• Title/Summary/Keyword: 커널방법

Search Result 526, Processing Time 0.02 seconds

Linear programming models using a Dantzig type risk for portfolio optimization (Dantzig 위험을 사용한 포트폴리오 최적화 선형계획법 모형)

  • Ahn, Dayoung;Park, Seyoung
    • The Korean Journal of Applied Statistics
    • /
    • v.35 no.2
    • /
    • pp.229-250
    • /
    • 2022
  • Since the publication of Markowitz's (1952) mean-variance portfolio model, research on portfolio optimization has been conducted in many fields. The existing mean-variance portfolio model forms a nonlinear convex problem. Applying Dantzig's linear programming method, it was converted to a linear form, which can effectively reduce the algorithm computation time. In this paper, we proposed a Dantzig perturbation portfolio model that can reduce management costs and transaction costs by constructing a portfolio with stable and small (sparse) assets. The average return and risk were adjusted according to the purpose by applying a perturbation method in which a certain part is invested in the existing benchmark and the rest is invested in the assets proposed as a portfolio optimization model. For a covariance estimation, we proposed a Gaussian kernel weight covariance that considers time-dependent weights by reflecting time-series data characteristics. The performance of the proposed model was evaluated by comparing it with the benchmark portfolio with 5 real data sets. Empirical results show that the proposed portfolios provide higher expected returns or lower risks than the benchmark. Further, sparse and stable asset selection was obtained in the proposed portfolios.

A Study on Atmospheric Data Anomaly Detection Algorithm based on Unsupervised Learning Using Adversarial Generative Neural Network (적대적 생성 신경망을 활용한 비지도 학습 기반의 대기 자료 이상 탐지 알고리즘 연구)

  • Yang, Ho-Jun;Lee, Seon-Woo;Lee, Mun-Hyung;Kim, Jong-Gu;Choi, Jung-Mu;Shin, Yu-mi;Lee, Seok-Chae;Kwon, Jang-Woo;Park, Ji-Hoon;Jung, Dong-Hee;Shin, Hye-Jung
    • Journal of Convergence for Information Technology
    • /
    • v.12 no.4
    • /
    • pp.260-269
    • /
    • 2022
  • In this paper, We propose an anomaly detection model using deep neural network to automate the identification of outliers of the national air pollution measurement network data that is previously performed by experts. We generated training data by analyzing missing values and outliers of weather data provided by the Institute of Environmental Research and based on the BeatGAN model of the unsupervised learning method, we propose a new model by changing the kernel structure, adding the convolutional filter layer and the transposed convolutional filter layer to improve anomaly detection performance. In addition, by utilizing the generative features of the proposed model to implement and apply a retraining algorithm that generates new data and uses it for training, it was confirmed that the proposed model had the highest performance compared to the original BeatGAN models and other unsupervised learning model like Iforest and One Class SVM. Through this study, it was possible to suggest a method to improve the anomaly detection performance of proposed model while avoiding overfitting without additional cost in situations where training data are insufficient due to various factors such as sensor abnormalities and inspections in actual industrial sites.

Flood Mapping Using Modified U-NET from TerraSAR-X Images (TerraSAR-X 영상으로부터 Modified U-NET을 이용한 홍수 매핑)

  • Yu, Jin-Woo;Yoon, Young-Woong;Lee, Eu-Ru;Baek, Won-Kyung;Jung, Hyung-Sup
    • Korean Journal of Remote Sensing
    • /
    • v.38 no.6_2
    • /
    • pp.1709-1722
    • /
    • 2022
  • The rise in temperature induced by global warming caused in El Nino and La Nina, and abnormally changed the temperature of seawater. Rainfall concentrates in some locations due to abnormal variations in seawater temperature, causing frequent abnormal floods. It is important to rapidly detect flooded regions to recover and prevent human and property damage caused by floods. This is possible with synthetic aperture radar. This study aims to generate a model that directly derives flood-damaged areas by using modified U-NET and TerraSAR-X images based on Multi Kernel to reduce the effect of speckle noise through various characteristic map extraction and using two images before and after flooding as input data. To that purpose, two synthetic aperture radar (SAR) images were preprocessed to generate the model's input data, which was then applied to the modified U-NET structure to train the flood detection deep learning model. Through this method, the flood area could be detected at a high level with an average F1 score value of 0.966. This result is expected to contribute to the rapid recovery of flood-stricken areas and the derivation of flood-prevention measures.

Predicting stock movements based on financial news with systematic group identification (시스템적인 군집 확인과 뉴스를 이용한 주가 예측)

  • Seong, NohYoon;Nam, Kihwan
    • Journal of Intelligence and Information Systems
    • /
    • v.25 no.3
    • /
    • pp.1-17
    • /
    • 2019
  • Because stock price forecasting is an important issue both academically and practically, research in stock price prediction has been actively conducted. The stock price forecasting research is classified into using structured data and using unstructured data. With structured data such as historical stock price and financial statements, past studies usually used technical analysis approach and fundamental analysis. In the big data era, the amount of information has rapidly increased, and the artificial intelligence methodology that can find meaning by quantifying string information, which is an unstructured data that takes up a large amount of information, has developed rapidly. With these developments, many attempts with unstructured data are being made to predict stock prices through online news by applying text mining to stock price forecasts. The stock price prediction methodology adopted in many papers is to forecast stock prices with the news of the target companies to be forecasted. However, according to previous research, not only news of a target company affects its stock price, but news of companies that are related to the company can also affect the stock price. However, finding a highly relevant company is not easy because of the market-wide impact and random signs. Thus, existing studies have found highly relevant companies based primarily on pre-determined international industry classification standards. However, according to recent research, global industry classification standard has different homogeneity within the sectors, and it leads to a limitation that forecasting stock prices by taking them all together without considering only relevant companies can adversely affect predictive performance. To overcome the limitation, we first used random matrix theory with text mining for stock prediction. Wherever the dimension of data is large, the classical limit theorems are no longer suitable, because the statistical efficiency will be reduced. Therefore, a simple correlation analysis in the financial market does not mean the true correlation. To solve the issue, we adopt random matrix theory, which is mainly used in econophysics, to remove market-wide effects and random signals and find a true correlation between companies. With the true correlation, we perform cluster analysis to find relevant companies. Also, based on the clustering analysis, we used multiple kernel learning algorithm, which is an ensemble of support vector machine to incorporate the effects of the target firm and its relevant firms simultaneously. Each kernel was assigned to predict stock prices with features of financial news of the target firm and its relevant firms. The results of this study are as follows. The results of this paper are as follows. (1) Following the existing research flow, we confirmed that it is an effective way to forecast stock prices using news from relevant companies. (2) When looking for a relevant company, looking for it in the wrong way can lower AI prediction performance. (3) The proposed approach with random matrix theory shows better performance than previous studies if cluster analysis is performed based on the true correlation by removing market-wide effects and random signals. The contribution of this study is as follows. First, this study shows that random matrix theory, which is used mainly in economic physics, can be combined with artificial intelligence to produce good methodologies. This suggests that it is important not only to develop AI algorithms but also to adopt physics theory. This extends the existing research that presented the methodology by integrating artificial intelligence with complex system theory through transfer entropy. Second, this study stressed that finding the right companies in the stock market is an important issue. This suggests that it is not only important to study artificial intelligence algorithms, but how to theoretically adjust the input values. Third, we confirmed that firms classified as Global Industrial Classification Standard (GICS) might have low relevance and suggested it is necessary to theoretically define the relevance rather than simply finding it in the GICS.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
    • /
    • v.23 no.4
    • /
    • pp.147-168
    • /
    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

Feasibility Study of the Real-Time IMRT Dosimetry Using a Scintillation Screen (고감도 형광판을 이용한 실시간 선량측정 가능성 연구)

  • Lim Sang Wook;Yi Byong Yong;Ko Young Eun;Ji Young Hoon;Kim Jong Hoon;Ahn Seung Do;Lee Sang Wook;Shin Seong Soo;Kwon Soo-Il;Choi Eun Kyoung
    • Radiation Oncology Journal
    • /
    • v.22 no.1
    • /
    • pp.64-68
    • /
    • 2004
  • Purpose : To study the feasibility of verifying real-time 2-D dose distribution measurement system with the scintillation screen for the quality assurance. Materials and Methods : The water phantom consisted of a scintillation screen (LANEX fast screen, Kodak, USA) that was axially located in the middle of an acrylic cylinder with a diameter of 25 cm. The charge-coupled device (CCD) camera was attached to the phantom In order to capture the visible light from the scintillation screen. To observe the dose distribution In real time, the intensity of the light from the scintillator was converted to a dosage. The isodose contours of the calculations from RTP and those of the measurements using the scintillation screen were compared for the arc therapy and the Intensity modulated radiation therapy (IMRT). Results : The kernel, expressed as a multiplication of two error functions, was obtained in order to correct the sensitivity of the CCD of the camera and the scintillation screen. When comparing the calculated isodose and measured isodose, a discrepancy of less than 8 mm in the high dose region was observed. Conclusion : Using the 2-D dosimetry system, the relationship between the light and the dosage could be found, and real-time verification of the dose distribution was feasible.