• 한국지능정보시스템학회:학술대회논문집
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• 한국지능정보시스템학회 2007년도 추계학술대회
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• pp.592-601
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• 2007

In the conventional double auction approaches, two basic assumptions are usually applied - (1) each trader has a linear or quasi-linear utility function of price and quantity, (2) buyers as well as sellers have identical utility functions. However, in practice, these assumptions are unrealisitc. Therefore, a flexible and integrated double auction mechanism that can integrate all traders' diverse utility functions is necessary. We propose a double auction mechanism with resource allocation based on nonlinear utility functions, namely a flexible synchronous double auction system where each participant can express a diverse utility function on the price and quantity. In order to optimize the total market utility consists of multiple complex utility functions of traders, our study proposes a genetic algorithm (GA) We show the viability of the proposed mechanism through several simulation experiments.

• Journal of applied mathematics & informatics
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• 제39권1_2호
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• pp.215-222
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• 2021

We explore an optimal consumption/portfolio and retirement problem with a CARA utility function of consumption. The relevant Bellman equation for the value function is transformed into a linear equation and the optimal strategies are obtained explicitly.

• 한국경영과학회지
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• 제33권1호
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• pp.19-33
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• 2008

In the previous double auction research for the market optimization, two basic assumptions are usually applied - (1) each trader has a linear or quasi-linear utility function of price and quantity, and (2) buyers as well as sellers have identical utility functions. However, in practice, each buyer and seller in a double auction market may have diverse utility functions for trading goods. Therefore, a flexible and integrated double auction mechanism that can integrate all traders' diverse utility functions is necessary. In particular, the flexible mechanism is more useful in a synchronous double auction because traders can properly change utilities in each round. Therefore, in this paper, we propose a flexible synchronous double auction mechanism in which traders can express diverse utility functions for the price and quantity of the goods, and optimal total market utility is guaranteed. In order to optimize the total market utility which consists of multiple complex utility functions of traders. We show the viability of the proposed mechanism through a several simulation experiments.

• 한국경영과학회지
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• 제19권3호
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• pp.111-129
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• 1994

In this study, we develope a revised model as well as application of decision problem under ambiguity based on the subjectively weighted linear utility medel. Bayes'rule is used when there are ambiguous probabilities on a decision problem and test information is available. A procedure for assessing the ambiguity aversion function is also presented. Decision problem of chemical corporation is used for an illustration of the application of the subjectively weighted linear utility model using Bayesian approach. We present the optimal decisiond using newly developed model. We also perform the sensitivity analysis to assure ourselves about the conclusion we obtianed on degree of ambiguity aversion due to characterize parameter of subjectively weighted linear utility model.

• 산업경영시스템학회지
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• 제33권3호
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• pp.137-145
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• 2010

The objective of this paper is to evaluate the equilibrium price between PSTN and VoIP telephony services in the case of non-linear utility function. Currently there are two types of wired phone services we are known PSTN (Public Switched Telephone Network) and VoIP (Voice over Internet Protocol). The PSTN telephony which provide high quality service and VoIP which provides relatively low quality service form a vertically differentiated oligopoly. Therefore, the evaluation of the equilibrium price between PSTN and VoIP services is very important to wired phone service providers. The equilibrium price depends on the state of the service cost function has been proved different value. This paper was evaluated each equilibrium price for the state of the linear cost function and non-linear cost function. Subsequently, this paper analyzed the demand of both services and the equilibrium profit which can maximize the profit of both service providers.

• 대한교통학회지
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• 제27권2호
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• pp.157-168
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• 2009

개인여객이 운송수단을 선택하여 얻는 효용은 시간, 비용 등의 운송특성과 소득 등 개인특성의 함수이다. 기존 연구에서는 일반적으로 운송특성이 여객효용에 미치는 효과를 추정하기 위한 방법으로 운송특성변수에 대해 선형인 효용함수를 전제로 한 무작위 효용모형을 이용하여 왔다. 그러나 본 논문에서는 개인여객의 효용극대화를 분석하는 방법으로서 운송수단선택행위가 소비, 여가, 소득창출 등 보다 본원적인 활동으로부터 파생된다는 점에 주목하여, 다시 말해, 개인의 본원적 활동에 따른 효용극대화 관점에서 운송수단선택에 따른 효용이 진정으로 선형의 형태를 지니고 있는지를 살펴보았다. 이론적 결론은 첫째, 본원적 활동에 따른 효용이 소비와 여가만의 함수일 때 선형가정은 운송시간의 일부구간에서 진실이다. 둘째, 만일 효용이 노동활동이나 운송시간에 의해 직접 영향을 받을 경우 운송특성에 따른 효용의 선형성은 극단적인 상황이 아니면 성립하지 않는다. 따라서 운송특성에 따른 효용의 크기를 추정하기 위해선 선형이 아닌 보다 일반화된 함수에서의 근사가 요구된다.

• 대한교통학회:학술대회논문집
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• 대한교통학회 2000년도 제37회 학술발표회논문집
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• pp.25-47
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• 2000

In route guidance systems fastest-path routing has typically been adopted because of its simplicity. However, empirical studies on route choice behavior have shown that drivers use numerous criteria in choosing a route. The objective of this study is to develop computationally efficient algorithms for identifying a manageable subset of the nondominated (i.e. Pareto optimal) paths for real-time vehicle routing which reflect the drivers' preferences and route choice behaviors. We propose two pruning algorithms that reduce the search area based on a context-dependent linear utility function and thus reduce the computation time. The basic notion of the proposed approach is that ⅰ) enumerating all nondominated paths is computationally too expensive, ⅱ) obtaining a stable mathematical representation of the drivers' utility function is theoretically difficult and impractical, and ⅲ) obtaining optimal path given a nonlinear utility function is a NP-hard problem. Consequently, a heuristic two-stage strategy which identifies multiple routes and then select the near-optimal path may be effective and practical. As the first stage, we utilize the relaxation based pruning technique based on an entropy model to recognize and discard most of the nondominated paths that do not reflect the drivers' preference and/or the context-dependency of the preference. In addition, to make sure that paths identified are dissimilar in terms of links used, the number of shared links between routes is limited. We test the proposed algorithms in a large real-life traffic network and show that the algorithms reduce CPU time significantly compared with conventional multi-criteria shortest path algorithms while the attributes of the routes identified reflect drivers' preferences and generic route choice behaviors well.

• Communications for Statistical Applications and Methods
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• 제19권6호
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• pp.793-798
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• 2012

In this paper, we propose regression methods based on the likelihood function. We assume Arnold-Beaver Skew Normal(ABSN) errors in a simple linear regression model. It was shown that the novel method performs better with an asymmetric data set compared to the usual regression model with the Gaussian errors. The utility of a novel method is demonstrated through simulation and real data sets.

• East Asian mathematical journal
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• 제27권1호
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• pp.91-100
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• 2011

It is important to find an optimal strategy which maximize the surplus of the insurance company at the maturity time T. The purpose of this paper is to give an explicit expression for the optimal reinsurance and investment strategy, under the CEV model, which maximizes the expected exponential utility of the final value of the surplus at T. To do this optimization problem, the corresponding Hamilton-Jacobi-Bellman equation will be transformed a linear partial differential equation by applying a Legendre transform.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제15권4호
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• pp.277-290
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• 2011

We define some multi-type asset models derved from L$\acute{e}$vy proceses which emphasize coefficients of stochastic differential equations. Also these asset models can be represented by Doleance-Dade linear equations derived from jump-type semimartingales which are decomposed by various terms of time basically. For these asset models, we can construct optimal portfolio strategy by using filtered various information at each check time.