• 대한수학회보
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• 제55권4호
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• pp.1303-1315
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• 2018

For principal component analysis (PCA) to efficiently analyze large scale matrices, it is crucial to find a few singular vectors in cheaper computational cost and under lower memory requirement. To compute those in a fast and robust way, we propose a new stochastic method. Especially, we adopt the stochastic variance reduced gradient (SVRG) method [11] to avoid asymptotically slow convergence in stochastic gradient descent methods. For that purpose, we reformulate the PCA problem as a unconstrained optimization problem using a quadratic penalty. In general, increasing the penalty parameter to infinity is needed for the equivalence of the two problems. However, in this case, exact penalization is guaranteed by applying the analysis in [24]. We establish the convergence rate of the proposed method to a stationary point and numerical experiments illustrate the validity and efficiency of the proposed method.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제14권11호
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• pp.4355-4371
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• 2020

Phase retrieval, recovering a signal from phaseless measurements, is generally considered to be an NP-hard problem. This paper adopts an amplitude-based nonconvex optimization cost function to develop a new stochastic gradient algorithm, named stochastic reweighted phase retrieval (SRPR). SRPR is a stochastic gradient iteration algorithm, which runs in two stages: First, we use a truncated sample stochastic variance reduction algorithm to initialize the objective function. The second stage is the gradient refinement stage, which uses continuous updating of the amplitude-based stochastic weighted gradient algorithm to improve the initial estimate. Because of the stochastic method, each iteration of the two stages of SRPR involves only one equation. Therefore, SRPR is simple, scalable, and fast. Compared with the state-of-the-art phase retrieval algorithm, simulation results show that SRPR has a faster convergence speed and fewer magnitude-only measurements required to reconstruct the signal, under the real- or complex- cases.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제25권4호
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• pp.162-172
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• 2021

This paper proposes stochastic methods to find an approximate solution for the L²-Wasserstein least squares problem of Gaussian measures. The variable for the problem is in a set of positive definite matrices. The first proposed stochastic method is a type of classical stochastic gradient methods combined with projection and the second one is a type of variance reduced methods with projection. Their global convergence are analyzed by using the framework of proximal stochastic gradient methods. The convergence of the classical stochastic gradient method combined with projection is established by using diminishing learning rate rule in which the learning rate decreases as the epoch increases but that of the variance reduced method with projection can be established by using constant learning rate. The numerical results show that the present algorithms with a proper learning rate outperforms a gradient projection method.

• 한국시뮬레이션학회논문지
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• 제10권2호
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• pp.61-74
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• 2001

The reliability evaluation of the large scale network becomes very complicate according to the growing size of network. Moreover if the reliability is not constant but follows probability distribution function, it is almost impossible to compute them in theory. This paper studies the network evaluation methods in order to overcome such difficulties. For this an efficient path set algorithm which seeks the path set connecting the start and terminal nodes efficiently is developed. Also, various variance reduction techniques are applied to compute the system reliability to enhance the simulation performance. As a numerical example, a large scale network is given. The comparisons of the path set algorithm and the variance reduction techniques are discussed.

• Structural Engineering and Mechanics
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• 제32권1호
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• pp.21-36
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• 2009

An importance sampling method is presented for computing the first passage probability of elasto-plastic structures under stochastic excitations. The importance sampling distribution corresponds to shifting the mean of the excitation to an 'adapted' stochastic process whose future is determined based on information only up to the present. A stochastic control approach is adopted for designing the adapted process. The optimal control law is determined by a control potential, which satisfies the Bellman's equation, a nonlinear partial differential equation on the response state-space. Numerical results for a single-degree-of freedom elasto-plastic structure shows that the proposed method leads to significant improvement in variance reduction over importance sampling using design points reported recently.

• 경영과학
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• 제31권1호
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• pp.49-61
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• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• 한국시뮬레이션학회논문지
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• 제9권4호
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• pp.67-75
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• 2000

Often system analysts are interested in the estimation of percentile for system performance. For instance, in PERT network system, the percentile that the project. Typically the control variate method is used to reduce the variability of mean response using the correlation between the response and the control variates with a little additional cost during the course of simulation. In the same spirit, we apply this method to estimate the percentile of project completion time in PERT system, and evaluate the efficiency of the controlled estimator for its percentile.1 Simulation results indicate that the controlled estimators are more effective in reducing the variances of estimators than the simple estimators, however those tend to a little underestimate the percentiles for some critical values. We need more simulation experiments to examine such a kind of bias problem. We expect this research presents a step forward in the area of variance reduction techniques of stochastic simulation.

• 한국컴퓨터그래픽스학회논문지
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• 제16권1호
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• pp.9-20
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• 2010

3차원 공간에 존재하는 반투명 물질을 물리 기반으로 렌더링하기 위해서 빛의 진행 경로를 작은 구간으로 나눈 후, 각 구간에 대하여 빛의 직접적인 영향, 산란으로 인한 영향, 반투명 물질안에서의 소멸 및 물질의 발광으로 인한 영향 등을 고려한 빛의 에너지를 계산하여 누적하는 방식을 사용한다. 이중 빛의 산란은 연속 공간에서 매우 복잡한 방식으로 작용하기 때문에 이의 시뮬레이션을 위해서 상당한 노력이 필요하다. 빛의 산란을 효과적으로 계산하기 위해 여러근사 방법들이 고안되었는데, 그중 볼륨 포톤매핑 기법은 빛이 간섭매체 내부에서 산란되는 효과를 단순화된 시뮬레이션으로 미리 계산하여두고 이를 검색해 효율적으로 렌더링 하는 방법을 사용한다. 이 방법은 주변에서 검색한 시뮬레이션 정보를 이용하기 위해서 밀도추정방법을 적용하는데, 시뮬레이션자료의분포에 따라서 검색에 따른 편차가 있을 수 있게된다. 또한 시뮬레이션된 자료만을 이용하여 산란효과를 반영하기 때문에 고밀도이지만 시뮬레이션이 충분하지 못한 위치에 대해서 방향성 있는 위상함수에 대한 특징을 잘 표현하지 못한다는 문제가있다. 이러한 문제를해결하고자 하는 노력의 일환으로, 본 논문에서는 입자형태로 시뮬레이션된 볼륨데이터에 대해 밀도추정방법의 하나인 커널스무딩을 이용하여 표현한 산란효과를 반투명물질 자료구조에 저장하고 이를 복원하는 방법을 제안하고, 실험결과 분석을 통하여 장단점을 분석한다.