• KIEE International Transaction on Systems and Control
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• v.2D no.2
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• pp.97-107
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• 2002

In this paper, we propose the concept of orthonormalized compressed measurement for the stability analysis of discrete linear time-varying Kalman filters. Unlike previous studies that deal with the homogeneous portion of Kalman filters, the proposed Lyapunov method directly deals with the stochastically-driven system. The orthonorrmalized compressed measurement provides information on the a priori state estimate of the Kalman filter at the k-th step that is propagated from the a posteriori state estimate at the previous block of time. Since the complex multiple-step propagations of a candidate Lyapunov function with process and measurement noises can be simplified to a one-step Lyapunov propagation by the orthonormalized compressed measurement, a stochastic radius of attraction can be derived that would be impractically difficult to obtain by the conventional multiple-step Lyapunov method.

• Journal of applied mathematics & informatics
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• v.17 no.1_2_3
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• pp.519-536
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• 2005

The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ibanez and Zapareto [14] to the problem of American option pricing when the jumps are allowed. Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.

• International Journal of Control, Automation, and Systems
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• v.1 no.3
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• pp.358-367
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• 2003

We consider discrete-time factorial Markov Decision Processes (MDPs) in multiple decision-makers environment for infinite horizon average reward criterion with a general joint reward structure but a factorial joint state transition structure. We introduce the "localization" concept that a global MDP is localized for each agent such that each agent needs to consider a local MDP defined only with its own state and action spaces. Based on that, we present a gradient-ascent like iterative distributed algorithm that converges to a local optimal solution of the global MDP. The solution is an autonomous joint policy in that each agent's decision is based on only its local state.cal state.

• Journal of the Institute of Electronics Engineers of Korea CI
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• v.45 no.5
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• pp.125-133
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• 2008

In this paper, we propose active queue management mechanism (Active-WRED) to guarantee quality of the high priority service class in multi-class traffic service environment. In congestion situation, this mechanism increases drop probability of low priority traffic and reduces the drop probability of the high priority traffic, therefore it can improve the quality of the high priority service. In order to analyze the performance of our mechanism we introduce the stochastic analysis of a discrete-time queueing systems for the performance evaluation of the Active Queue Management (AQM) based congestion control mechanism called Weighted Random Early Detection (WRED) using a two-state Markov-Modulated Bernoulli arrival process (MMBP-2) as the traffic source. A two-dimensional discrete-time Harkov chain is introduced to model the Active-WRED mechanism for two traffic classes (Guaranteed Service and Best Effort Service) where each dimension corresponds to a traffic class with its own parameters.

• Journal of the Korean Institute of Intelligent Systems
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• v.13 no.3
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• pp.293-299
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• 2003

This paper discusses a design of intelligent controller with time delay for Internet-based remote control. The finite Markovian process is adopted to model the input delay of the overall control system. It is assumed that the zero and hold devices are used for control input. The Takagi-Sugeno (T-S) fuzzy system with uncertain input delay is utilized to represent nonlinear plant. The continuous-time T-S fuzzy system with the Markovian input delay is discretized for easy handling delay, accordingly, the discretized T-S fuzzy system is represented by a discrete-time T-S fuzzy system with jumping parameters. The robust stochastic stabilizibility of the jump T-S fuzzy system is derived and formulated in terms of linear matrix inequalities (LMIs). An experimental results is provided to visualize the feasibility of the proposed method.

• Nuclear Engineering and Technology
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• v.25 no.4
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• pp.529-538
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• 1993

A stochastic way using continuous time Markov process is presented to model the one-dimensional nuclide transport in fractured rock matrix as an extended study for previous work ［1］. A nuclide migration model by the continuous time Markov process for single planar fractured rock matrix, which is considered as a transient system where a process by which the nuclide is diffused into the rock matrix from the fracture may be no more time homogeneous, is compared with a conventional deterministic analytical solution. The primary desired quantities from a stochastic model are the expected values and variance of the state variables as a function of time. The time-dependent probability distributions of nuclides are presented for each discretized compartment of the medium given intensities of transition. Since this model is discrete in medium space, parameters which affect nuclide transport could be easily incorporated for such heterogeneous media as the fractured rock matrix and the layered porous media. Even though the model developed in this study was shown to be sensitive to the number of discretized compartment showing numerical dispersion as the number of compartments are decreased, with small compensating of dispersion coefficient, the model agrees well to analytical solution.

• Convergence Security Journal
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• v.8 no.1
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• pp.91-100
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• 2008

The previous works in sensor networks security have focused on the aspect of confidentiality, authentication and integrity based on cryptographic primitives. There has been no prior work to assess the survivability in systematic way. Accordingly, this paper presents a survivability model of wireless sensor networks using software rejuvenation for dual adaptive cluster head. The survivability model has state transition to reflect status of real wireless sensor networks. In this paper, we only focus on a survivability model which is capable of describing cluster head compromise in the networks and able to switch over the redundant cluster head in order to increase the survivability of that cluster. Second, this paper presents how to enhance the survivability of sensor networks using software rejuvenation methodology for dual cluster head in wireless sensor network. We model and analyze each cluster as a stochastic process based on Semi Markov Process (SMP) and Discrete Time Markov Chain (DTMC). The proof of example scenarios and numerical analysis shows the feasibility of our approach.

• Journal of Korean Society of Transportation
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• v.22 no.4 s.75
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• pp.147-158
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• 2004

A class of SWP(Stochastic Wane Propagation) models microscopically mimics individual vehicles' stochastic behavior and traffic jam propagation with simplified car-following models based on CA(Cellular Automata) theory and macroscopically captures dynamic traffic flow relationships based on statistical physics. SWP model, a program-oriented model using both discrete time-space and integer data structure, can simulate a huge road network with high-speed computing time. However, the model has shortcomings to both the capturing of low speed within a jam microscopically and that of the density and back propagation speed of traffic congestion macroscopically because of the generation of spontaneous jam through unrealistic collision avoidance. In this paper, two additional rules are integrated into the NaSch model. The one is SMR(Stopping Maneuver Rule) to mimic vehicles' stopping process more realistically in the tail of traffic jams. the other is LAR(Low Acceleration Rule) for the explanation of low speed characteristics within traffic jams. Therefore, the CA car-following model with the two rules prevents the lockup condition within a heavily traffic density capturing both the stopping maneuver behavior in the tail of traffic jam and the low acceleration behavior within jam microscopically, and generates more various macroscopic traffic flow mechanism than NaSch model's with the explanation of propagation speed and density of traffic jam.

• Journal of the Institute of Electronics Engineers of Korea TC
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• v.38 no.10
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• pp.34-40
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• 2001

Ultra Wide Band (UWB) system uses wide band signal, which power spectral density is over all band, It likes as a noise floor, so UWB system can be used without interfering with other communication system. For the first time, we adopted Rayleigh mono pulse antipodal signal which had symmetric characteristic and zero mean. With the power spectral density using stochastic process, we knew that the antipodal signaling scheme removed discrete spectrum and concluded that this had much better spectral suppression, probability of error and data rate than PPM (Pulse Positioning Modulation).

• KSCE Journal of Civil and Environmental Engineering Research
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• v.31 no.6D
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• pp.785-791
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• 2011

Two-lane and two-way traffic flow shows various dynamic relationships according to the behaviors of low-speed vehicle and overtaking. And it is essential to develop a vehicle model which simultaneously explains the behaviors of low-speed vehicle and overtaking using opposite lane in order to microscopically analyze various two-lane and two-way traffic flows by traffic flow simulation. In Korea, some studies for car-following and lane-changing models for freeway or signalized road have been reported, but few researches for the development of vehicle model for two-lane and two-way highway have been done. Hence, a microscopic two-lane and two-way vehicle model was, in this study, developed with the consideration of overtaking process and is based on CA (Cellular Automata) which is one of discrete time-space models. The developed model is parallel combined with an adjusted CA car-following model and an overtaking model. The results of experimental simulation showed that the car-following model explained the various macroscopic relationships of traffic flow and overtaking model reasonably generated the various behaviors of macroscopic traffic flows under the conditions of both opposite traffic flow and stochastic parameter to consider overtaking. The vehicle model presented in this study is expected to be used for the simulation of more various two-lane, two-way traffic flows.