• 유통과학연구
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• 제13권5호
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• pp.71-82
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• 2015

Purpose - The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology - To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results - According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the average correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions - Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

• 한국터널지하공간학회 논문집
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• 제5권4호
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• pp.337-348
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• 2003

밀장전한 암반 발파공에서 화약 폭발시 발생하는 고압의 폭굉압력 전파메카니즘을 충격파 이론을 적용하여 규명하고 전달된 발파압력 산정식을 유도하였다. 유도된 발파압력 산정식은 폭굉파속도, 단열지수, 화약밀도, Hugoniot 상수, 암반밀도의 함수였다. 에멀젼 화약과 서울 화강암의 특성시험을 시행하여 각 특성치의 확률분포를 정의하고 발파압력 산정식에 적용하여 발파압력의 확률분포를 산출하였다. 화약 특성치와 암반 특성치의 확률분포는 정규분포를 나타냈으며 따라서 발파압력의 확률분포도 정규분포로 추정되었다. 발파압력에 대한 매개변수분석을 시행한 결과 폭굉파속도가 발파압력에 가장 크게 영향을 미쳤다. 또한 이런 특성치의 불확실성이 발파압력의 불확실성에 미치는 영향을 분석하였다. 분석결과 암반특성치의 불확실성이 화약특성치보다 더 크게 영향을 미쳤다. 비록 매개변수분석에서 폭굉파속도가 발파압력에 가장 크게 영향을 미치는 요소이지만 암반특성치의 불확실성이 폭굉파속도의 불확실성보다 더 크기 때문에 발파압력은 후자보다 전자에 의해서 더 크게 영향을 받는다.

• Smart Structures and Systems
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• 제22권5호
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• pp.547-560
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• 2018

This paper investigates the operation of the $H_{\infty}$ static output-feedback controller to reduce dynamic responses under seismic excitation on the five-story and benchmark 20 story building with parametric uncertainties. Linear matrix inequality (LMI) control theory is applied in this system and then to achieve the desired LMI formulations, some transformations of the LMI variables is used. Conversely uncertainties due to material properties, environmental loads such as earthquake and wind hazards make the uncertain system. This problem and its effects are studied in this research. Also to decrease the transition of large amount of data between sensors and controller, avoiding the disruption of whole control system and economy problems, the operation of the decentralized controllers is investigated in this paper. For this purpose the comparison between the performance of the centralized, fully decentralized and partial decentralized controllers in uncoupled and coupled cases is performed. Also, the effect of the changing the number of stories in substructures is considered. Based on the numerical results, the used control algorithm is very robust against the parametric uncertainties and structural responses are decreased considerably in all the control cases but partial decentralized controller in coupled form gets the closest results to the centralized case. The results indicate the high applicability of the used control algorithm in the tall shear buildings to reduce the structural responses and its robustness against the uncertainties.

• 한국항행학회논문지
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• 제10권2호
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• pp.113-120
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• 2006

본 논문에서는 로봇 매니퓰레이터가 기준 궤적을 추종할 수 있도록 영상기반 강인제어기를 제안하였다. 카메라로부터 획득된 목표물의 특징점을 원하는 특징점 좌표로 로봇이 이동할 수 있도록 기준 궤적을 생성하고, 제어 입력에 포함되는 로봇 동역학부의 파라미터 불확실성을 보상하기 위한 강인제어기를 설계하였다. 또한 자코비안에 불확실성이 존재하는 경우 이를 보상하기 위한 제어 입력을 갖는 영상기반 강인제어기를 제안하였다. 시스템의 안정도는 Lyapunov 안정도 판별법을 이용하여 검증하였다. 5-링크 2 자유도의 로봇 매니퓰레이터를 대상으로 제안된 제어기를 적용한 모의실험과 실험을 통하여 제어 성능을 입증하였다.

• 한국전문물리치료학회지
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• 제23권2호
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• pp.93-99
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• 2016

Background: Parametric statistical procedures are typically conducted under the condition in which a sample distribution is statistically identical with its population. In reality, investigators use inferential statistics to estimate parameters based on the sample drawn because population distributions are unknown. The uncertainty of limited data from the sample such as lack of sample size may be a challenge in most rehabilitation studies. Objects: The purpose of this study is to review the bootstrapping method to overcome shortcomings of limited sample size in rehabilitation studies. Methods: Articles were reviewed. Results: Bootstrapping method is a statistical procedure that permits the iterative re-sampling with replacement from a sample when the population distribution is unknown. This statistical procedure is to enhance the representativeness of the population being studied and to determine estimates of the parameters when sample size are too limited to generalize the study outcome to target population. The bootstrapping method would overcome limitations such as type II error resulting from small sample sizes. An application on a typical data of a study represented how to deal with challenges of estimating a parameter from small sample size and enhance the uncertainty with optimal confidence intervals and levels. Conclusion: Bootstrapping method may be an effective statistical procedure reducing the standard error of population parameters under the condition requiring both acceptable confidence intervals and confidence level (i.e., p=.05).

• Smart Structures and Systems
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• 제17권3호
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• pp.445-470
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• 2016

In this study, the Bayesian probabilistic framework is investigated for modal identification and modal identifiability based on the field measurements provided in the structural health monitoring benchmark problem of an instrumented cable-stayed bridge named Ting Kau Bridge (TKB). The comprehensive structural health monitoring system on the cable-stayed TKB has been operated for more than ten years and it is recognized as one of the best test-beds with readily available field measurements. The benchmark problem of the cable-stayed bridge is established to stimulate investigations on modal identifiability and the present paper addresses this benchmark problem from the Bayesian prospective. In contrast to deterministic approaches, an appealing feature of the Bayesian approach is that not only the optimal values of the modal parameters can be obtained but also the associated estimation uncertainty can be quantified in the form of probability distribution. The uncertainty quantification provides necessary information to evaluate the reliability of parametric identification results as well as modal identifiability. Herein, the Bayesian spectral density approach is conducted for output-only modal identification and the Bayesian model class selection approach is used to evaluate the significance of different modes in modal identification. Detailed analysis on the modal identification and modal identifiability based on the measurements of the bridge will be presented. Moreover, the advantages and potentials of Bayesian probabilistic framework on structural health monitoring will be discussed.

• Journal of Advanced Marine Engineering and Technology
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• 제38권10호
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• pp.1318-1326
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• 2014

The purpose of a tracking control system is to track a moving target and to find the exact information of the target. If the platform of the tracking control system is equipped on a moving vehicle such as a ship, the tracking control system will treat even the additional platform motion. In order to avoid the complexity comprising the tracking control system, a process to treat the platform motion, named stabilizing system, must be separated from the tracking control system. In this paper, a method to comprise an attitude control system for the platform stabilization is proposed using an adaptive fuzzy control which is applicable to the system with structural and parametric uncertainty. The suggested adaptive fuzzy control algorithm is the 2nd/1st-type indirect adaptive fuzzy control algorithm using the advantages of 1st-type and 2nd-type indirect adaptive fuzzy control algorithm. Several experiments using the implemented stabilizing system are executed for verifying the effectiveness of the suggested method.

• Structural Engineering and Mechanics
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• 제10권6호
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• pp.517-532
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• 2000

A direct output feedback control scheme was recently proposed by the authors for single-story building structures resting on flexible soil body. In this paper, the control scheme is extended to mitigate the seismic responses of multi-story buildings. Soil-structure interaction is taken into account in two parts: input at the soil-structure interface/foundation and control algorithm. The former reflects the effect on ground motions and is monitored in real time with accelerometers at foundation. The latter includes the effect on the dynamic characteristics of structures, which is formulated by modifying the classical linear quadratic regulator based on the fundamental mode shape of the soil-structure system. Numerical result on the study of a $\frac{1}{4}$-scale three-story structure, supported by a viscoelastic half-space of soil mass, have demonstrated that the proposed algorithm is robust and very effective in suppressing the earthquake-induced vibration in building structures even supported on a flexible soil mass. Parametric studies are performed to understand how soil damping and flexibility affect the effectiveness of active tendon control. The selection of weighting matrix and effect of soil property uncertainty are investigated in detail for practical applications.

• Nuclear Engineering and Technology
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• 제54권10호
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• pp.3766-3777
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• 2022

It is essential to ensure the safety of spent nuclear fuel (SNF) transport cask in drop situation that is included in transport accident scenarios. The safety of the drop situation is affected by the impact absorption performance of impact limiters. Therefore, when designing an impact limiter, the uncertainty in the material properties that affect the impact absorption performance must be considered. In this study, the material properties of the wood inside the impact limiter were selected as the variables for a parametric study. The sensitivity analysis of the drop response of the SNF transport cask with impact limiter was performed. The minimum wood strength required to prevent a direct collision between the cask and floor was derived from the analysis results. In addition, the plastic strain response was analyzed and strain-based evaluation was performed. Based on this result, the critical values of wood properties that change the impact dynamic characteristics were investigated. Finally, the optimal material properties of wood were obtained to secure the structural safety of the SNF transport cask. The results of this study can contribute to the development of SNF transport cask, thereby ensuring safety in transport accident conditions.

• Nuclear Engineering and Technology
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• 제55권1호
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• pp.131-143
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• 2023

Constitutive equations in a nuclear reactor safety analysis code are mostly empirical correlations developed from experiments, which always accompany uncertainties. The accuracy of the code can be improved by modifying the constitutive equations fitting wider range of data with less uncertainty. Thus, the sensitivity of the code with respect to the constitutive equations is evaluated quantitatively in the paper to understand the room for improvement of the code. A new methodology is proposed which first starts by dividing the thermal hydraulic conditions into multiple sub-regimes using self-organizing map (SOM) clustering method. The sensitivity analysis is then conducted by multiplying an arbitrary set of coefficients to the constitutive equations for each sub-divided thermal-hydraulic regime with SOM to observe how the code accuracy varies. The randomly chosen multiplier coefficient represents the uncertainty of the constitutive equations. Furthermore, the set with the smallest error with the selected experimental data can be obtained and can provide insight which direction should the constitutive equations be modified to improve the code accuracy. The newly proposed method is applied to a steady-state experiment and a transient experiment to illustrate how the method can provide insight to the code developer.