• 한국항공우주학회지
• /
• 제39권3호
• /
• pp.218-224
• /
• 2011

동적구조의 손상탐지에 적용되는 모드법에서 측정오차가 계산과정의 수렴특성에 미치는 영향을 조사하였다. 구조요소의 손상과 같은 구조적 변화가 발생하면 응답특성도 변화되므로, 고유진동수 또는 고유벡터의 변화를 측정하면 구조적 변화를 밝혀낼 수 있다. 시험을 통하여 얻은 측정자료가 정확한 경우 수학적 프로그래밍은 우수한 수렴특성을 보여주고 있다. 그러나 실제 측정치는 오차를 포함하며, 고유치문제의 수치적 불안정성 때문에 작은 수치오차는 실제와 전혀 다른 계산결과를 초래할 수 있다. 그러므로 응답특성은 일정한 범위 안에서 스스로 평형상태를 찾아갈 수 있도록 허용되어야 한다. 유한요소모델에 포함되는 모든 자유도에 측정센서를 부착할 수 없으므로, 가장 효과적인 소수의 자유도를 선정하여 측정자료를 얻을 수 있으며 측정된 자유도에 대한 평형방정식을 적용한다.

• 한국경영과학회지
• /
• 제40권2호
• /
• pp.1-17
• /
• 2015

In this paper, we propose a portfolio selection model utilizing a Markov chain for investing in the foreign exchange market based on market forecasts and exchange rate movement predictions. The proposed model is utilized to compute optimum investment portfolio weights for investing in margin-based markets such as the FX margin market. We further present an objective investment algorithm for applying the proposed model in real-life investments. Empirical performance of the proposed model and investment algorithm is evaluated by conducting an experiment in the FX market consisting of the 7 most traded currency pairs, for a period of 9 years, from the beginning of 2005 to the end of 2013. We compare performance with 1) the Dollar Index, 2) a 1/N Portfolio that invests the equal amount in the N target assets, and 3) the Barclay BTOP FX Index. Performance is compared in terms of cumulated returns and Sharpe ratios. The results suggest that the proposed model outperforms all benchmarks during the period of our experiment, for both performance measures. Even when compared in terms of pre- and post-financial crisis, the proposed model outperformed all other benchmarks, showing that the model based on objective data and mathematical optimization achieves superior performance empirically.

• 한국경영과학회지
• /
• 제39권2호
• /
• pp.83-95
• /
• 2014

In this paper, we develop a portfolio selection model that can be used to invest in markets with margin requirements such as the foreign exchange market. An investment algorithm to implement the proposed portfolio selection model based on objective historical data is also presented. We further conduct empirical analysis on the performance of a hypothetical investment in the foreign exchange market, using the proposed portfolio selection model and investment algorithm. Using 7 currency pairs that recorded the highest trading volume in the foreign exchange market during the most recent 10 years, we compare the performance of 1) the Dollar Index, 2) a 1/N Portfolio which equally allocates capital to all N assets considered for investment, and 3) a hypothetical investment portfolio selected and managed according to the portfolio selection model and investment algorithm proposed in this paper. Performance is compared in terms of accumulated returns and Sharpe ratios for the 10-year period from January 2003 to December 2012. The results show that the hypothetical investment portfolio outperforms both benchmarks, with superior performance especially during the period following financial crisis. Overall, this paper suggests that a mathematical approach for selecting and managing an optimal investment portfolio based on objective data can achieve outstanding performance in the foreign exchange market.

• 경영과학
• /
• 제30권1호
• /
• pp.73-89
• /
• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• 한국정보시스템학회지:정보시스템연구
• /
• 제29권1호
• /
• pp.75-91
• /
• 2020

Purpose Retrofit, defined to be addition of new technologies or features to the old system to increase efficiency or to abate GHG emissions, is considered as an important alternative for the old coal-fired power plant. The purpose of this study is to propose mathematical method to model multiple alternative retrofit in Generation Capacity Expansion Planning(GCEP) problem, and to get insight to the retrofit patterns from realistic case studies. Design/methodology/approach This study made a multi-alternative retrofit GECP model by adopting some new variables and equations to the existing GECP model. Added variables and equations are to ensure the retrofit feature that the life time of retrofitted plant is the remaining life time of the old power plant. We formulated such that multiple retrofit alternatives are simultaneously compared and the best retrofit alternative can be selected. And we found that old approach to model retrofit has a problem that old plant with long remaining life time is retrofitted earlier than the one with short remaining life time, fixed the problem by some constraints with some binary variables. Therefore, the proposed model is formulated into a mixed binary programming problem, and coded and run using the GAMS/cplex. Findings According to the empirical analysis result, we found that approach to model the multiple alternative retrofit proposed in this study is comparing simultaneously multiple retrofit alternatives and select the best retrofit satisfying the retrofit features related to the life time. And we found that retrofit order problem is cleared. In addition, the model is expected to be very useful in evaluating and developing the national policies concerning coal-fired power plant retrofit.

• 산업경영시스템학회지
• /
• 제40권4호
• /
• pp.105-111
• /
• 2017

Vendor Managed Inventory is a well-known vendor-retailer coordination approach in supply chain management where the vendor manages inventory of the retailer and determines the order interval and order quantity for the retailer. To consider practical situation, the upper limit of inventory for the retailer is set. If the inventory level for the retailer exceeds the upper limit, then the penalty cost is charged to the retailer. Furthermore, maximum allowable inventory level is set for the vendor to prevent the vendor from keeping much inventory. Single-vendor multi-retailer supply chain model with upper limit of inventory for vendor and retailers is studied. All the retailers' are assumed to have the common cycle time, and a vendor manages retailers' inventory and replenishes products. The mathematical formulation is introduced to minimize the total cost including the penalty cost violating the upper limit of inventory for retailers with the constraint of maximum allowable inventory level. The solution procedure based on Karush-Kuhn-Tucker (KKT) conditions is derived. KKT conditions are often applied to find an optimal solution of nonlinear programming problem with constraints. An illustrative example is used to show the application of the proposed solution procedure. Furthermore, sensitivity analysis is done to find out the relationship between maximum allowable inventory level and other values such as order quantity, the number of shipment, vendor's cost, retailer's cost, and total cost. As maximum allowable inventory level decreases, the number of shipment decreases but total cost increases. Order quantity has the trend of decline and is affected by the number of shipment.

• 산업공학
• /
• 제20권1호
• /
• pp.1-10
• /
• 2007

The main purpose of this research is to find out whether curriculums of industrial engineering (IE) departments meet the demand of IE graduates working in various fields. The research was conducted as an online questionnaire survey selecting IE Graduates working in industries as practising engineers. 1,324 participants were validated among 1,477 participants. 13 fields were selected and used in the survey. Those were; 1) Mathematical statistics, 2) Computer, 3) Purchase, 4) Production system, 5) Logistics, 6) Marketing, 7) Monetary, 8) Experiment methods, 9) Operations Research (OR), 10) Human Factors, 11) Quality, 12) Engineering management, and 13) Information systems. Using the 5-scale Likert rating, each education subject was assessed both in terms of its usefulness in practices and the amount it being taught in school. As a result, courses such as motion/time study, linear programming that IE has traditionally focused showed less usefulness in practices while it is taught in relatively large amount in schools. However, courses such as 6 sigma, CRM which are closely related to industrial practices showed high usefulness in practices compared with low degree of teaching in school. This was the first ever large scalesurvey conducted for IE graduates in Korea. The result of survey displayed many helpful information on current status and future direction of IE education in Korea.

• 한국전산구조공학회논문집
• /
• 제19권1호
• /
• pp.63-71
• /
• 2006

본 연구에서는 민감도 해석을 이용하여 전단벽-골조 구조시스템의 횡변위를 정량적으로 제어할 수 있는 강성최적설계방안을 제시하고자 한다. 이를 위해 먼저 골조와 전단벽요소 사이의 변위자유도 적합성 문제를 해결하기 위한 요소강성행렬을 구성하며, 또한 수학적계획법의 일반성을 유지하면서도 큰 규모의 문제도 효율적으로 다를 수 있는 근사화 재념을 도입하여 횡변위 구속조건식을 설정한다. 아울러 전단벽 및 골조부재의 단면특성 관계식을 설정함으로써 설계변수의 수를 줄여주고, 이를 이용하여 강성행렬도함수의 산정을 용이하게 한다. 특히 골조의 경우 초기에 주어진 단면형상이 최적설계 과정동안 계속 유지된다는 가정을 이용하여 최적설계결과에서 구해진 단면특성에 따라 부재단면크기를 산출하고, 전단벽은 사용자의 의도에 따라 두께 또는 부재길이를 재산정하는 방안을 강구한다. 이와 같이 제시된 강성최적설계기법의 효용성을 검토하기 위해 두 가지 형태의 20층 전단벽-골조 구조물의 예제가 고려된다.

• 한국항만경제학회지
• /
• 제33권2호
• /
• pp.83-96
• /
• 2017

지구 온난화에 대처하는 일환으로 신재생에너지 가운데 세계 각국은 해상풍력단지 개발에 투자를 집중하고 있다. 그러나 해상풍력단지 개발은 해상에서의 구조물 운송, 설치 등의 해상작업이 요구됨에 따라 투자비용이 육상풍력단지 보다 높은 단점이 있다. 특히 해상기상 여건으로 인한 설치기간 지연은 해상풍력단지 운영의 경제성에도 영향을 끼치는 요소이다. 따라서 본 연구에서는 국내 해상의 기상여건을 고려하여 해상풍력단지 조성의 최적 일정계획을 거시적 측면에서 분석하고자 하였다. 이를 위해 수리적 모델을 개발하였고, 이를 이용하여 국내 서남해안 2.5GW 해상풍력단지 조성사업에 적용하였다. 해상 기상여건은 기상청의 자료를 활용하였고, 모델에 사용된 입력 자료는 해외의 선행 사례를 바탕으로 현실성을 최대한 반영하고자 하였다. 그 결과 해상풍력터빈 35기를 설치하는데 6개월이 소요되는 것으로 분석되었다. 특히 겨울을 피하여 작업하는 것이 비용을 최소화할 수 있는 것으로 분석되었다.

• 대한인간공학회지
• /
• 제30권1호
• /
• pp.251-257
• /
• 2011

When designing a ship, ergonomic considerations are crucial when minimizing a navigator's fatigue due to the burden of work, and to appropriately operate the navigational equipment for each given situation by helping the operator to understand the surroundings as well as the physical functions of the ship. However, insufficient consideration of ergonomic elements in the actual design of ship Bridges is lowering the performance of safe navigation and allows for the possibility of operation or readout errors. Consequently, these errors lead to an increase in maritime accidents. Therefore, this study conducted a usability evaluation on the importance of and the usage frequency of navigational equipment, their influence on actual navigation, and the possibility of error upon operation or readout between training ship officers, to derive an optimized layout that includes the consideration of ergonomic factors for on-Bridge navigational equipment, which are currently arranged differently according to their type or size. The optimized layout of on-Bridge navigational equipment was carried out based on the evaluation results, using the Lingo program. Through the process of optimization, revised layouts of on-Bridge navigational equipments(control and display device) were suggested, considering emergency situations(ship collision, stranding, fire and explosion, sinking, etc.) during navigation.