control Conference, 10th (KACC); Seoul, Korea; 23-25 Oct. 1995
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• pp.319-322
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• 1995

As a trend toward multi-product batch processes is increasing in Chemical Process Industry (CPI), multi-product batch scheduling has been actively studied. But the optimal production scheduling problems for multi-product batch processes are known as NP-complete. Recently Ku and Karimi [5] have studied Simulated Annealing(SA) and Jung et al.[6] have developed Modified Simulated Annealing (MSA) method which was composed of two stage search algorithms for scheduling of batch processes with UIS and NIS. Jung et al.[9] also have studied the Common Intermediate Storage(CIS) policy which have accepted as a high efficient intermediate storage policy. It can be also applied to pipeless mobile intermediate storage pacilities. In spite of these above researches, there have been no contribution of scheduling of CIS policy for chemical batch processes. In this paper, we have developed another MSA for scheduling chemical batch processes with searching the suitable control parameters for CIS policy and have tested the this algorithm with randomly generated various scheduling problems. From these tests, MSA is outperformed to general SA for CIS batch process system.