• Title/Summary/Keyword: computer-simulation

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Analysis of Trading Performance on Intelligent Trading System for Directional Trading (방향성매매를 위한 지능형 매매시스템의 투자성과분석)

  • Choi, Heung-Sik;Kim, Sun-Woong;Park, Sung-Cheol
    • Journal of Intelligence and Information Systems
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    • v.17 no.3
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    • pp.187-201
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    • 2011
  • KOSPI200 index is the Korean stock price index consisting of actively traded 200 stocks in the Korean stock market. Its base value of 100 was set on January 3, 1990. The Korea Exchange (KRX) developed derivatives markets on the KOSPI200 index. KOSPI200 index futures market, introduced in 1996, has become one of the most actively traded indexes markets in the world. Traders can make profit by entering a long position on the KOSPI200 index futures contract if the KOSPI200 index will rise in the future. Likewise, they can make profit by entering a short position if the KOSPI200 index will decline in the future. Basically, KOSPI200 index futures trading is a short-term zero-sum game and therefore most futures traders are using technical indicators. Advanced traders make stable profits by using system trading technique, also known as algorithm trading. Algorithm trading uses computer programs for receiving real-time stock market data, analyzing stock price movements with various technical indicators and automatically entering trading orders such as timing, price or quantity of the order without any human intervention. Recent studies have shown the usefulness of artificial intelligent systems in forecasting stock prices or investment risk. KOSPI200 index data is numerical time-series data which is a sequence of data points measured at successive uniform time intervals such as minute, day, week or month. KOSPI200 index futures traders use technical analysis to find out some patterns on the time-series chart. Although there are many technical indicators, their results indicate the market states among bull, bear and flat. Most strategies based on technical analysis are divided into trend following strategy and non-trend following strategy. Both strategies decide the market states based on the patterns of the KOSPI200 index time-series data. This goes well with Markov model (MM). Everybody knows that the next price is upper or lower than the last price or similar to the last price, and knows that the next price is influenced by the last price. However, nobody knows the exact status of the next price whether it goes up or down or flat. So, hidden Markov model (HMM) is better fitted than MM. HMM is divided into discrete HMM (DHMM) and continuous HMM (CHMM). The only difference between DHMM and CHMM is in their representation of state probabilities. DHMM uses discrete probability density function and CHMM uses continuous probability density function such as Gaussian Mixture Model. KOSPI200 index values are real number and these follow a continuous probability density function, so CHMM is proper than DHMM for the KOSPI200 index. In this paper, we present an artificial intelligent trading system based on CHMM for the KOSPI200 index futures system traders. Traders have experienced on technical trading for the KOSPI200 index futures market ever since the introduction of the KOSPI200 index futures market. They have applied many strategies to make profit in trading the KOSPI200 index futures. Some strategies are based on technical indicators such as moving averages or stochastics, and others are based on candlestick patterns such as three outside up, three outside down, harami or doji star. We show a trading system of moving average cross strategy based on CHMM, and we compare it to a traditional algorithmic trading system. We set the parameter values of moving averages at common values used by market practitioners. Empirical results are presented to compare the simulation performance with the traditional algorithmic trading system using long-term daily KOSPI200 index data of more than 20 years. Our suggested trading system shows higher trading performance than naive system trading.

Software Reliability Growth Modeling in the Testing Phase with an Outlier Stage (하나의 이상구간을 가지는 테스팅 단계에서의 소프트웨어 신뢰도 성장 모형화)

  • Park, Man-Gon;Jung, Eun-Yi
    • The Transactions of the Korea Information Processing Society
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    • v.5 no.10
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    • pp.2575-2583
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    • 1998
  • The productionof the highly relible softwae systems and theirs performance evaluation hae become important interests in the software industry. The software evaluation has been mainly carried out in ternns of both reliability and performance of software system. Software reliability is the probability that no software error occurs for a fixed time interval during software testing phase. These theoretical software reliability models are sometimes unsuitable for the practical testing phase in which a software error at a certain testing stage occurs by causes of the imperfect debugging, abnornal software correction, and so on. Such a certatin software testing stage needs to be considered as an outlying stage. And we can assume that the software reliability does not improve by means of muisance factor in this outlying testing stage. In this paper, we discuss Bavesian software reliability growth modeling and estimation procedure in the presence of an imidentitied outlying software testing stage by the modification of Jehnski Moranda. Also we derive the Bayes estimaters of the software reliability panmeters by the assumption of prior information under the squared error los function. In addition, we evaluate the proposed software reliability growth model with an unidentified outlying stage in an exchangeable model according to the values of nuisance paramether using the accuracy, bias, trend, noise metries as the quantilative evaluation criteria through the compater simulation.

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A Way for Creating Human Bioclimatic Maps using Human Thermal Sensation (Comfort) and Applying the Maps to Urban and Landscape Planning and Design (인간 열환경 지수를 이용한 생기후지도 작성 및 도시·조경계획 및 디자인에의 적용방안)

  • Park, Soo-Kuk
    • Journal of the Korean Institute of Landscape Architecture
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    • v.41 no.1
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    • pp.21-33
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    • 2013
  • The purpose of this study is to find applicabilities of human bioclimatic maps, using human thermal sensation(comfort) in summer, with microclimatic in situ data and computer simulation results at the study site of downtown Daegu. This includes the central business district(CBD) area and two urban parks, the Debt Redemption Movement Memorial Park and the 2.28 Park, for urban and landscape planning and design. Climatic data and urban setting information for the analysis of human thermal sensation were obtained from in situ measurement and the geographic information system data. As a result, the CBD had higher air temperature than the parks when the wind speed was low. Relative humidities were opposite to the air temperature. Especially, same directional streets with local wind direction had lower air temperature than streets perpendicular to the wind direction. The most important climatic variable of human thermal sensation in summer was direct beam solar radiation. Also, creating shadow areas would be the most relevant method for modifying hot thermal environments in urban areas. The most effective method of creating shadow patterns was making a tree shadow over a pergola, and the second best one was making a tree shadow on the front of north directional building walls. Moreover, how to plant trees for creating shadow patterns was important as well as what kind of trees should be planted. The results of human thermal sensation were warm to very hot at sunny areas and neutral to warm at shaded ones. At the sunny areas, wide, squared shape areas had a little bit higher thermal sensation than those of narrow streets. The albedo change of building walls 0.15 and ground surface 0.1 could change 1/6 of a sensation level at the shaded areas and 1/3 at the sunny ones. These microclimatic approaches will be useful to find appropriate methods for modifying thermal environments in urban areas.

A Study on the Application Direction of Finite Element Analysis in the Field of Packaging through Research Trend Analysis in Korea (국내 연구 동향 분석을 통한 포장분야에서 유한요소해석의 적용 방향에 관한 고찰)

  • Lee, Hakrae;Jeon, Kyubae;Ko, Euisuk;Shim, Woncheol;Kang, Wookgun;Kim, Jaineung
    • KOREAN JOURNAL OF PACKAGING SCIENCE & TECHNOLOGY
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    • v.23 no.3
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    • pp.191-200
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    • 2017
  • Proper packaging design can meet both the environmental and economic aspects of packaging materials by reducing the use of packaging materials, waste generation, material costs, and logistics costs. Finite element analysis(FEM) is used as a useful tool in various fields such as structural analysis, heat transfer, fluid motion, and electromagnetic field, but its application in the field of packaging is still insufficient. Therefore, the application of FEM to the field of packaging can save the cost and time in the future research because it is possible to design the package by computer simulation, and it is possible to reduce the packaging waste and logistics cost through proper packaging design. Therefore, this study investigated the FEM papers published in Korea for the purpose of helping research design using FEM program in the field of packaging in the future. In this paper, we analyzed the 29 papers that were directly related to the analysis of FEM papers published in domestic journals from 1991 to 2017. As a result, we analyzed the research topic, FEM program, and analysis method using each paper, and presented the direction that can be applied in future packaging field. When the FEM is applied to the packaging field, it is possible to change the structure and reduce the thickness through the stress and vibration analysis applied to the packaging material, thereby reducing the cost by improving the mechanical strength and reducing the amount of the packaging material. Therefore, in the field of packaging research in the future, if the FEM is performed together, economical and reasonable packaging design will be possible.

Preliminary Study on the MR Temperature Mapping using Center Array-Sequencing Phase Unwrapping Algorithm (Center Array-Sequencing 위상펼침 기법의 MR 온도영상 적용에 관한 기초연구)

  • Tan, Kee Chin;Kim, Tae-Hyung;Chun, Song-I;Han, Yong-Hee;Choi, Ki-Seung;Lee, Kwang-Sig;Jun, Jae-Ryang;Eun, Choong-Ki;Mun, Chi-Woong
    • Investigative Magnetic Resonance Imaging
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    • v.12 no.2
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    • pp.131-141
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    • 2008
  • Purpose : To investigate the feasibility and accuracy of Proton Resonance Frequency (PRF) shift based magnetic resonance (MR) temperature mapping utilizing the self-developed center array-sequencing phase unwrapping (PU) method for non-invasive temperature monitoring. Materials and Methods : The computer simulation was done on the PU algorithm for performance evaluation before further application to MR thermometry. The MR experiments were conducted in two approaches namely PU experiment, and temperature mapping experiment based on the PU technique with all the image postprocessing implemented in MATLAB. A 1.5T MR scanner employing a knee coil with $T2^*$ GRE (Gradient Recalled Echo) pulse sequence were used throughout the experiments. Various subjects such as water phantom, orange, and agarose gel phantom were used for the assessment of the self-developed PU algorithm. The MR temperature mapping experiment was initially attempted on the agarose gel phantom only with the application of a custom-made thermoregulating water pump as the heating source. Heat was generated to the phantom via hot water circulation whilst temperature variation was observed with T-type thermocouple. The PU program was implemented on the reconstructed wrapped phase images prior to map the temperature distribution of subjects. As the temperature change is directly proportional to the phase difference map, the absolute temperature could be estimated from the summation of the computed temperature difference with the measured ambient temperature of subjects. Results : The PU technique successfully recovered and removed the phase wrapping artifacts on MR phase images with various subjects by producing a smooth and continuous phase map thus producing a more reliable temperature map. Conclusion : This work presented a rapid, and robust self-developed center array-sequencing PU algorithm feasible for the application of MR temperature mapping according to the PRF phase shift property.

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The Heterogeneity of Flow Distribution and Partition Coefficient in [15O-H2O] Myocardium Positron Emission Tomography ([15O-H2O] 심근 양전자 단층 촬영에서 혈류 분포의 비균일성과 분배계수)

  • Ahn, Ji Young;Lee, Dong Soo;Kim, Kyung Min;Jeong, Jae Min;Chung, June-Key;Shin, Seung-Ae;Lee, Myung Chul;Koh, Chang-Soon
    • The Korean Journal of Nuclear Medicine
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    • v.32 no.1
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    • pp.32-49
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    • 1998
  • For estimation of regional myocardial blood flow with O-15 water PET, a few modifications considering partial volume effect based on single compartment model have been proposed. In this study, we attempted to quantify the degree of heterogeneity and to show the effect of tissue flow heterogeneity on partition coefficient(${\lambda}$) and to find the relation between perfusable tissue index(PTI) and ${\lambda}$ by computer simulation using two modified models. We simulated tissue curves for the regions with homogeneous and heterogeneous blood flow over a various flow range(0.2-4.0ml/g/min). Simulated heterogeneous tissue composed of 4 subregions of the same or different size of block which have different homogeneous flow and different degree of slope of distribution of blood flow. We measured the index representing heterogeneity of distribution of blood flow for each heterogeneous tissue by the constitution heterogeneity(CH). For model I, we assumed that tissue recovery coefficient ($F_{MME}$) was the product of partial volume effect($F_{MMF}$) and PTI. Using model I, PTI, flow, and $F_{MM}$ were estimated. For model II, we assumed that partition coefficient was another variable which could represent tissue characteristics of heterogeneity of flow distribution. Using model II, PTI, flow and ${\lambda}$ were estimated. For the simulated tissue with homogeneous flow, both models gave exactly the same estimates, of three parameters. For the simulated tissue with heterogeneous flow distribution, in model I, flow and $F_{MM}$ were correctly estimated as CH was increased moderately. In model II, flow and ${\lambda}$ were decreased curvi-linearly as CH was increased. The degree of underestimation of ${\lambda}$ obtained using model II, was correlated with CH. The degree of underestimation of flow was dependent on the degree of underestimation of ${\lambda}$. PTI was somewhat overestimated and did not change according to CH. We conclude that estimated ${\lambda}$ reflect the degree of tissue heterogeneity of flow distribution. We could use the degree of underestimation of ${\lambda}$ to find the characteristic heterogeneity of tissue flow and use ${\lambda}$ to recover the underestimated flow.

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A Study on Activation Characteristics Generated by 9 MeV Electron Linear Accelerator for Container Security Inspection (컨테이너 보안 검색용 9 MeV 전자 선형가속기에서 발생한 방사화 특성평가에 관한 연구)

  • Lee, Chang-Ho;Kim, Jang-Oh;Lee, Yoon-Ji;Jeon, Chan-Hee;Lee, Ji-Eun;Min, Byung-In
    • Journal of the Korean Society of Radiology
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    • v.14 no.5
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    • pp.563-575
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    • 2020
  • The purpose of this study is to evaluate the activation characteristics that occur in a linear accelerator for container security inspection. In the computer simulation design, first, the targets consisted of a tungsten (Z=74) single material target and a tungsten (Z=74) and copper (Z=29) composite target. Second, the fan beam collimator was composed of a single material of lead (Z=82) and a composite material of tungsten (Z-74) and lead (Z=82) depending on the material. Final, the concrete in the room where the linear accelerator was located contained magnetite type and impurities. In the research method, first, the optical neutron flux was calculated using the MCNP6 code as a F4 Tally for the linear accelerator and structure. Second, the photoneutron flux calculated from the MCNP6 code was applied to FISPACT-II to evaluate the activation product. Final, the decommissioning evaluation was conducted through the specific activity of the activation product. As a result, first, it was the most common in photoneutron targets, followed by a collimator and a concrete 10 cm deep. Second, activation products were produced as by-products of W-181 in tungsten targets and collimator, and Co-60, Ni-63, Cs-134, Eu-152, Eu-154 nuclides in impurity-containing concrete. Final, it was found that the tungsten target satisfies the permissible concentration for self-disposal after 90 days upon decommissioning. These results could be confirmed that the photoneutron yield and degree of activation at 9 MeV energy were insignificant. However, it is thought that W-181 generated from the tungsten target and collimator of the linear accelerator may affect the exposure when disassembled for repair. Therefore, this study presents basic data on the management of activated parts of a linear accelerator for container security inspection. In addition, When decommissioning the linear accelerator for container security inspection, it is expected that it can be used to prove the standard that permissible concentration of self-disposal.

A Study on Estimating Optimal Tonnage of Coastal Cargo Vessels in Korea (우리나라 연안화물선의 적정선복량 추정에 관한 연구)

  • 이청환;이철영
    • Journal of the Korean Institute of Navigation
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    • v.13 no.1
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    • pp.21-53
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    • 1989
  • In the past twenty years, there has been a rapid increase in the volume of traffic in Korea due to the Korean great growth of the Korean economy. Since transformation provides an infrastructure vital to economic growth, it becomes more and more an integral part of the Korea economy. The importance of coastal shipping stands out in particular, not only because of the expansion limit on the road network, but also because of saturation in the capacity of rail transportation. In spite of this increase and its importance, coastal shipping is falling behind partly because it is givenless emphasis than ocean-going shipping and other inland transportation systems and partly because of overcompetition due to excessive ship tonnage. Therefore, estimating and planning optimum ship tonnage is the first take to develop Korean coastal shipping. This paper aims to estimate the optimum coastal ship tonnage by computer simulation and finally to draw up plans for the ship tonnage balance according to supply and demand. The estimation of the optimum ship tonnage is peformed by the method of Origin -Destimation and time series analysis. The result are as follows : (1) The optimum ship tonnage in 1987 was 358, 680 DWT, which is 54% of the current ship tonnage (481 ships, 662, 664DWT) that is equal to the optimum ship tonnage in 1998. this overcapacity result is in excessive competition and financial difficulties in Korea coastal shipping. (2) The excessive ship tonnage can be broken down into ship types as follows : oil carrier 250, 926 DWT(350%), cement carrier 9, 977 DWT(119%), iron material/machinery carrier 25, 665 DWT(117%), general cargo carrier 17, 416DWT(112%). (3) the current total ship crew of 5, 079 is more than the verified optimally efficient figure of 3, 808 by 1271. (4) From the viewpoint of management strategy, it is necessary that excessive ship tonnage be reduced and uneconomic outdated vessels be broken up. And its found that the diversion into economically efficient fleets is urgently required in order to meet increasing annual rate in the amounts of cargo(23, 877DWT). (5) The plans for the ship tonnage balance according to supply and demand are as follows 1) The establishment of a legislative system for the arrangement of ship tonnage. This would involve; (a) The announcement of an optimum tonnage which guides the licensing of cargo vessels and ship tonnage supply. (b) The establishment of an organization that substantially arrangement tonnage in Korea coastal shipping. 2) The announcement of an optimum ship tonnage both per year and short-term that guides current tonnage supply plans. 3) The settlement of elastic tariffs resulting in the protect6ion of coastal shipping's share from other tonnage supply plans. 4) The settlement of elastic tariffs resulting in the protection of coastal shipping's share from other transportation systems. 4) Restriction of ocean-going vessels from participating in coastal shipping routes. 5) Business rationalization of coastal shipping company which reduces uneconomic outdated vessels and boosts the national economy. If we are to achieve these ends, the followings are prerequisites; I) Because many non-licensed vessels are actually operating and threatening the safe voyage of the others in Korea coastal routes, it is necessary that those ind of vessels be controlled and punished by the authorities. II) The supply of ship tonnage in Korean coastal routes should be predently monitored because most of the coastal vessels are to small to be diverted into ocean-going routes in case of excessive supply. III) Every ship type which is engaged in coastal shipping should be specialized according to the characteristics of its routes as soon possible.

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Application of Modified Mupit for the Recurrent Vulva Cancer in Brachytherapy (재발한 Vulvar 종양의 근접치료 시 Modified Mupit Applicator의 적용)

  • Kim, Jong-Sik;Jung, Chun-Young;Oh, Dong-Gyoon;Song, Ki-Won;Park, Young-Hwan
    • The Journal of Korean Society for Radiation Therapy
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    • v.18 no.1
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    • pp.13-19
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    • 2006
  • Purpose: To evaluate whether modified MUPIT applicator can effectively eradicate recurrent tumor in uterine cervix cancer and reduce rectal complication after complete radiation treatment. Materials and Methods: Modified MUPIT applicator basically consists of an acrylic cylinder with flexible brain applicator, an acrylic template with a predrilled array of holes that serve as guides for interstitial needles and interstitial needles. CT scan was peformed to determine tumor volume and the position of interstitial needles. Modified MUPIT applicator was applied to patient in operation room and the accuracy for position of interstitial needles in tumor volume was confirmed by CTscan. Brachytherapy was delivered using modified MUPIT applicator and RALS(192-lr HDR) after calculated computer planning by orthogonal film. The daily dose was 600cGy and the total dose was delivered 3,000 cGy in tumor volume by BID. Rectal dose was measured by TLD at 5 points so that evaluated the risk of rectal complication. Results: The application of modified MUPIT applicator improved dramatically dose distributions in tumor volume and follow-up of 3 month for this patient was clinically partial response without normal tissue complication, Rectal dose was measured 34.1 cGy, 57.1 cGy, 103.8 cGy, 162.7 cGy, 165.7 cGy at each points, especially the rectal dose including previous EBRT and ICR was 34.1 cGy, 57.1 cGy. Conclusion: Patients with locally recurrent tumor in uterine cervix cancel treated with modified MUPIT applicator can expect reasonable rates of local control. The advantages of the system are the fixed geometry provided by the template and cylinders. and improved dose distributions in irregular tumor volume without rectal complication.

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A Study on the Development of a Simulation Model for Predicting Soil Moisture Content and Scheduling Irrigation (토양수분함량 예측 및 계획관개 모의 모형 개발에 관한 연구(I))

  • 김철회;고재군
    • Magazine of the Korean Society of Agricultural Engineers
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    • v.19 no.1
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    • pp.4279-4295
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    • 1977
  • Two types of model were established in order to product the soil moisture content by which information on irrigation could be obtained. Model-I was to represent the soil moisture depletion and was established based on the concept of water balance in a given soil profile. Model-II was a mathematical model derived from the analysis of soil moisture variation curves which were drawn from the observed data. In establishing the Model-I, the method and procedure to estimate parameters for the determination of the variables such as evapotranspirations, effective rainfalls, and drainage amounts were discussed. Empirical equations representing soil moisture variation curves were derived from the observed data as the Model-II. The procedure for forecasting timing and amounts of irrigation under the given soil moisture content was discussed. The established models were checked by comparing the observed data with those predicted by the model. Obtained results are summarized as follows: 1. As a water balance model of a given soil profile, the soil moisture depletion D, could be represented as the equation(2). 2. Among the various empirical formulae for potential evapotranspiration (Etp), Penman's formula was best fit to the data observed with the evaporation pans and tanks in Suweon area. High degree of positive correlation between Penman's predicted data and observed data with a large evaporation pan was confirmed. and the regression enquation was Y=0.7436X+17.2918, where Y represents evaporation rate from large evaporation pan, in mm/10days, and X represents potential evapotranspiration rate estimated by use of Penman's formula. 3. Evapotranspiration, Et, could be estimated from the potential evapotranspiration, Etp, by introducing the consumptive use coefficient, Kc, which was repre sensed by the following relationship: Kc=Kco$.$Ka+Ks‥‥‥(Eq. 6) where Kco : crop coefficient Ka : coefficient depending on the soil moisture content Ks : correction coefficient a. Crop coefficient. Kco. Crop coefficients of barley, bean, and wheat for each growth stage were found to be dependent on the crop. b. Coefficient depending on the soil moisture content, Ka. The values of Ka for clay loam, sandy loam, and loamy sand revealed a similar tendency to those of Pierce type. c. Correction coefficent, Ks. Following relationships were established to estimate Ks values: Ks=Kc-Kco$.$Ka, where Ks=0 if Kc,=Kco$.$K0$\geq$1.0, otherwise Ks=1-Kco$.$Ka 4. Effective rainfall, Re, was estimated by using following relationships : Re=D, if R-D$\geq$0, otherwise, Re=R 5. The difference between rainfall, R, and the soil moisture depletion D, was taken as drainage amount, Wd. {{{{D= SUM from { {i }=1} to n (Et-Re-I+Wd)}}}} if Wd=0, otherwise, {{{{D= SUM from { {i }=tf} to n (Et-Re-I+Wd)}}}} where tf=2∼3 days. 6. The curves and their corresponding empirical equations for the variation of soil moisture depending on the soil types, soil depths are shown on Fig. 8 (a,b.c,d). The general mathematical model on soil moisture variation depending on seasons, weather, and soil types were as follow: {{{{SMC= SUM ( { C}_{i }Exp( { - lambda }_{i } { t}_{i } )+ { Re}_{i } - { Excess}_{i } )}}}} where SMC : soil moisture content C : constant depending on an initial soil moisture content $\lambda$ : constant depending on season t : time Re : effective rainfall Excess : drainage and excess soil moisture other than drainage. The values of $\lambda$ are shown on Table 1. 7. The timing and amount of irrigation could be predicted by the equation (9-a) and (9-b,c), respectively. 8. Under the given conditions, the model for scheduling irrigation was completed. Fig. 9 show computer flow charts of the model. a. To estimate a potential evapotranspiration, Penman's equation was used if a complete observed meteorological data were available, and Jensen-Haise's equation was used if a forecasted meteorological data were available, However none of the observed or forecasted data were available, the equation (15) was used. b. As an input time data, a crop carlender was used, which was made based on the time when the growth stage of the crop shows it's maximum effective leaf coverage. 9. For the purpose of validation of the models, observed data of soil moiture content under various conditions from May, 1975 to July, 1975 were compared to the data predicted by Model-I and Model-II. Model-I shows the relative error of 4.6 to 14.3 percent which is an acceptable range of error in view of engineering purpose. Model-II shows 3 to 16.7 percent of relative error which is a little larger than the one from the Model-I. 10. Comparing two models, the followings are concluded: Model-I established on the theoretical background can predict with a satisfiable reliability far practical use provided that forecasted meteorological data are available. On the other hand, Model-II was superior to Model-I in it's simplicity, but it needs long period and wide scope of observed data to predict acceptable soil moisture content. Further studies are needed on the Model-II to make it acceptable in practical use.

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