• Geomechanics and Engineering
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• 제14권6호
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• pp.589-600
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• 2018

For foundations in permafrost regions, the displacement characteristics are uncertain because of the randomness of temperature characteristics and mechanical parameters, which make the structural system have an unexpected deviation and unpredictability. It will affect the safety of design and construction. In this paper, we consider the randomness of temperature characteristics and mechanical parameters. A stochastic analysis model for the uncertain displacement characteristic of foundations is presented, and the stochastic coupling program is compiled by Matrix Laboratory (MATLAB) software. The stochastic displacement fields of an embankment in a permafrost region are obtained and analyzed by Neumann stochastic finite element method (NSFEM). The results provide a new way to predict the deformation characteristics of foundations in permafrost regions, and it shows that the stochastic temperature has a different influence on the stochastic lateral displacement and vertical displacement. Construction disturbance and climate warming lead to three different stages for the mean settlement of characteristic points. For the stochastic settlement characteristic, the standard deviation increases with time, which imply that the results of conventional deterministic analysis may be far from the true value. These results can improve our understanding of the stochastic deformation fields of embankments and provide a theoretical basis for engineering reliability analysis and design in permafrost regions.

• Communications for Statistical Applications and Methods
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• 제26권2호
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• pp.205-216
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• 2019

Diagnostic tests in medical fields detect or diagnose a disease with results measured by continuous or discrete ordinal data. The performance of a diagnostic test is summarized using the receiver operating characteristic (ROC) curve and the area under the curve (AUC). The diagnostic test is considered clinically useful if the outcomes in actually-positive cases are higher than actually-negative cases and the ROC curve is concave. In this study, we apply the stochastic ordering method in a Bayesian hierarchical model to estimate the proper ROC curve and AUC when the diagnostic test results are measured in discrete ordinal data. We compare the conventional binormal model and binormal model under stochastic ordering. The simulation results and real data analysis for breast cancer indicate that the binormal model under stochastic ordering can be used to estimate the proper ROC curve with a small bias even though the sample sizes were small or the sample size of actually-negative cases varied from actually-positive cases. Therefore, it is appropriate to consider the binormal model under stochastic ordering in the presence of large differences for a sample size between actually-negative and actually-positive groups.

• 대한전자공학회논문지
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• 제18권2호
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• pp.44-53
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• 1981

Stochastic feference를 가진 두개의 양자화 시스템을 분석하고 비교하였다. 양자화된 출력신호에 대하여 invariance 성격을 갖기 위한 조건이 서로 같다는 것이 보여졌다. Stochastic fererence 신호를 이용한 polarity coincidence 방법에 의한 상관관계 함수 추정이 여기서 구한 일반적 성질의 특수한 경우이다. 과거의 stochastic computing은 여기서 고려한 첫 번째 system으로부터 나오고 그리고 LG Robert가 이용한 특성은 두 번째 시스템의 일반적 성질의 특수한 경우를 이용했다는 것을 보였다.

• 대한수학회논문집
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• 제26권4호
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• pp.669-684
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• 2011

In this note, we obtain the expression of the characteristic fucntion of the random variable $\int_o^TB_s^{{\alpha},{\beta}}dB_s^{H,K}$, where $B^{{\alpha},{\beta}}$ and $B^{H,K}$ are two independent bifractional Brownian motions with indices ${\alpha}{\in}(0,1),{\beta}{\in}(0, 1]$ and $HK{\in}(\frac{1}{2},\;1)$ respectively.

• Structural Engineering and Mechanics
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• 제3권4호
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• pp.313-324
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• 1995

Flexible cantilever pipes conveying fluids with high velocity are analysed for their dynamic response and stability behaviour. The Young's modulus and mass per unit length of the pipe material have a stochastic distribution. The stochastic fields, that model the fluctuations of Young's modulus and mass density are characterized through their respective means, variances and autocorrelation functions or their equivalent power spectral density functions. The stochastic non self-adjoint partial differential equation is solved for the moments of characteristic values, by treating the point fluctuations to be stochastic perturbations. The second-order statistics of vibration frequencies and mode shapes are obtained. The critical flow velocity is first evaluated using the averaged eigenvalue equation. Through the eigenvalue equation, the statistics of vibration frequencies are transformed to yield critical flow velocity statistics. Expressions for the bounds of eigenvalues are obtained, which in turn yield the corresponding bounds for critical flow velocities.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제21권4호
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• pp.295-305
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• 2014

Yan & Hanson [8] and Makate & Sattayatham [6] extended Bates' model to the stochastic volatility model with jumps in both the stock price and the variance processes. As the solution processes of finding the characteristic function, they sought such a function f satisfying $$f({\ell},{\nu},t;k,T)=exp\;(g({\tau})+{\nu}h({\tau})+ix{\ell})$$. We add the term of order ${\nu}^{1/2}$ to the exponent in the above equation and seek the explicit solution of f.

• 전기학회논문지
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• 제59권9호
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• pp.1600-1604
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• 2010

This paper presents the optimum design of the brushless motor to maximize the output power per weight considering the design parameter tolerance. The optimization is proceeded by commercial software that is adopted the scatter-search algorithm and the characteristic analysis is conducted by FEM. The stochastic optimum design results are compared with those of the deterministic optimization method. We can verify that the results of the stochastic optimization is superior than that of deterministic optimization.

• Structural Engineering and Mechanics
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• 제28권4호
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• pp.373-386
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• 2008

In this study stochastic analysis of non-linear dynamical systems under ${\alpha}$-stable, multiplicative white noise has been conducted. The analysis has dealt with a special class of ${\alpha}$-stable stochastic processes namely sub-Gaussian white noises. In this setting the governing equation either of the probability density function or of the characteristic function of the dynamical response may be obtained considering the dynamical system forced by a Gaussian white noise with an uncertain factor with ${\alpha}/2$- stable distribution. This consideration yields the probability density function or the characteristic function of the response by means of a simple integral involving the probability density function of the system under Gaussian white noise and the probability density function of the ${\alpha}/2$-stable random parameter. Some numerical applications have been reported assessing the reliability of the proposed formulation. Moreover a proper way to perform digital simulation of the sub-Gaussian ${\alpha}$-stable random process preventing dynamical systems from numerical overflows has been reported and discussed in detail.

• 대한수학회지
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• 제57권5호
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• pp.1167-1186
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• 2020

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possesses the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirm that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.

• 한국정보통신학회논문지
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• 제25권8호
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• pp.1082-1087
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• 2021

노드 이동 모델은 활용 서비스 및 목적에 따라 제안되어야 한다. 현재 가장 널리 활용되는 무작위 이동 모델은 간편하고 구현하기가 쉽다는 장점이 있다. 이 모델에서 노드 이동 특성은 이동 속도와 이동 방향을 무작위 속성으로 처리하며, 매번 노드들의 이동이 서로 독립적으로 발생한다. 본 논문에서는 모바일 애드혹 네트워크 이동 환경에서 적용 가능한 확률론적인 이동 모델을 제안한다. 제안 확률 이동 모델에서는 네트워크의 전체 노드 이동 특성을 표현하기 위하여 이동하는 노드 수와 노드 이동 거리가 특정 확률 분포 특성을 가지도록 랜덤 변수로 처리한다. 또한, 제안 이동 모델을 대표적인 무작위 이동 모델과 비교하여 노드들의 이동 변화에 안정적인 특성을 나타냄을 보이고, 기존 라우팅 프로토콜에 제안 모델을 적용하여 에너지 소비 효율 측면에서 향상된 특성을 보임을 확인한다.