• Journal of the Korean Operations Research and Management Science Society
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• v.23 no.1
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• pp.43-65
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• 1998

This paper develops a two-echelon inventory model with time-weighted partial backorders. The presented model assumed to follow continuous review (Q. r) policy for both the retailers and the central warehouse under stochastic demand. A heuristic method to find an optimum-tending solution for total variable system cost per year incurred at the central warehouse and retailers in a system is suggested. To show the usefulness of the above model, numericla examples are illustrated for verification and validation purpose.

• The Journal of Fisheries Business Administration
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• v.47 no.2
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• pp.1-14
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• 2016

This study applied the Stochastic Frontier Analysis to estimate which independent variable affects to efficiency of aquaculture household. This study used wage and facility scale as input variables, sales volume as an output variable to estimate efficiency. Also, the study used region, species, water quality to estimate technical inefficiency factors of the model. The data used for this study were obtained by the operating costs survey using 1:1 interview method. The study selected translog production model with technical inefficiency term estimated as half-normal distribution. In addition, the study used pearson and spearman correlation coefficient among efficiency estimating models. Also, the study analysed differences among estimated efficiencies through t-test, and showed us 0.1793 in species, 0.4677 between Geojae and Masan.

• Journal of the military operations research society of Korea
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• v.27 no.2
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• pp.76-87
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• 2001

The effect of variable hit probabilities in the stochastic duel are examined. The objective of this study is to evaluate the outcomes of combat under the situations which we assume either round dependent hit probabilities or time dependent hit probabilities. Due to the complexity of an analytic approach to large-sized battles, a simulation modeling technique has been introduced. several specific examples are demonstrated fire allocation strategies. Output measures are compared among cases each with its own type of hit probability fashion such as constant, round to round, or time dependent manners. For these specific cases, the advantages of round to round improvement or increasing function of time for the hit probability are displayed.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.20 no.7
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• pp.2159-2166
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• 1996

The stochastic properties of variation in fatigue crack growth are important in reliability and stability of structures. In this study,the stochastic model for the variation of fatigue crack growth rate was proposed in consideration of nonhomogeneity of materials. For this model, experiments were ocnducted on 7075-T6 aluminum alloy under the constant stress intensity factor range. The variation of fatigue crack growth rate was expressed by random variables Z and r based on the variation of material coefficients C and m in the paris-Erodogan's equation. The distribution of fatigue life with respect to the stress intensity factor range was evaluated by the stochastic Markov chain model based on the Paris-Erdogan's equation. The merit of proposed model is that only a small number of test are required to determine this this function, and fatigue crack growth life is easily predicted at the given stress intensity factor range.

• Structural Engineering and Mechanics
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• v.33 no.4
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• pp.407-428
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• 2009

The effects of the uniform and spatially varying ground motions on the stochastic response of fluid-structure interaction system during an earthquake are investigated by using the displacement based fluid finite elements in this paper. For this purpose, variable-number-nodes two-dimensional fluid finite elements based on the Lagrangian approach is programmed in FORTRAN language and incorporated into a general-purpose computer program SVEM, which is used for stochastic dynamic analysis of solid systems under spatially varying earthquake ground motion. The spatially varying earthquake ground motion model includes wave-passage, incoherence and site-response effects. The effect of the wave-passage is considered by using various wave velocities. The incoherence effect is examined by considering the Harichandran-Vanmarcke and Luco-Wong coherency models. Homogeneous medium and firm soil types are selected for considering the site-response effect where the foundation supports are constructed. A concrete gravity dam is selected for numerical example. The S16E component recorded at Pacoima dam during the San Fernando Earthquake in 1971 is used as a ground motion. Three different analysis cases are considered for spatially varying ground motion. Displacements, stresses and hydrodynamic pressures occurring on the upstream face of the dam are calculated for each case and compare with those of uniform ground motion. It is concluded that spatially varying earthquake ground motions have important effects on the stochastic response of fluid-structure interaction systems.

• KDI Journal of Economic Policy
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• v.40 no.4
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• pp.1-22
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• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

• Journal of Korean Institute of Industrial Engineers
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• v.29 no.2
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• pp.135-144
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• 2003

Traffic performance in a microcellular system is much more affected by cell dwell time and channel holding time in each cell. Cell dwell time of a call is characterized by its mobility pattern, i.e., stochastic changes of moving speed and direction. Cell dwell time provides important information for other analyses on traffic performance such as channel holding time, handover rate, and the average number of handovers per call. In the next generation mobile communication system, the cell size is expected to be much smaller than that of current one to accommodate the increase of user demand and to achieve high bandwidth utilization. As the cell size gets small, traffic performance is much more affected by variable mobility of users, especially by that of pedestrians. In previous work, analytical models are based on simple probability models. They provide sufficient accuracy in a simple second-generation cellular system. However, the role of them is becoming invalid in a picocellular environment where there are rapid change of network traffic conditions and highly random mobility of pedestrians. Unlike in previous work, we propose an improved probability model evolved from so-called Random walk model in order to mathematically formulate variable mobility of pedestrians and analyze the traffic performance. With our model, we can figure out variable characteristics of pedestrian mobility with stochastic correlation. The above-mentioned traffic performance measures are analyzed using our model.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.31 no.12C
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• pp.1280-1287
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• 2006

We propose a modified stochastic gradient-based (MSGB) filter showing that the filter is the solution to an optimization problem. This paper analyzes the properties of the MSGB filter that corresponds to the nonlinear adaptive filter with additional update terms, parameterized by the variable scaling factor. The variably parameterized MSGB filter plays a role iii connecting the fixed parameterized MSGB filter and the null parameterized MSGB filter through variably scaling parameter. The stability regions and misadjustments are shown. A system identification is utilized to perform the computer simulation and demonstrate the improved performance feature of the MSGB filter.

• Journal of Korea Society of Industrial Information Systems
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• v.25 no.6
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• pp.95-107
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• 2020

We analyze the performance of South Korea wholesalers and retailers during the period when COVID-19 emerged and began to spread in South Korea. Specifically, we choose operational efficiency as a proxy variable for reflecting corporate performance and apply stochastic frontier analysis for estimating operational efficiency. Importantly, in order to examine the impact of the COVID-19 period (Q1 to Q2 2020) on operational efficiency, we consider the quarterly fixed effect corresponding to the COVID-19 period. Our findings include: (ⅰ) the average level of operational ffficiency is approximately 0.7138 during the analysis period (Q1 2019 to Q2 2020); (ⅱ) the fixed effect of the COVID-19 period on operational efficiency is not significant; and (ⅲ) operational efficiency is positively correlated with the scale of the company. Moreover, from an academic perspective, we make a contribution by examining the relationship between the operational efficiency as a firm-level variable and the COVID-19 period as a macroeconomic variable.

• Journal of Institute of Control, Robotics and Systems
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• v.10 no.2
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• pp.145-152
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• 2004

In this paper, an S(stochastic)-eigenvalue and its corresponding S-eigenvector concept for linear continuous-time systems with probabilistic uncertainties are proposed. The proposed concept is concerned with the perturbation of eigenvalues due to the stochastic variable parameters in the dynamic model of a plant. An S-eigenstructure assignment scheme via the Sylvester equation approach based on the S-eigenvalue/-eigenvector concept is also proposed. The proposed control design scheme based on the proposed concept is applied to a longitudinal dynamics of an open-loop-unstable aircraft with possible uncertainties in aerodynamic and thrust effects as well as separate dynamic pressure effects. These results explicitly characterize how S-eigenvalues in the complex plane may impose stability on the system.