• Communications for Statistical Applications and Methods
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• 제29권3호
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• pp.353-371
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• 2022

This paper analyzes death counts after World War II of several countries to identify and to compare their stochastic structures. The stochastic structures that this paper entertains are three structural time series models, a local level with a random walk model, a fixed local linear trend model and a local linear trend model. The structural time series models assume that a time series can be formulated directly with the unobserved components such as trend, slope, seasonal, cycle and daily effect. Random effect of each unobserved component is characterized by its own stochastic structure and a distribution of its irregular component. The structural time series models use the Kalman filter to estimate unknown parameters of a stochastic model, to predict future data, and to do filtering data. This paper identifies the best-fitted stochastic model for three types of death counts (Female, Male and Total) of each country. Two diagnostic procedures are used to check the validity of fitted models. Three criteria, AIC, BIC and SSPE are used to select the best-fitted valid stochastic model for each type of death counts of each country.

• 한국경영과학회지
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• 제41권3호
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• pp.23-36
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• 2016

We consider a model that minimizes the total cost incurred by assigning available weapons to existing targets in order to reduce enemy threats, which is called the weapon target assignment problem (WTAP). This study addresses the stochastic versions of WTAP, in which data, such as the probability of destroying a target, are given randomly (i.e., data are identified with certain probability distributions). For each type of random data or parameter, we provide a stochastic optimization model on the basis of the expected value or scenario enumeration. In particular, when the probabilities of destroying targets depending on weapons are stochastic, we present a stochastic programming formulation with a simple recourse. We show that the stochastic model can be transformed into a deterministic equivalent mixed integer programming model under a certain discrete probability distribution of randomness. We solve the stochastic model to obtain an optimal solution via the mixed integer programming model and compare this solution with that of the deterministic model.

• 산업경영시스템학회지
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• 제23권54호
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• pp.87-95
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• 2000

To constuct the stochastic model for performance evaluation of Multi-AGV, two aspects must be considered. The first is stochastic situation for moving jobs. The second is the dispatching rule of AGV. In this paper, the stochastic model for performance evaluation of Multi-AGV is developed. The case of stochastic model with two AGV is developed. But it difficult to solve in the case of stochastic model with more than three AGV because the model have three-ordered equations. The evaluation factor of the model is utilization and empty travel time of AGV. Using these factors, one can easily evaluate a wide range of handling and layout alternatives from given flow data. Hence, the model would be most effective when used in the early stage of designing to narrow down the number of alternative prior to simuation.

• Nuclear Engineering and Technology
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• 제43권6호
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• pp.523-530
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• 2011

In a previous study, the stochastic space-dependent kinetics model (SSKM) based on the forward stochastic model in stochastic kinetics theory and the Ito stochastic differential equations was proposed for treating monoenergetic space-time nuclear reactor kinetics in one dimension. The SSKM was tested against analog Monte Carlo calculations, however, for exemplary cases of homogeneous slab reactors with only one delayed-neutron precursor group. In this paper, the SSKM is improved and evaluated with more realistic and complicated cases regarding several delayed-neutron precursor groups and heterogeneous slab reactors in which the extraneous source or reactivity can be introduced locally. Furthermore, the source level and the initial conditions will also be adjusted to investigate the trends in the variances of the neutron population and fission product levels across the reactor. The results indicate that the improved SSKM is in good agreement with the Monte Carlo method and show how the variances in population dynamics can be controlled.

• Journal of Communications and Networks
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• 제18권3호
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• pp.411-419
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• 2016

This article investigates the problem of distributed channel selection in opportunistic spectrum access networks from a perspective of interference minimization. The traditional physical (PHY)-layer interference model is for information theoretic analysis. When practical multiple access mechanisms are considered, the recently developed binary medium access control (MAC)-layer interference model in the previous work is more useful, in which the experienced interference of a user is defined as the number of competing users. However, the binary model is not accurate in mathematics analysis with poor achievable performance. Therefore, we propose a real-valued one called stochastic MAC-layer interference model, where the utility of a player is defined as a function of the aggregate weight of the stochastic interference of competing neighbors. Then, the distributed channel selection problem in the stochastic MAC-layer interference model is formulated as a weighted stochastic MAC-layer interference minimization game and we proved that the game is an exact potential game which exists one pure strategy Nash equilibrium point at least. By using the proposed stochastic learning-automata based uncoupled algorithm with heterogeneous learning parameter (SLA-H), we can achieve suboptimal convergence averagely and this result can be verified in the simulation. Moreover, the simulated results also prove that the proposed stochastic model can achieve higher throughput performance and faster convergence behavior than the binary one.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제11권6호
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• pp.3273-3308
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• 2017

Building appropriate trust evaluation models is an important research issue for security guarantee in social networks. Most of the existing works usually consider the trust values at the current time slot, and model trust as the stochastic variable. However, in fact, trust evolves over time, and trust is a stochastic process. In this paper, we propose a novel time-variant stochastic trust evaluation (TSTE) model, which models trust over time and captures trust evolution by a stochastic process. Based on the proposed model, we derive the time-variant bound of untrustworthy probability, which provides stochastic trust guarantee. On one hand, the time-variant trust level of each node can be measured by our model. Meanwhile, by tolerating nodes with relatively poor performance, our model can effectively improve the node resource utilization rate. Numerical simulations are conducted to verify the accuracy and consistency of the analytical bounds on distinguishing misbehaved nodes from normal ones. Moreover, simulation results on social network dataset show the tradeoff between trust level and resource utilization rate, and verify that the successful transmission rate can be improved by our model.

• 대한전기학회:학술대회논문집
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• 대한전기학회 1985년도 하계학술회의논문집
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• pp.127-130
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• 1985

A stochastic model to predict radio interference field as caused by corona discharges on high voltage transmission lines has been developed. This model is based on corona discharge distributed randomly in time and space. A stochastic model for the corona current induced by corona discharges on power lines is proposed. On the basis of the proposed corona current model, a rigorous analysis is presented to evaluate the radio interference (RI) field caused by corona discharges on a single conductor using the stochastic method.

• 한국국방경영분석학회지
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• 제31권2호
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• pp.28-44
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• 2005

The previous studies approach the field artillery fire scheduling problem as deterministic and do not explicitly include information on the potential scenario changes. Unfortunately, the effort used to optimize fire sequences and reduce the total time of engagement is often inefficient as the collected military intelligence changes. Instead of modeling the fire sequencing problem as deterministic model, we consider a stochastic artillery fire scheduling model and devise a solution methodology to integrate possible enemy attack scenarios in the evaluation of artillery fire sequences. The goal is to use that information to find robust solutions that withstand disruptions in a better way, Such an approach is important because we can proactively consider the effects of certain unique scheduling decisions. By identifying more robust schedules, cascading delay effects will be minimized. In this paper we describe our stochastic model for the field artillery fire sequencing problem and offer revised robust stochastic model which considers worst scenario first. The robust stochastic model makes the solution more stable than the general two-stage stochastic model and also reduces the computational cost dramatically. We present computational results demonstrating the effectiveness of our proposed method by EVPI, VSS, and Variances.

• 대한수학회보
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• 제40권4호
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• pp.677-683
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• 2003

In multi-allelic model $X\;=\;(x_1,\;x_2,\;\cdots\;,\;x_d),\;M_f(t)\;=\;f(p(t))\;-\;{\int_0}^t\;Lf(p(t))ds$ is a P-martingale for diffusion operator L under the certain conditions. In this note, we examine the stochastic differential equation for model X and find the properties using stochastic differential equation.

• 대한수학회보
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• 제56권5호
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• pp.1129-1141
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• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.