• Communications for Statistical Applications and Methods
• /
• 제30권2호
• /
• pp.163-178
• /
• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.

• 조명전기설비학회논문지
• /
• 제18권4호
• /
• pp.83-87
• /
• 2004

본 논문에서는 Magnetic Levitation Model 시스템을 이용하여 선형 액추에이터의 기본모델을 제안하고 전원 공급부의 입력 주파수의 변화로부터 액추에이터에 나타나는 현상을 Matlab프로그램을 활용하여 간접적 방법으로 고찰하였다. 그 결과는 실제적인 설계에 적용할 경우 설계 프로그램의 자료나 부분적 변경 시 참조 할 수 있으리라 사료된다. 본 논문에서 제안한 에너지 변환을 고려한Linear Actuator M3d진 시스템의 출력은 입력 주파수의 변화로부터 액추에이터가 고주파보다는 저주파에서 권선부에 나타나는 파형의 응답이 기준 입력파형에 더 근접함을 알 수 있었다. 이 결과를 바탕으로 Linear Actuator Model 시스템의 동작 시 특성이 실제 시스템에 활용할 때 간접적 방법으로 상당히 유용함을 확인 할 수 있었다.

• Journal of the Korean Data and Information Science Society
• /
• 제25권4호
• /
• pp.697-703
• /
• 2014

본 논문에서 다루는 딜또는노딜 게임은 미국 NBC 방송국의 인기 오락 프로그램으로 여러 개의 단계로 구성되어 있다. 본 논문에서는 각 단계에서 제시되는 딜금액 결정 모형을 제한이 있는 회귀모형과 이차계획법을 이용하여 규명한다. 최종적으로 딜금액 결정 모형식과 관련하여 각 단계별로 선형식을 유도하고 딜금액이 선형식으로부터 얻어지는 값을 반올림한 정수값과 일치함을 시뮬레이션 자료를 이용하여 밝혔다.

• 산업경영시스템학회지
• /
• 제32권4호
• /
• pp.53-62
• /
• 2009

Lee[15] examined quantity discount contracts between a manufacturer and a retailer in a stochastic, two-period inventory model where quantity discounts are provided based on the previous order size. During the two periods, the retailer faces stochastic (truncated Poisson distributed) demands and he/she places orders to meet the demands. The manufacturer provides for the retailer a price discount for the second period order if its quantity exceeds the first period order quantity. In this paper we extend the above two-period model to a k-period one (where k < 2) and propose a stochastic nonlinear mixed binary integer program for it. In order to make the program tractable, the nonlinear term involving the sum of truncated Poisson cumulative probability function values over a certain range of demand is approximated by an i-interval piecewise linear function. With the value of i selected and fixed, the piecewise linear function is determined using an evolutionary algorithm where its fitness to the original nonlinear term is maximized. The resulting piecewise linear mixed binary integer program is then transformed to a mixed binary integer linear program. With the k-period model developed, we suggest a solution procedure of receding horizon control style to solve n-period (n < k) order decision problems. We implement Lee's two-period model and the proposed k-period model for the use in receding horizon control style to solve n-period order decision problems, and compare between the two models in terms of the pattern of order quantities and the total profits. Our computational study shows that the proposed model is superior to the two-period model with respect to the total profits, and that order quantities from the proposed model have higher fluctuations over periods.

• 한국경영과학회지
• /
• 제11권2호
• /
• pp.69-78
• /
• 1986

The outlook for the Civil Service Pension (CSP) program in Korea indicates several problems. First, the balance of the benefit among the pension recipients is not well maintained. Second, the program is running out of funds as benefit increases exceed the growth in revenues. In this article, we analyze these problems by using linear programming model and discuss the alternatives. We propose an addition of the age limit to the benefit eligibility and a reconsideration of the government subsidy's level.

• Structural Engineering and Mechanics
• /
• 제26권1호
• /
• pp.15-30
• /
• 2007

In the paper, one focuses on the problem of duality in non-linear programming, applied to the solution of no-tension problems by means of Limit Analysis (LA) theorems for Not Resisting Tension (NRT) models. In details, one demonstrates that, starting from the application of the duality theory to the non-linear program defined by the static theorem approach for a discrete NRT model, this procedure results in the definition of a dual problem that has a significant physical meaning: the formulation of the kinematic theorem.

• 한국항만경제학회:학술대회논문집
• /
• 한국항만경제학회 2007년도 국제학술대회 및 정기총회
• /
• pp.161-173
• /
• 2007

This paper considers the problem of determining the cargo flow and the transportation mode in each trade route while satisfying the demand. Especially, the problem incorporates short sea shipping in Korea, which is becoming more important in order to improve efficiency of Logistics. The objective is to minimize the sum of shipping and inland transportation costs. To solve optimally the problem, this paper employs a linear programming model, which is an operations research technique for optimization. The problem is formulated by extending the well-known network design problem by considering capacity at seaport and limitation of total number of vehicles. The model is solved using CPLEX, a commercial linear program software. The test results using a real cargo flow data in Korea show that the model represents closely the real situation.

• 전자공학회논문지SC
• /
• 제47권1호
• /
• pp.56-61
• /
• 2010

출혈성 쇼크는 응급실에서 일어나는 사망 원인의 많은 부분을 차지하고 있다. 본 연구의 목적은 출혈량에 따라 변화하는 생리적인 변수들의 특징을 알아보는 것이다. 또한 이를 이용하여 전체 혈액량 대비 손실된 혈액의 비율을 산출하는 선형회귀분석 모델을 만드는 것이다. 총 60마리의 흰쥐를 출혈량에 따라 체중 100g 당 15분 동안 0ml, 2ml, 2.5ml 3ml로 정하여 총 4그룹으로 나누었다. 출혈 중에 변화하는 심박수, 수축기혈압, 이완기혈압, 호흡수, 체온 등을 분석하였다. 분석한 데이터를 무작위로 나누어 360개의 데이터 세트를 선형회귀 분석모델을 만드는데 사용했고 이 모델의 R (결정계수) 제곱 값은 0.80이었다. 나머지 360개의 데이터를 이용하여 만든 모델을 시험한 결과, 추정된 손실 혈액의 비율의 RMS (root mean square) 오차 값은 5.7%가 나왔다. 비록 선형회귀분석모델이 직접적으로 실제 임상에서 사용될 수 없지만 추가적인 연구를 통해 이 방법이 출혈성 쇼크의 소생술을 시행하는데 필요한 용액의 양을 결정하는데 도움을 줄 수 있을 것으로 생각된다.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 2004년도 ICCAS
• /
• pp.524-529
• /
• 2004

In this paper, We described the method which developed the optimal control system for air separation unit to change production rates frequently and rapidly. Control models of the process were developed from actual plant data using subspace identification method which is developed by many researchers in resent years. The model consist of a series connection of linear dynamic block and static nonlinear block (Wiener model). The model is controlled by model based predictive controller. In MPC the input is calculated by on-line optimization of a performance index based on predictions by the model, subject to possible constraints. To calculate the optimal the performance index, conditions are expressed by LMI(Linear Matrix Inequalities).In order to access at the Bailey DCS system, we applied the OPC server and developed the Client program. The OPC sever is a device which can access Bailey DCS system.The Client program is developed based on the Matlab language for easy calculation,data simulation and data logging. Using this program, we can apply the optimal input to the DCS system at real time.

• 농촌지도와개발
• /
• 제16권1호
• /
• pp.69-98
• /
• 2009

This study empirically studies the effects of Agricultural Technology Service Center's educational program for farmers on their incomes. The educational program for farmers has widely been managed in discourse and policy in Korea. In 2008, Agricultural Technology Service Center managed 88 educational program for farmers, where 6,409 farmers received a certificate. While there are important studies, most of them have concentrated on qualitative analysis and noneconomic effects to an educational program for farmers. This study tried to analyze whether or not there is an economic effect of an educational program for farmers, focusing on the relationship between the educational program for farmers and their income status. Multilevel models (or hierarchical linear models) were applied to this study. Multilevel model is a quantitative model of parameters that vary at more than one level and show hierarchical structures between levels. This study particularly accentuates that an educational program for farmers is more meaningful when it can raise farmers' incomes by region and by educational program for farmers.