• Journal of Korean Society of Industrial and Systems Engineering
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• v.46 no.4
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• pp.63-73
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• 2023

This study explores modern portfolio theory by integrating the Black-Litterman portfolio with time-series clustering, specificially emphasizing K-shape clustering methodology. K-shape clustering enables grouping time-series data effectively, enhancing the ability to plan and manage investments in stock markets when combined with the Black-Litterman portfolio. Based on the patterns of stock markets, the objective is to understand the relationship between past market data and planning future investment strategies through backtesting. Additionally, by examining diverse learning and investment periods, it is identified optimal strategies to boost portfolio returns while efficiently managing associated risks. For comparative analysis, traditional Markowitz portfolio is also assessed in conjunction with clustering techniques utilizing K-Means and K-Means with Dynamic Time Warping. It is suggested that the combination of K-shape and the Black-Litterman model significantly enhances portfolio optimization in the stock market, providing valuable insights for making stable portfolio investment decisions. The achieved sharpe ratio of 0.722 indicates a significantly higher performance when compared to other benchmarks, underlining the effectiveness of the K-shape and Black-Litterman integration in portfolio optimization.

• IE interfaces
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• v.24 no.4
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• pp.447-456
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• 2011

Identifying the major moving patterns of shoppers' movements in the selling floor has been a longstanding issue in the retailing industry. With the advent of RFID technology, it has been easier to collect the moving data for a individual shopper's movement. Most of the previous studies used the traditional clustering technique to identify the major moving pattern of customers. However, in using clustering technique, due to the spatial constraint (aisle layout or other physical obstructions in the store), standard clustering methods are not feasible for moving data like shopping path should be adjusted for the analysis in advance, which is time-consuming and causes data distortion. To alleviate this problems, we propose a new approach to spatial pattern clustering based on longest common subsequence (LCSS). Experimental results using the real data obtained from a grocery in Seoul show that the proposed method performs well in finding the hot spot and dead spot as well as in finding the major path patterns of customer movements.

• Journal of Korean Institute of Industrial Engineers
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• v.27 no.2
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• pp.214-225
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• 2001

This research deals with an off-line learning method targeted for systematically constructing negotiation strategies in automated electronic commerce. Single-issue negotiation is assumed. Variants of competitive learning and hierarchical clustering method are devised and applied to extracting negotiation strategies, given historical negotiation data set and tactics. Our research is motivated by the following fact: evidence from both theoretical analysis and observations of human interaction shows that if decision makers have prior knowledge on the behaviors of opponents from negotiation, the overall payoff would increase. Simulation-based experiments convinced us that the proposed method is more effective than human negotiation in terms of the ratio of negotiation settlement and resulting payoff.

• Journal of Korean Institute of Industrial Engineers
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• v.29 no.2
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• pp.172-178
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• 2003

In the recent researches, a variety of ways for determining the locations of RBF centers have been proposed assuming that the number of RBF centers is known. But they have also many numerical drawbacks. We propose a new method to overcome such drawbacks. The strength of our method is to determine the locations and the number of RBF centers at the same time without any assumption about the number of RBF centers. The proposed method consists of two phases. The first phase is to determine the number and the locations of RBF centers using bi-section search method and enhanced k-medoids clustering which overcomes drawbacks of clustering algorithm. In the second phase, network weights are computed and the design of RBF network is completed. This new method is applied to several benchmark data sets. Benchmark results show that the proposed method is competitive with the previously reported approaches for center selection.

• International Journal of CAD/CAM
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• v.5 no.1
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• pp.1-10
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• 2005

A new approach based on vector field clustering for tool path optimization of 5-axis CNC machining is presented in this paper. The strategy of the approach is to produce an efficient tool path with respect to the optimal cutting direction vector field. The optimal cutting direction maximizes the machining strip width. We use the normalized cut clustering technique to partition the vector field into clusters. The spiral and the zigzag patterns are then applied to generate tool path on the clusters. The iso-scallop method is used for calculating the tool path. Finally, our numerical examples and real cutting experiment show that the tool path generated by the proposed method is more efficient than the tool path generated by the traditional iso-parametric method.

• Journal of Korea Society of Industrial Information Systems
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• v.17 no.2
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• pp.57-64
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• 2012

In this paper, the multi-objective genetic algorithm is proposed for the document clustering which is important in the text mining field. The most important function in the document clustering algorithm is to group the similar documents in a corpus. So far, the k-means clustering and genetic algorithms are much in progress in this field. However, the k-means clustering depends too much on the initial centroid, the genetic algorithm has the disadvantage of coming off in the local optimal value easily according to the fitness function. In this paper, the multi-objective genetic algorithm is applied to the document clustering in order to complement these disadvantages while its accuracy is analyzed and compared to the existing algorithms. In our experimental results, the multi-objective genetic algorithm introduced in this paper shows the accuracy improvement which is superior to the k-means clustering(about 20 %) and the general genetic algorithm (about 17 %) for the document clustering.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.11 no.10
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• pp.3950-3957
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• 2010

Wireless sensor network is composed of sensor node with limited sources, and to maintain and repair is vexatious once made up. Accordingly it is important matter to maximize the network lifetime by minimizing the energy consumption in wireless sensor network, and utilizing the limited sources efficiently. In this paper, I propose a technique arranging the cluster number with efficiency in clustering method to optimize the energy consumption. The energy usage needed for wireless transmission varies in distance(threshold). This technique reduces the energy consumption considering the threshold when arranging the cluster number. I verify that the clustering method organized through the valid processes outperform the LEACH(Low-Energy Adaptive Clustering Hierarchy) in total energy consumption.

• Journal of Korea Society of Industrial Information Systems
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• v.20 no.1
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• pp.19-26
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• 2015

Recently, a lot of users are using social network services as the spread of SNS and generalization of smart-phone. In this study, we apply clustering and ranking method for finding twitter influential users. First, we propose five ranking elements. The five elements include the number of follow, the number of retweet, IRP, IFP and influ-score. These elements are used by centroid point of clustering methods. This study can help to find novel approaches for finding twitter influential users.

• Journal of Korean Institute of Industrial Engineers
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• v.24 no.2
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• pp.311-322
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• 1998

Modular BOMs are typically used in TWO-Level Master Production Schedule. To solve the problems of Modular BOM generation and efficient DB construction, we proposed Value Clustering Method. Based upon Where-Used matrix of products and components, VCM is the method to find out module by generating product family group value, product value, and component value. We also proposed method to find out information about Modules, algorithms to find out Modules that show Alternative Usage Pattern, and method to find out Modules used in a given product. We also compared the DB creation method by Value Clustering Method and by conventional method. We compared the size of DB in both methods. We mathematically proved that the proposed method is doing better as the size and complexity of product family gets larger and more complicated.

• Journal of Korean Institute of Industrial Engineers
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• v.24 no.1
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• pp.145-156
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• 1998

In a classical clustering problem, grouping is done on the basis of similarities or distances (dissimilarities) among the elements. Therefore, the objective is to minimize the variance within each group while maximizing the between-group variance among all groups. In this paper, however, a new class of clustering problem is introduced. We call this a laydown grouping problem (LGP). In LGP, the objective is to minimize both the within-group and between-group variances. Furthermore, the problem is expanded to a multi-dimensional case where the two-way minimization process must be considered for each dimension simultaneously for all measurement characteristics. At first, the problem is assessed by analyzing its variance structures and their complexities by conjecturing that LGP is NP-complete. Then, the simulated annealing (SA) algorithm is applied and the results are compared against that from others.