• The Korean Journal of Financial Studies
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• v.3 no.1
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• pp.115-140
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• 1996

이 논문(論文)은 효용함수가 감소절대위험회피(DARA)와 일정상대위험회피(CRRA)의 성격을 갖는 멱함수라는 가정 하에 투자자의 상대위험외피계수(相對危險回避係數)를 추정하였으며 추정된 상대위험회피계수를 이용하여 효용기준 자산가격결정모형의 기대수익률과 위험의 선형관계를 실증적으로 분석하였다. 상대위험회피계수(相對危險回避係數)(RRA)는 실제 소비자료를 이용하는 방법과 시장수익률을 이용하는 두 가지 방법에 의해 추정하였다. 실증적(實證的) 연구결과(硏究結果), 첫째 한국증권시장에서 투자자의 상대위험회피계수는 3과 4 사이에 존재하는 것으로 나타나 투자자의 효용함수가 멱함수 형태임이 확인되었다. 둘째 효용함수를 멱함수 이외 다른 2개 (2차형 함수, 대수함수)의 함수로 가정하고 효용기준 자산가격결정모형을 검증한 결과 멱함수 하에서만 자산의 기대수익률과 위험간에는 선형관계(線形關係)가 성립하는 것으로 나타났다.

• Journal of Korean Society of Transportation
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• v.27 no.2
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• pp.157-168
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• 2009

The random utility theory and the multinomial logit model (including a more recent variant--the mixed multinomial logit) derived from it have constituted a back bone for theoretical and empirical analyses of various travel demand features including mode choice. In their empirical applications, however, it is customary to specify random utilities which are linear in modal attributes such as time and cost, and in socio-economic variables. The linearity helps easy derivation of important information such as value of travel time savings by calculating marginal rate of substitution between time and cost. In this paper the author focuses on the very linearity of the random utilities. Taking into account the fact that the mode chooser is also labour supplier, commodity consumer as well as leisure-seeker, the author sets up a maximization model of the traveller, which encompasses various economic activities of the traveller. The author derive from the model the indifference curve defined on the space of modal attributes, time and cost and investigate under what conditions the random utility of the traveller becomes linear. It turns out that there exist the conditions under which the random utility is really linear in modal attributes, but the property does not hold when the traveller has a corner solution on the space of modal attributes, or when the primary utility function of the traveller is directly affected by labour provided and/or the travel time itself. As a corollary of the analysis, a random utility is suggested, approximated up to the second order of the variables involved for empirical studies of the field.

• Journal of the Korea Society of Computer and Information
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• v.3 no.2
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• pp.7-18
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• 1998

In this paper, we develop three context-dependent resource allocation models to maximize user satisfaction in terms of software quality. Those models are formulated on the grounds that human resources are dominant In a software development project while taking into account managerial quality constraints of the system. The satisfaction function on exerted resources plays a key linking pin between the two sides, and its functioning forms bring about different solution methods. In addition to a basic linear model, an extension model is formulated so that it may be applicable to the situation of multiple-goal settings. Finally, non-linear model is given the solving optimization algorithm developed and proved in this paper.

• Journal of the Korean Institute of Intelligent Systems
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• v.15 no.2
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• pp.185-190
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• 2005

A systematic output tracking control design technique for robust control of Takagi-Sugeno (T-S) fuzzy systems with norm bounded uncertainties is developed. The uncertain T-S fuzzy system is first represented as a set of uncertain local linear systems. The tracking problem is then converted into the stabilization problem for a set of uncertain local linear systems thereby leading to a more feasible controller design procedure. A sufficient condition for robust asymptotic output tracking is derived in terms of a set of linear matrix inequalities. A stability condition on the traversing time instances is also established. The output tracking control simulation for a flexible-joint robot-arm model is demonstrated, to convincingly show the effectiveness of the proposed system modeling and controller design.

• Journal of the Korean Institute of Intelligent Systems
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• v.21 no.5
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• pp.630-636
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• 2011

This paper is concerned with the stability analysis and stabilization for the Takagi-Sugeno(T-S) fuzzy systems with parametric uncertainties. To reduce conservativeness in stability analysis for T-S fuzzy systems, fuzzy Lyapunov functions are used. Stability analysis is performed and robust fuzzy controller is designed for stabilization of the system with parametric uncertainties. The stability and stabilization conditions are formulated in terms of linear matrix inequalities (LMIs). Finally, simulation example is presented to show the effectiveness of the proposed approach.

• The Korean Journal of Applied Statistics
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• v.20 no.3
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• pp.573-584
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• 2007

A well estimated probability of default is most important for constructing a good credit scoring process. The maximum expected utility (MEU) model has been suggested as an alternative of the traditional logistic regression model. Because the MEU model has been constructed using financial data arising from North America and European countries, the MEU model may not be suitable to Korean private firms. Thus, we propose a Korea-specific MEU model by estimating the parameters involved in kernel functions. This Korea-specific MEU model is illustrated using 34,057 private firms to show the performance of the MEU model relative to the usual logistic regression model.

• Proceedings of the KIEE Conference
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• 2006.07a
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• pp.311-312
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• 2006

본 논문에서는 선로 전력조류제약을 고려한 경제급전(SCED : Security-Constrained economic dispatch)에 내점 선형계획법을 이용하여 최적해를 구하는 문제를 다룬다. 최적전력조류(Optimal Power Flow)식으로부터 선로의 유효전력만을 근사화하여 선로 전력조류 제약을 고려할 경제급전(SCED)의 식을 정식화한다. 선형계획법을 적용하여 최적해를 구하기 위해서 발전기출력과 유효전력, 부하, 손실과의 관계를 이용하여 경제급전의 식을 선형화 하는 알고리즘을 제시한다. 선형화 알고리즘은 목적함수로 계통 발전기의 총 연료비를 취하고 전력수급평형식으로 발전기출력증분에 대한 선로의 증분손실계수를 이용하며, 선로의 제약조건은 일반화발전 분배계수(GGDF : Generalized Generation Distribution Factor)를 이용하여 선형화한다. 최적화 기법으로서 내점법(Interior Point Method)을 적용하고자 하며 사례연구를 통하여 선형계획법 중 가장 많이 사용하는 심플렉스(Simplex)법과의 수렴특성을 비교하여 내점 법의 효용성을 확인하고자 한다.

• Journal of Radiation Protection and Research
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• v.29 no.1
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• pp.65-71
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• 2004

A multi-attribute utility analysis was investigated as a tool for the decision support of countermeasures in early phase of a nuclear accident. The utility function of attributes was assumed to be the second order polynomial expressions, and the weighting constant of attributes was determined using a swing weighting method. Because the main objective of this study focuses on the applicability of a multi-attribute utility analysis as a tool for the decision support of countermeasures in early phase of a nuclear accident, less quantifiable attributes were not included due to lack of information. In postulated accidental scenarios for the application of the designed methodology, the variation of the numerical values of total utility for the considered actions, e.g. sheltering, evacuation and no action, was investigated according to the variation of attributes. As a result, it was shown that the numerical values of total utility for the actions are distinctly different depending on the exposure dose and monetary value of dose. As increasing in both attributes, the rank of the numerical values of total utility increased for evacuation, which is more extreme action than for sheltering, while that of no action decreased. As expected probability of high dose is higher, the break-even values for the monetary value of dose, which are the monetary value of dose when the ranking of actions is changed, were lower. In audition, as aversion psychology for dose is higher, the break-even values for dose were lower.

• Journal of Korean Society of Transportation
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• v.26 no.1
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• pp.113-126
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• 2008

This research aims to explore the effects of multicollinearity on the reliability and goodness of fit of logit model. To investigate the effects of multicollinearity on the multinominal logit model, numerical experiments are performed. The exploratory variables(attributes of utility functions) which have a certain degree of correlations from (rho=) 0.0 to (rho=) 0.9 are generated and rho-squares and t-statistics which are the indices of goodness of fit and reliability of logit model are traced. From the well designed numerical experiments, following findings are validated : 1) When a new exploratory variable is added, some of rho-squares increase while the others decrease. 2) The higher relations between generic variables lead a logit model worse with respect to goodness of fit. 3) Multicollinearity has a tendency to produce over-evaluated parameters. 4) The reliability of the estimated parameter has a tendency to decrease when the correlations between attributes are high. These results suggest that we have to examine the existence of multicollinearity and perform the proper treatments to diminish multicollinearity when we develop logit model.

• Journal of Korean Institute of Industrial Engineers
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• v.6 no.2
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• pp.21-29
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• 1980

This paper deals with the capital budgeting problem of a firm where investments are risky and interrelated. The established models might be classified into two categories; One is the chance-constrained programming model and the other is the expected utility maximization model. The former has a rather limited objective function and does not consider the risk in direct manner. The latter, on the other hand, might lead to a wrong decision because it uses an approximate value of expected utility. This paper attempts to extend the applicability of the chance-constrained programming model by modifying its objective function into a more general form. The capital budgeting problem is formulated as a nonlinear 0-1 integer programming problem first, and is formulated into a linear 0-1 integer programming problem for finding a lower-bound solution of the original problem. The optimal solution of the original problem is then obtained by branch & bound algorithm.