• KDI Journal of Economic Policy
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• 제29권2호
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• pp.117-133
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• 2007

본 논문은 이자율 준칙에 근거하여 한국의 통화정책의 효율성을 인플레이션과 산출갭의 상대적 안정성을 중심으로 경험적으로 검증하는 데 목적이 있다. 이를 위해 1991년 이후 한국의 주요 거시경제 변수를 설명할 수 있는 구조적 모형이 필요한데, 본고에서는 Ball(1999)의 모형과 유사한 소규모 개방경제모형을 도입한다. 모형의 추정결과, 한국 거시경제 변수를 비교적 잘 설명할 수 있음을 확인할 수 있었고 추정된 모형을 바탕으로 이자율준칙의 범위 내에서 최적 통화정책을 도출하였다. 따라서 최적 이자율 준칙하에서의 인플레이션과 산출갭의 변동성을 실제 데이터와 비교할 수 있다. 실증적 분석의 결과, 중앙은행은 산출갭의 변동성보다 인플레이션의 변동성을 낮추는 데 상대적으로 더 효율적이었음을 알 수 있다. 이는 외환위기 이후 인플레이션이 실제 중앙은행의 목표범위 내에서 하락 안정세를 유지하였고 변동성도 상대적으로 크지 않았음을 고려해 볼 때 타당한 결과라고 해석할 수 있다. 그러나 최적 이자율 준칙과 비교해 볼 때 실제 추정된 이자율 준칙은 인플레이션에 대한 반응 정도가 매우 낮아 인플레이션의 안정성이 이자율 준칙이 효과적이었기 때문은 아닌 것으로 나타났다. 또한 인플레이션을 유발할 수 있는 실질환율 상승의 경우 이자율을 오히려 하락시킨 것으로 나타났는데, 이는 이론 및 최적 이자율 준칙과는 배치되는 결과이다.

• East Asian Economic Review
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• 제22권3호
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• pp.337-370
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• 2018

This paper discusses the design of monetary policy in a New Keynesian small open economy framework by introducing nominal wage rigidities and incomplete exchange rate pass-through on import prices. Three main findings are summarized. First, with the existence of an incomplete exchange rate pass-through and nominal wage rigidities, the optimal policy is to seek to minimize the output gap, the variance of domestic price and wage inflation, as well as deviations from the law of one price. Second, the CPI inflation targeting Taylor rule is welfare enhancing when there is a technological shock to the economy. The exception occurs when there is a foreign income shock, which minimizes welfare losses under the domestic inflation targeting Taylor rule. Last, two stylized Taylor rules turn out to be a bad approximation, but the modified Taylor rules that respond to the unemployment gap rather than the output gap are a closer approximation to the optimal policy.

• International Journal of Control, Automation, and Systems
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• 제6권6호
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• pp.845-858
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• 2008

In this paper, we consider a terminal, linear control system with delay, subject to unknown but bounded disturbances. For this system, we consider the problem of constructing a worst-case optimal feedback control policy, which can be corrected at fixed, intermediate time instants. The policy should guarantee that for all admissible uncertainties the system states are in prescribed neighborhoods of predefined system states, at all fixed, intermediate time instants, and in the neighborhood of a given state at a terminal time instant, and the value of the cost function is the best guaranteed value. Simple explicit rules(which can be easily implemented on-line) for constructing the optimal control policy in the original control problem are derived.

• 산업경영시스템학회지
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• 제35권4호
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• pp.1-9
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• 2012

Decisions on reliability screening rules and burn-in policies are determined based on the estimated reliability. The variability in a semiconductor manufacturing process does not only causes quality problems but it also makes reliability estimation more complicated. This study investigates the nonuniformity characteristics of integrated circuit reliability according to defect density distribution within a wafer and between wafers then develops optimal burn-in policy based on the estimated reliability. New reliability estimation model based on yield information is developed using a spatial stochastic process. Spatial defect density variation is reflected in the reliability estimation, and the defect densities of each die location are considered as input variables of the burn-in optimization. Reliability screening and optimal burn-in policy subject to the burn-in cost minimization is examined, and numerical experiments are conducted.

• 디지털융복합연구
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• 제11권11호
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• pp.343-349
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• 2013

러프집합에서는 동치류와 근사공간의 개념을 이용하여 데이터 마이닝 분야에서 중복되는 정보로부터 특징점을 효율적으로 추출하여 최적화된 제어규칙을 유도할 수 있다. 이러한 추출과정에서 가장 중요하게 고려되어져야 할 부분은 많은 속성에 대한 감축이다. 본 논문에서는 속성간의 관계에서 러프엔트로피를 이용하여 가장 신뢰도가 우수한 속성을 구할 수 있는 정보이론적인 척도를 제시한다. 제안된 방법은 러프엔트로피를 기반으로 불필요한 속성을 제거함으로써 유용한 리덕트를 생성하고 이들에 대한 코어를 형성한다. 결과적으로 원시정보의 내용은 변하지 않으면서 지식감축을 통하여 간소화된 제어규칙을 구축할 수 있음을 보인다.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2020년도 학술발표회
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• pp.171-171
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• 2020

Decision making strategies should consider both adaptiveness and robustness in order to deal with two main characteristics of climate change: non-stationarity and deep uncertainty. Especially, robust strategies are different from traditional optimal strategies in the sense that they are satisfactory over a wider range of uncertainty and may act as a key when confronting climate change. In this study, a new framework named Robust Stochastic Dynamic Programming (R-SDP) is proposed, which couples previously developed robust optimization (RO) into the objective function and constraint of SDP. Two main approaches of RO, feasibility robustness and solution robustness, are considered in the optimization algorithm and consequently, three models to be tested are developed: conventional-SDP (CSDP), R-SDP-Feasibility (RSDP-F), and R-SDP-Solution (RSDP-S). The developed models were used to derive optimal monthly release rules in a single reservoir, and multiple simulations of the derived monthly policy under inflow scenarios with varying mean and standard deviations are undergone. Simulation results were then evaluated with a wide range of evaluation metrics from reliability, resiliency, vulnerability to additional robustness measures. Evaluation results were finally visualized with advanced visualization tools that are used in multi-objective robust decision making (MORDM) framework. As a result, RSDP-F and RSDP-S models yielded more risk averse, or conservative, results than the CSDP model, and a trade-off relationship between traditional and robustness metrics was discovered.

• 한국수자원학회논문집
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• 제30권3호
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• pp.269-278
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• 1997

저수지 운영의 기초가 되는 운영률은 대부분 과거기록 유입량중 최대 혹은 최소의 극한치 자료를 이용하거나 평균치 자료를 이용하여 도출하기 때문에 실제 운영에서 발생할 수 있는 불확실성에 대처한 기대편익 산정이나 운영방안 수립에는 적절히 이용할 수 없다. 또한 지금까지 개발된 대부분의 운영률은 유입량을 포함하여 모든 운영변수를 이미 알고 있다는 확정론적 방법에 기초하고 있어 유입량의 불확실성을 반영하지 못하는 단점이 있다. 이를 개선할 수 있는 방법으로 추계학 분석기법에 의한 운영률을 개발할 수 있는데 이는 저수지 상태방정식의 구성요소인 유입량의 추계학적 특성을 시계열상에서 이산화된 천이확률로 처리하여 모형에 적용할 수 있다. 확정론적 방법에 의한 저수지 운영방안을 개선시키기 위하여 추계학적 방법에 의한 저수지 운영률을 개발하였다. 본 연구에서는 이와같은 방법론에 따른 양해 추계학적 동적계획기법을 이용하여 충주 저수지 시스템의 최적 운영 방안을 마련하였다. 개발된 운영률을 홍수기를 제외하고는 Lag-1 Markov 모형의 기본가정을 충실히 따르고 있어 저수지 운영률로의 이용이 가능하며, 운영단계의 유입량을 적절히 예측할 수 없는 현실에서 전단계의 유입량과 적용단계의 저류량만을 이용하는 저수지 운영률의 개발이 가능하다.

• 산업공학
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• 제23권4호
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• pp.300-310
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• 2010

This paper is about an optimal investment portfolio strategy. Financial data of stocks, bonds, and savings from January 2. 2001 through October 30. 2009 were utilized in order to suggest the optimal portfolio strategies. Fundamental analysis and technical analysis were used in stocks-related strategy, whereas passive investment strategy and active investment strategy were used in bond-related strategy. The score is assigned to each stock index according to the suggested strategies and set trading rules are based on the scores. The simulation has been executed about each 29,400-portfolios and we figured out with the simulation result that 26.75% of 7,864 portfolios are more profitable than average stock market profit (22.6%, Annualized). The outcome of this research is summarized in two parts. First, it's the rebalancing strategy of portfolio. The result shows that value-oriented investment(long-term investment) strategy yields much higher than short-term investment strategies of stocks or active investment of bonds. Second, it's about the rebalancing cycle forming the portfolios. The result shows that the rate of return for the portfolio is the best when rebalancing cycle is 12 or 18 months.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2021년도 학술발표회
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• pp.206-206
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• 2021

The necessity for appropriate management of water resources infrastructures such as reservoirs, levees, and dikes is increasing due to unexpected hydro-climate irregularities and rising water demands. To meet this need, past studies have focused on advancing theoretical optimization algorithms such as nonlinear programming, dynamic programming (DP), and genetic programming. Yet, the optimally derived theoretical solutions are limited to be directly implemented in making release decisions in the real-world systems for a variety of reasons. This study first aims to comparatively analyze the two prominent optimization methods, DP and evolutionary multi-objective direct policy search (EMODPS), under historical inflow series using K-fold cross validation. A total of six optimization models are formed each with a specific formulation. Then, one of the optimization models was coupled with the actual zone-based hedging rule that has been adopted in practice. The proposed methodology was applied to Boryeong Dam located in South Korea with conflicting objectives between supply and demand. As a result, the EMODPS models demonstrated a better performance than the DP models in terms of proximity to the ideal. Moreover, the incorporation of the real-world policy with the optimal solutions improved in all indices in terms of the supply side, while widening the range of the trade-off between frequency and magnitude measured in the sides of demand. The results from this study once again highlight the necessity of closing the gap between the theoretical solutions with the real-world implementable policies.

• Asia pacific journal of information systems
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• 제7권3호
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• pp.109-124
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• 1997

Pricing information services, where congestion can threaten the efficient operation of information systems, has been studied in economics and information systems literature, Recent explosion of the Internet ana proliferation of multimedia content over the Internet have rekindled the research interest in designing pricing schedules for differentiated information services, In order for the information system to effectively serve users having heterogeneous needs, pricing rules for discriminated services should be considered. At the same time, when individual users' interest does not align with that of the organization that individual users belong to, organization-wide pricing policy should be devised to improve the value of the services rendered by the system. This paper, using a priority queuing model, addresses the need for such on incentive-compatible pricing for different information services.