• 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.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.57 no.11
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• pp.2108-2116
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• 2008

The paper concerns Fuzzy C-Means clustering based Radial Basis Function neural networks (FCM-RBFNN) and the optimization of the network is carried out by means of Particle Swarm Optimization(PSO). FCM-RBFNN is the extended architecture of Radial Basis Function Neural Network(RBFNN). In the proposed network, the membership functions of the premise part of fuzzy rules do not assume any explicit functional forms such as Gaussian, ellipsoidal, triangular, etc., so its resulting fitness values directly rely on the computation of the relevant distance between data points by means of FCM. Also, as the consequent part of fuzzy rules extracted by the FCM - RBFNN model, the order of four types of polynomials can be considered such as constant, linear, quadratic and modified quadratic. Weighted Least Square Estimator(WLSE) are used to estimates the coefficients of polynomial. Since the performance of FCM-RBFNN is affected by some parameters of FCM-RBFNN such as a specific subset of input variables, fuzzification coefficient of FCM, the number of rules and the order of polynomials of consequent part of fuzzy rule, we need the structural as well as parametric optimization of the network. In this study, the PSO is exploited to carry out the structural as well as parametric optimization of FCM-RBFNN. Moreover The proposed model is demonstrated with the use of numerical example and gas furnace data set.

• Journal of the Korean Operations Research and Management Science Society
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• v.29 no.1
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• pp.43-56
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• 2004

The purpose of clustering is to partition a set of objects into several clusters based on some appropriate similarity measure. In most cases, clustering is considered without any prior information on the number of clusters or the structure of the given data, which makes clustering is one example of very complicated combinatorial optimization problems. In this paper we propose a general-purpose clustering method that can determine the proper number of clusters as well as efficiently carry out clustering analysis for various types of data. The method is composed of two stages. In the first stage, two different hierarchical clustering methods are used to get a reasonably good clustering result, which is improved In the second stage by ASA(accelerated simulated annealing) algorithm equipped with specially designed perturbation schemes. Extensive experimental results are given to demonstrate the apparent usefulness of our ASA clustering method.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2005.05a
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• pp.621-628
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• 2005

Scalability of clustering algorithms is critical issues facing the data mining community. This is particularly true for computationally intense tasks such as data clustering. Random sampling of instances is one possible means of achieving scalability but a pervasive problem with this approach is how to deal with the noise that this introduces in the evaluation of the learning algorithm. This paper develops a new optimization based clustering approach using an algorithms specifically designed for noisy performance. Numerical results illustrate that with this algorithm substantial benefits can be achieved in terms of computational time without sacrificing solution quality.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.14 no.6
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• pp.2670-2685
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• 2020

Flying ad-hoc networks (FANETs) is a vibrant research area nowadays. This type of network ranges from various military and civilian applications. FANET is formed by micro and macro UAVs. Among many other problems, there are two main issues in FANET. Limited energy and high mobility of FANET nodes effect the flight time and routing directly. Clustering is a remedy to handle these types of problems. In this paper, an efficient clustering technique is proposed to handle routing and energy problems. Transmission range of FANET nodes is dynamically tuned accordingly as per their operational requirement. By optimizing the transmission range packet loss ratio (PLR) is minimized and link quality is improved which leads towards reduced energy consumption. To elect optimal cluster heads (CHs) based on their fitness we use k-means. Selection of optimal CHs reduce the routing overhead and improves energy consumption. Our proposed scheme outclasses the existing state-of-the-art techniques, ACO based CACONET and PSO based CLPSO, in terms of energy consumption and cluster building time.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.60 no.4
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• pp.862-870
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• 2011

In this paper, we introduce a new topology of Radial Basis Function-based Polynomial Neural Networks (RPNN) that is based on a genetically optimized multi-layer perceptron with Radial Polynomial Neurons (RPNs). This study offers a comprehensive design methodology involving mechanisms of optimization algorithms, especially Fuzzy C-Means (FCM) clustering method and Particle Swarm Optimization (PSO) algorithms. In contrast to the typical architectures encountered in Polynomial Neural Networks (PNNs), our main objective is to develop a design strategy of RPNNs as follows : (a) The architecture of the proposed network consists of Radial Polynomial Neurons (RPNs). In here, the RPN is fully reflective of the structure encountered in numeric data which are granulated with the aid of Fuzzy C-Means (FCM) clustering method. The RPN dwells on the concepts of a collection of radial basis function and the function-based nonlinear (polynomial) processing. (b) The PSO-based design procedure being applied at each layer of RPNN leads to the selection of preferred nodes of the network (RPNs) whose local characteristics (such as the number of input variables, a collection of the specific subset of input variables, the order of the polynomial, and the number of clusters as well as a fuzzification coefficient in the FCM clustering) can be easily adjusted. The performance of the RPNN is quantified through the experimentation where we use a number of modeling benchmarks - NOx emission process data of gas turbine power plant and learning machine data(Automobile Miles Per Gallon Data) already experimented with in fuzzy or neurofuzzy modeling. A comparative analysis reveals that the proposed RPNN exhibits higher accuracy and superb predictive capability in comparison to some previous models available in the literature.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.58 no.6
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• pp.1230-1237
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• 2009

In this paper, we develop a design methodology of Granular-based Radial Basis Function Neural Networks(GRBFNN) by context-based clustering. In contrast with the plethora of existing approaches, here we promote a development strategy in which a topology of the network is predominantly based upon a collection of information granules formed on a basis of available experimental data. The output space is granulated making use of the K-Means clustering while the input space is clustered with the aid of a so-called context-based fuzzy clustering. The number of information granules produced for each context is adjusted so that we satisfy a certain reconstructability criterion that helps us minimize an error between the original data and the ones resulting from their reconstruction involving prototypes of the clusters and the corresponding membership values. In contrast to "standard" Radial Basis Function neural networks, the output neuron of the network exhibits a certain functional nature as its connections are realized as local linear whose location is determined by the values of the context and the prototypes in the input space. The other parameters of these local functions are subject to further parametric optimization. Numeric examples involve some low dimensional synthetic data and selected data coming from the Machine Learning repository.

• 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 Information Processing Systems
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• v.12 no.4
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• pp.555-576
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• 2016

In the conventional clustering algorithms, an object could be assigned to only one group. However, this is sometimes not the case in reality, there are cases where the data do not belong to one group. As against, the fuzzy clustering takes into consideration the degree of fuzzy membership of each pixel relative to different classes. In order to overcome some shortcoming with traditional clustering methods, such as slow convergence and their sensitivity to initialization values, we have used the Harmony Search algorithm. It is based on the population metaheuristic algorithm, imitating the musical improvisation process. The major thrust of this algorithm lies in its ability to integrate the key components of population-based methods and local search-based methods in a simple optimization model. We propose in this paper a new unsupervised clustering method called the Fuzzy Harmony Search-Fourier Transform (FHS-FT). It is based on hybridization fuzzy clustering and the harmony search algorithm to increase its exploitation process and to further improve the generated solution, while the Fourier transform to increase the size of the image's data. The results show that the proposed method is able to provide viable solutions as compared to previous work.

• ETRI Journal
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• v.34 no.6
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• pp.922-931
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• 2012

With the increasing demands for mobile wireless sensor networks in recent years, designing an energy-efficient clustering and routing protocol has become very important. This paper provides an analytical model to evaluate the power consumption of a mobile sensor node. Based on this, a clustering algorithm is designed to optimize the energy efficiency during cluster head formation. A genetic algorithm technique is employed to find the near-optimal threshold for residual energy below which a node has to give up its role of being the cluster head. This clustering algorithm along with a hybrid routing concept is applied as the near-optimal energy-efficient routing technique to increase the overall efficiency of the network. Compared to the mobile low energy adaptive clustering hierarchy protocol, the simulation studies reveal that the energy-efficient routing technique produces a longer network lifetime and achieves better energy efficiency.