• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.244-248
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• 2012

We present a simple numerical method for pricing American put options under a constant elasticity of variance (CEV) model. Our analysis is done in a general framework where only the risk-neutral transition density of the underlying asset price is given. We obtain an integral equation of early exercise premium. By exploiting a modification of the integral equation, we propose a novel and simple numerical iterative valuation method for American put options.

• Journal of Communications and Networks
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• v.12 no.5
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• pp.475-479
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• 2010

The clipping value, defined as the log-likelihood ratio (LLR) in the case wherein all the list of candidates have the same binary value, is investigated, and an effective method to estimate it is presented for iterative tree search detection. The basic principle behind the method is that the clipping value of a channel bit is equal to the LLR of the maximum probability of correct decision of the bit to the corresponding probability of erroneous decision. In conjunction with multilevel bit mappings, the clipping value can be calculated with the parameters of the number of transmit antennas, $N_t$; number of bits per constellation point, $M_c$; and variance of the channel noise, $\sigma^2$, per real dimension in the Rayleigh fading channel. Analyses and simulations show that the bit error performance of the proposed method is better than that of the conventional fixed-value method.

• Journal of the Korean Operations Research and Management Science Society
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• v.10 no.1
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• pp.14-30
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• 1985

Recently, multiple criteria decision making has been well established as a practical approach to seek a satisfactory solution to a decision making problem. Goal programming is one of the most powerful MCDM tools with satisfying operational assumptions that reflect the actual decision making process in real-world situations. In this paper we propose an efficient method implemented on a microcomputer for solving linear goal programming problems. It is an iterative revised goal simplex method using the sparsity technique. We design as interactive software package for microcomputers based on this method. From some computational experiences, we can state that the revised iterative goal simplex method using the sparsity technique is the most efficient one for microcomputer for solving goal programming problems.

• Journal of Ocean Engineering and Technology
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• v.20 no.6 s.73
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• pp.61-66
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• 2006

Two iterative solvers are applied to solve the modified mild slope equation. The elliptic formulation of the governing equation is selected for numerical treatment because it is partly suited for complex wave fields, like those encountered inside harbors. The requirement that the computational model should be capable of dealing with a large problem domain is addressed by implementing and testing two iterative solvers, which are based on the Stabilized Bi-Conjugate Gradient Method (BiCGSTAB) and Generalized Conjugate Gradient Method (GCGM). The characteristics of the solvers are compared, using the results for Berkhoff's shoal test, used widely as a benchmark in coastal modeling. It is shown that the GCGM algorithm has a better convergence rate than BiCGSTAB, and preconditioning of these algorithms gives more than half a reduction of computational cost.

• International Journal of Naval Architecture and Ocean Engineering
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• v.7 no.1
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• pp.25-40
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• 2015

Understanding the effects of the parameters affecting the interaction of tandem hydrofoil system is a crucial subject in order to fully comprehend the aero/hydrodynamics of any vehicle moving inside a fluid. This study covers a parametric study on tandem hydrofoil interaction in both potential and viscous fluids using iterative Boundary Element Method (BEM) and RANSE. BEM allows a quick estimation of the flow around bodies and may be used for practical purposes to assess the interaction inside the fluid. The produced results are verified by conformal mapping and Finite Volume Method (FVM). RANSE is used for viscous flow conditions to assess the effects of viscosity compared to the inviscid solutions proposed by BEM. Six different parameters are investigated and they are the effects of distance, thickness, angle of attack, chord length, aspect ratio and tapered wings. A generalized 2-D code is developed implementing the iterative procedure and is adapted to generate results. Effects of free surface and cavitation are ignored. It is believed that the present work will provide insight into the parametric interference between hydrofoils inside the fluid.

• Ocean Systems Engineering
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• v.13 no.1
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• pp.1-20
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• 2023

An iterative focused wave generation method is developed and implemented in a local analytic based Navier-Stokes solver. This wave generation method is designed to reproduce the target focused wave by matching the target amplitude spectrum and phase angle. A 4-waves decomposition scheme is utilized to obtain the linearised component of the output wave. A model test studying the interaction between different focused waves and a fixed cylinder is selected as the target for the wave generation approach. The numerical wave elevations and dynamic pressure on the cylinder are compared with the experimental measurement and other state-of-the-art numerical methods' results. The overall results prove that the iterative adjustment method is able to optimize the focused wave generated by a CFD approach.

• Interaction and multiscale mechanics
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• v.1 no.2
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• pp.211-230
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• 2008

Owing to the growing size of the eigenvalue problem and the growing number of eigenvalues desired, solution methods of iterative nature are becoming more popular than ever, which however suffer from low efficiency and lack of proper convergence criteria. In this paper, three efficient iterative eigenvalue algorithms are considered, i.e., subspace iteration method, iterative Ritz vector method and iterative Lanczos method based on the cell sparse fast solver and loop-unrolling. They are examined under the mode error criterion, i.e., the ratio of the out-of-balance nodal forces and the maximum elastic nodal point forces. Averagely speaking, the iterative Ritz vector method is the most efficient one among the three. Based on the mode error convergence criteria, the eigenvalue solvers are shown to be more stable than those based on eigenvalues only. Compared with ANSYS's subspace iteration and block Lanczos approaches, the subspace iteration presented here appears to be more efficient, while the Lanczos approach has roughly equal efficiency. The methods proposed are robust and efficient. Large size tests show that the improvement in terms of CPU time and storage is tremendous. Also reported is an aggressive shifting technique for the subspace iteration method, based on the mode error convergence criteria. A backward technique is introduced when the shift is not located in the right region. The efficiency of such a technique was demonstrated in the numerical tests.

• Atmosphere
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• v.29 no.3
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• pp.241-255
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• 2019

Bias correction (BC) and quality control (QC) are essential steps for the proper use of satellite observations in data assimilation (DA) system. BC should be calculated over quality controlled observation. And also QC should be performed for bias corrected observation. In the Korea Institute of Atmospheric Prediction Systems (KIAPS) Package for Observation Processing (KPOP), we adopted an adaptive BC method that calculates the BC coefficients with background at the analysis time rather than using static BC coefficients. In this study, we have developed an iterative QC-BC method for Advanced Microwave Sounding Unit-A (AMSU-A) to reduce the negative feedback from the interaction between BC and QC. The new iterative QC-BC is evaluated in the KIAPS 3-dimensional variational (3DVAR) DA cycle for January 2016. The iterative QC-BC method for AMSU-A shows globally significant benefits for error reduction of the temperature. The positive impacts for the temperature were predominant at latitudes of $30^{\circ}{\sim}90^{\circ}$ of both hemispheres. Moreover, the background warm bias across the troposphere is decreased. Even though AMSU-A is mainly designed for atmospheric temperature sounding, the improvement of AMSU-A pre-processing module has a positive impact on the wind component over latitudes of $30^{\circ}S$ near upper-troposphere, respectively. Consequently, the 3-day-forecast-accuracy is improved about 1% for temperature and zonal wind in the troposphere.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.12 no.10
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• pp.4835-4855
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• 2018

In this paper, we study the sparse signal recovery that uses information of both support and amplitude of the sparse signal. A convergent iterative algorithm for sparse signal recovery is developed using Majorization-Minimization-based Non-convex Optimization (MM-NcO). Furthermore, it is shown that, typically, the sparse signals that are recovered using the proposed iterative algorithm are not globally optimal and the performance of the iterative algorithm depends on the initial point. Therefore, a modified MM-NcO-based iterative algorithm is developed that uses prior information of both support and amplitude of the sparse signal to enhance recovery performance. Finally, the modified MM-NcO-based iterative algorithm is used to estimate the time-varying sparse wireless channels with temporal correlation. The numerical results show that the new algorithm performs better than related algorithms.

• Genomics & Informatics
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• v.2 no.2
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• pp.92-98
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• 2004

A cDNA microarray experiment is one of the most useful high-throughput experiments in medical informatics for monitoring gene expression levels. Statistical analysis with a cDNA microarray medical data requires a normalization procedure to reduce the systematic errors that are impossible to control by the experimental conditions. Despite the variety of normalization methods, this. paper suggests a more general and synthetic normalization algorithm with a control gene set based on previous studies of normalization. Iterative normalization method was used to select and include a new control gene set among the whole genes iteratively at every step of the normalization calculation initiated with the housekeeping genes. The objective of this iterative normalization was to maintain the pattern of the original data and to keep the gene expression levels stable. Spatial plots, M&A (ratio and average values of the intensity) plots and box plots showed a convergence to zero of the mean across all genes graphically after applying our iterative normalization. The practicability of the algorithm was demonstrated by applying our method to the data for the human photo aging study.