• ETRI Journal
• /
• 제34권2호
• /
• pp.272-275
• /
• 2012

This letter studies the problem of exploiting multichannel diversity in a spectrum sharing system, where the secondary user (SU) sequentially explores channel state information on the licensed channels with time consumption. To maximize the expected achievable throughput for the SU, we formulate this problem as an optimal stopping problem, whose objective is to choose the right channel to stop exploration based on the observed signal-to-noise ratio sequence. Moreover, we propose a myopic but optimal rule, called one-stage look-ahead rule, to solve the stopping problem.

• 한국경영과학회:학술대회논문집
• /
• 한국경영과학회 2005년도 추계학술대회 및 정기총회
• /
• pp.213-216
• /
• 2005

In this research, we explore how to manage the transition of technology generations considering incremental innovation of the existing technology generation. Firms can slow down decaying of the existing technology by continuous incremental improvements rather than introducing a new generation technology at the first time if the former strategy is better. We characterize optimal technology transition problem by setting up an optimal control model. The model which is originally designed and solved by Thompson(1968) as a ‘Machine maintenance problem’ has been cited to build the main body of our model. With this analytical model, we derive optimal ‘incremental innovation’ strategy which is considering transition to the next technology. Our analysis indicates that there exists an unique ‘stopping incremental innovation timing’. Before the point of time, the decision maker should make his effort at a maximum level to enhance the current technology. However from the stopping timing to the final time horizon where the new technology is introduced, it is found that not to invest to the current technology any more is optimal.

• 한국경영과학회지
• /
• 제1권1호
• /
• pp.147-150
• /
• 1976

Optimal stopping problem without recall from a multivariate distribution is solved by using the concept of an equilibrium point which was introduced by J. Nash. The solution is derived for the two cases: 1. The case where the observation cost C is positive and the given upper bound K on the number of observations is infinite. 2. The case where the observation cost C is zero and the given upper bound K on the number of observations is finite.

• Management Science and Financial Engineering
• /
• 제22권1호
• /
• pp.13-20
• /
• 2016

We investigate the optimal consumption and investment problem when a working debtor has an option to file for bankruptcy. By applying the duality approach, the closed-form solutions are obtained for the case of CRRA utility function. The optimal bankruptcy time is determined by the first hitting time when the financial wealth hits the wealth threshold derived from the optimal stopping time problem. Moreover, the numerical results show that the investment increases as the wealth approaches the threshold and the value gain from the bankruptcy option is vanished as wealth increases.

• 산업공학
• /
• 제24권4호
• /
• pp.295-303
• /
• 2011

This paper presents a discrete time optimal asset buying problem with a predetermined final deadline where an available budget is limited. A cost is paid to search for assets called the search cost. A seller who shows up offers a price for the asset and then the buyer decides whether or not to buy the asset by comparing the offered price to his optimal selection threshold. When the budget becomes less than the search cost or the price of the asset the buyer can get a necessary loan with some interests. We clarify the properties of the buyer's optimal selection threshold in order to maximize the expected value of budget which is left after paying all the search costs and the price of the asset at that point in time.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제4권2호
• /
• pp.11-20
• /
• 2000

This paper presents a formula that relates the optimal exercise boundaries of American call and put options on futures contract. It is shown that the geometric mean of the optimal exercise boundaries for call and put written on the same futures contract with the same exercise price is equal to the exercise price which is time invariant. The paper also investigates the properties of American calls and puts on futures contract.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• 제14권11호
• /
• pp.4372-4394
• /
• 2020

The distribution of popular videos incurs a large amount of traffic at the base stations (BS) of networks. Device-to-multi-device (D2MD) communication has emerged an efficient radio access technology for offloading BS traffic in recent years. However, traditional studies have focused on synchronous user requests whereas asynchronous user requests are more common. Hence, offloading BS traffic in case of asynchronous user requests while considering their time-varying characteristics and the quality of experience (QoE) of video request users (VRUs) is a pressing problem. This paper uses social stability (SS) and video loading duration (VLD)-tolerant property to group VRUs and seed users (SUs) to offload BS traffic. We define the average amount of data transmission (AADT) to measure the network's capacity for offloading BS traffic. Based on this, we formulate a time-varying bipartite graph matching optimization problem. We decouple the problem into two subproblems which can be solved separately in terms of time and space. Then, we propose the socially aware D2MD user selection (SA-D2MD-S) algorithm based on finite horizon optimal stopping theory, and propose the SA-D2MD user matching (SA-D2MD-M) algorithm to solve the two subproblems. The results of simulations show that our algorithms outperform prevalent algorithms.

• 한국경영과학회지
• /
• 제14권1호
• /
• pp.59-71
• /
• 1989

This practical paper puts existing optimal stopping rules for various asset selling situations into a coherent perspective, using simple non-measure theoretical terms. It also provides analytical or numerical solutions when the price offers are beta distributed.

• Journal of the Korean Statistical Society
• /
• 제10권
• /
• pp.128-139
• /
• 1981

The Bayesian sequential estimation problem for k parameters exponential families is considered using loss related to the Fisher information. Tractable expressions for the Bayes estimator and the posterior expected loss are found, and the myopic or one-step-ahead stopping rule is defined. Sufficient conditions are given for optimality of the myopic procedure, and the myopic procedure is shown to be asymptotically optimal in all cases considered.

• 대한안전경영과학회:학술대회논문집
• /
• 대한안전경영과학회 2008년도 추계학술대회
• /
• pp.35-39
• /
• 2008

This paper considers the sequencing of products in mixed model assembly lines. The sequence which minimizes overall utility work in car assembly lines reduce the cycle time, the number of utility workers, and the risk of conveyor stopping. The sequencing problem is solved using Tabu Search. Tabu Search is a heuristic method which can provide a near optimal solution in real time. Various examples are presented and experimental results are reported to demonstrate the efficiency of the technique.