• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.4
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.25 no.4
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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.

• Industrial Engineering and Management Systems
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• v.12 no.3
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• pp.244-253
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• 2013

In industries, shipping is an important issue in improving the forecasting accuracy of sales. This paper introduces a hybrid method and plural methods are compared. Focusing the equation of exponential smoothing method (ESM) that is equivalent to (1, 1) order autoregressive-moving-average (ARMA) model equation, a new method of estimating the smoothing constant in ESM had been proposed previously by us which satisfies minimum variance of forecasting error. Generally, the smoothing constant is selected arbitrarily. However, this paper utilizes the above stated theoretical solution. Firstly, we make estimation of ARMA model parameter and then estimate the smoothing constant. Thus, theoretical solution is derived in a simple way and it may be utilized in various fields. Furthermore, combining the trend removing method with this method, we aim to improve forecasting accuracy. This method is executed in the following method. Trend removing by the combination of linear and 2nd order nonlinear function and 3rd order nonlinear function is executed to the original production data of two kinds of bread. Genetic algorithm is utilized to search the optimal weight for the weighting parameters of linear and nonlinear function. For comparison, the monthly trend is removed after that. Theoretical solution of smoothing constant of ESM is calculated for both of the monthly trend removing data and the non-monthly trend removing data. Then forecasting is executed on these data. The new method shows that it is useful for the time series that has various trend characteristics and has rather strong seasonal trend. The effectiveness of this method should be examined in various cases.

• Communications for Statistical Applications and Methods
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• v.8 no.3
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• pp.603-613
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• 2001

A test based on score statistic is derived for detecting homoscedasticity of errors in unbalanced random effects linear model. A small simulation study is performed to investigate the finite sample behaviour of the test statistic which is known to have an asymptotic chi-square distribution under the null hypothesis.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.10 no.3
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• pp.85-94
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• 2011

Spectrum sensing is one of the most important technologies in cognitive radio. Although many studies have considered energy detection technique as the spectrum sensing technique, noise variance in practical systems is difficult to estimate accurately. Thus, in the real system, the probability of false alarm will not be maintained constant. In this paper, with considering that the cognitive radio does not know the primary user's signal, we propose a new spectrum sensing scheme which can operate without the information of noise variance. Through simulations, we show that the proposed scheme can detect spectrum with the condition of unknown noise information and have robustness for the change of noise variance.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.32 no.4
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• pp.184-191
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• 2009

In a technological driven environment, a depreciation estimate which is based on traditional life analysis results in a decelerated rate of capital recovery. This time pattern of technological growths models needs to be incorporated into life analysis framework especially in those industries experiencing fast technological changes. The approximation technique for calculating the variance can be applied to the six growth models that were selected by the degree of skewness and the transformation of the functions. For the Pearl growth model, the Gompertz growth model, and the Weibull growth model, the errors have zero mean and a constant variance over time. However, transformed models like the linearized Fisher-Pry model, the linearized Gompertz growth model, and the linearized Weibull growth model have increasing variance from zero to that point at which inflection occurs. It can be recommended that if the variance of error over time is increasing, then a transformation of observed data is appropriate.

• Transactions of the Korean Society of Mechanical Engineers
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• v.7 no.2
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• pp.193-203
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• 1983

The mixed convective heat transfer problems are characterized by the relatively significant contribution of buoyancy force to the transport processes of momentum and heat. Past analytical studies on this kind of problems have been carried out by employing either the conventional R-.epsilon. turbulence model which includes constant turbulent Prandtl number .sigma.$_{+}$ 1 or an extended R-.epsilon. turbulence model which takes account of the buoyancy effect in appropriate length scale equations. But in the latter case, the temperature variance .the+a.$^{2}$ over bar is approximated by a model under local equilibrium condition and the time scale ratio between velocity and temperature is assumed to be constant. These approximation is known to break down when the buoyancy effect is dominant. The present study is aimed at development of new computational turbulence closure level which can be applied to this rather complex turbulent process. The temperature variance is obtained directly by solving its dynamic transport equation and the time scale ratio which is variable in space is computed by a solution of a dynamic equation for the rate of scalar dissipation .epsilon.$_{\thetod}$ It was found that the computational results are in good agreement with available experimental data of wide range of unstable conditions.

• International Journal of Reliability and Applications
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• v.15 no.2
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• pp.125-150
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• 2014

Accelerated life tests (ALTs) are extensively used to determine the reliability of a product in a short period of time. Test units are subject to elevated stresses which yield quick failures. ALT can be carried out using constant-stress, step-stress, progressive-stress, cyclic-stress or random-stress loading and their various combinations. An ALT with linearly increasing stress is ramp-stress test. Much of the previous work on planning ALTs has focused on constant-stress, step-stress, ramp-stress schemes and their various combinations where the stress is generally increased. This paper presents an optimal design of ramp soak-stress ALT model which is based on the principle of Thermal cycling. Thermal cycling involves applying high and low temperatures repeatedly over time. The optimal plan consists in finding out relevant experimental variables, namely, stress rates and stress rate change points, by minimizing variance of reliability function with pre-specified mission time under normal operating conditions. The Burr type XII life distribution and time-censored data have been used for the purpose. Burr type XII life distribution has been found appropriate for accelerated life testing experiments. The method developed has been explained using a numerical example and sensitivity analysis carried out.

• Nuclear Engineering and Technology
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• v.48 no.5
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• pp.1120-1125
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• 2016

The neutron decay constant, ${\alpha}$, and effective delayed neutron fraction, ${\beta}_{eff}$, are important parameters for the control of the dynamic behavior of nuclear reactors. For the heavy water zero power reactor (HWZPR), this document describes the measurements of the neutron decay constant by noise analysis methods, including variance to mean (VTM) ratio and endogenous pulse source (EPS) methods. The measured ${\alpha}$ is successively used to determine the experimental value of the effective delayed neutron fraction as well. According to the experimental results, ${\beta}_{eff}$ of the HWZPR reactor under study is equal to 7.84e-3. This value is finally used to validate the calculation of the effective delayed neutron fraction by the Monte Carlo methods that are discussed in the document. Using the Monte Carlo N-Particle (MCNP)-4C code, a ${\beta}_{eff}$ value of 7.58e-3 was obtained for the reactor under study. Thus, the relative difference between the ${\beta}_{eff}$ values determined experimentally and by Monte Carlo methods was estimated to be < 4%.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.28 no.2
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• pp.1-8
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• 2014

In this paper, SOA Current and Temperature Driver which consisted of LabVIEW programming part capable of current and temperature transient response pattern design, DAQ module for analog voltage in&out, and voltage to current converting chips has realized. The output current(possible to 3A) from the Driver to SOA was clearly constant without ripple and also showed no variance until 1mA unit for a long time operation. The temperature of TEC took several seconds to reach a set temperature, and were maintained stably within ${\pm}^0.1{\circ}C$ for several hours. The proposed Driver can replace the previous high cost SOA Drivers for wavelength swept lasers fully and provides the convenience of transient response design capability for current and temperature.