• Communications for Statistical Applications and Methods
• /
• 제23권1호
• /
• pp.21-32
• /
• 2016

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

• 호남수학학술지
• /
• 제43권4호
• /
• pp.679-689
• /
• 2021

The first author suggested an exact volume formula of the hypercubes [0, 1]ⁿ clipped by several hyperplanes expressed directly in terms of linear coefficients of the hyperplanes. However, it requires awkward assumptions to apply the formula to various situations. We suggest a concrete method to overcome those restrictions for two or three hyperplanes using 𝜖-perturbation, which gives an exact value applicable for any kind of arrangement of hyperplanes with no consideration.

• 로봇학회논문지
• /
• 제7권1호
• /
• pp.20-28
• /
• 2012

In spite of the difficulties and uncertain characteristic of cable driven method, surgical robot instrument has adopted it as driving mechanism for various reasons. To overcome the problem of cable system, previous research applied SMCSPO (sliding mode control with sliding perturbation observer) algorithm as robust controller to control the instrument and found that the value of SPO (sliding perturbation observer) followed force disturbance, reaction force loaded on the tip very similarly. Thus, this paper confirms that the perturbation observer is sufficient estimator which finds out the mount of loaded force on the surgical robot instrument. To prove the proposition, simulation using the similar model with an actual instrument and experimental evaluation are performed. The results show that it is possible to substitute SPO for sensors to measure the reaction force. This estimated reaction force will be used to realize haptic function by sending the reaction force to a master device for a surgeon. The results will contribute to create surgical benefit such as shortening the practice time of a surgeon and giving haptic information to surgeon by using it as haptic signal to protect an organ by making force boundary.

• 대한화학회지
• /
• 제35권4호
• /
• pp.308-315
• /
• 1991

단순한 쿨롱액체들의 채심입방정계의 구조와 열역학적 성질들은 일성분 플라즈마에 대한 섭동론으로부터 계산된다. 섭동론(PT)과 Monte Cario(MC) 데이타의 비교는 좋은 일치를 보인다. 강체구 섭동론은 일성분 플라즈마 같은 먼 거리의 인력계에 적절하다. PT와 MC 데이타에 대한 동경 분포함수(g(r))와 구조인자(S(q))의 비교에서 일치를 보인다. 따라서 섭동론은 쿨롱액체의 성질 및 구조를 설명하는데 유용한 방법이다.

• 전자공학회논문지C
• /
• 제35C권3호
• /
• pp.79-89
• /
• 1998

The Error Back-Propagation(EBP) algorithm is widely applied to train a multi-layer perceptron, which is a neural network model frequently used to solve complex problems such as pattern recognition, adaptive control, and global optimization. However, the EBP is basically a gradient descent method, which may get stuck in a local minimum, leading to failure in finding the globally optimal solution. Moreover, a multi-layer perceptron suffers from locking a systematic determination of the network structure appropriate for a given problem. It is usually the case to determine the number of hidden nodes by trial and error. In this paper, we propose a new algorithm to efficiently train a multi-layer perceptron. OUr algorithm uses stochastic perturbation in the weight space to effectively escape from local minima in multi-layer perceptron learning. Stochastic perturbation probabilistically re-initializes weights associated with hidden nodes to escape a local minimum if the probabilistically re-initializes weights associated with hidden nodes to escape a local minimum if the EGP learning gets stuck to it. Addition of new hidden nodes also can be viewed asa special case of stochastic perturbation. Using stochastic perturbation we can solve the local minima problem and the network structure design in a unified way. The results of our experiments with several benchmark test problems including theparity problem, the two-spirals problem, andthe credit-screening data show that our algorithm is very efficient.

• International Journal of Control, Automation, and Systems
• /
• 제6권5호
• /
• pp.677-688
• /
• 2008

In this paper, the general problem of impedance control for a robotic manipulator with a moving flexible base is addressed. Impedance control imposes a relation between force and displacement at the contact point with the environment. The concept of impedance control of flexible base mobile manipulator is rather new and is being considered for first time using singular perturbation and new sliding mode control methods by authors. Initially slow and fast dynamics of robot are decoupled using singular perturbation method. Slow dynamics represents the dynamics of the manipulator with rigid base. Fast dynamics is the equivalent effect of the flexibility in the base. Then, using sliding mode control method, an impedance control law is derived for the slow dynamics. The asymptotic stability of the overall system is guaranteed using a combined control law comprising the impedance control law and a feedback control law for the fast dynamics. As first time, base flexibility was analyzed accurately in this paper for flexible base moving manipulator (FBMM). General dynamic decoupling, whole system stability guarantee and new composed robust control method were proposed. This proposed Sliding Mode Impedance Control Method (SMIC) was simulated for two FBMM models. First model is a simple FBMM composed of a 2 DOFs planar manipulator and a single DOF moving base with flexibility in between. Second FBMM model is a complete advanced 10 DOF FBMM composed of a 4 DOF manipulator and a 6 DOF moving base with flexibility. This controller provides desired position/force control accurately with satisfactory damped vibrations especially at the point of contact. This is the first time that SMIC was addressed for FBMM.

• 한국전산구조공학회논문집
• /
• 제20권1호
• /
• pp.65-73
• /
• 2007

구조 역섭동 문제에서, 신뢰할 만한 결과를 얻기 위해서는 정의되지 않은 모든 자유도가 미지변수로 간주되기 때문에 많은 전산자원이 필요하다. 본 연구에서는 축소시스템 기법과의 연동을 통해 정의되지 않은 자유도를 축소시스템에서 정의된 자유도 정보로 대체함으로써 해의 정확성과 계산의 효율성을 확보하는 기법을 제안한다. 일반적으로 구조 시스템을 축소할 경우, 시스템 축소변환 행렬에 오차가 포함되게 된다. 이 오차로 인해 축소기법을 적용하여 역섭동 문제의 정확한 해를 구하는 것은 쉽지 않은 문제이다. 이러한 문제를 해결하기 위해서 자유도 변환행렬을 매 단계마다 개선하는 반복적 축소 시스템 기법을 적용한다. 자유도 기반 축소시스템의 신뢰성은 주자유도 선정 위치와 변환행렬의 반복 계산 횟수에 의해 결정되며, 변환행렬의 반복 계산을 줄이기 위해서는 시스템 구축 초기에 주자유도가 잘 선정되어야 한다. 따라서, 본 연구에서는 축소모델의 정확도를 향상시키고 변환 행렬의 반복 계산을 최소화하기 위해 2단계 축소기법을 적용하여 주자유도 위치를 선정한다. 최종적으로 수치예제를 통해서 반복적 역섭동법의 효용성을 확인한다.

• Journal of applied mathematics & informatics
• /
• 제29권1_2호
• /
• pp.381-394
• /
• 2011

In this paper, a Naveir-Stokes equation is solved by using the Adomian's decomposition method (ADM), modified Adomian's decomposition method (MADM), variational iteration method (VIM), modified variational iteration method (MVIM), modified homotopy perturbation method (MHPM) and homotopy analysis method (HAM). The approximate solution of this equation is calculated in the form of series which its components are computed by applying a recursive relation. The existence and uniqueness of the solution and the convergence of the proposed methods are proved. A numerical example is studied to demonstrate the accuracy of the presented methods.

• Structural Engineering and Mechanics
• /
• 제16권3호
• /
• pp.327-340
• /
• 2003

Variations in system parameters due to uncertainties of parameters may result in system performance deterioration and create system internal stability problems. Uncertainties in structural modeling of structures are often considered to ensure that the control system is robust with respect to response errors. So the uncertain concept plays an important role in the analysis and design of the engineering structures. In this paper, the active control of the intelligent structures with the uncertainties is studied and a new method for analyzing the robustness of systems with the uncertainties is presented. Firstly, the system with uncertain parameters is considered as the perturbation of the system with deterministic parameters. Secondly, the feedback control law is designed on the basis of deterministic system. Thirdly, perturbation analysis and robustness analysis of intelligent structures with uncertainties are discussed when the feedback control law is applied to the original system and perturbed system. Combining the convex model of uncertainties with the finite element method, the analysis theory of the robustness of intelligent structures with the uncertainties can be developed. The description and computation of the robustness of intelligent structures with uncertain parameters is obtained. Finally, a numerical example of the application of the present method is given to show the validity of the method.

• International Journal of Control, Automation, and Systems
• /
• 제6권4호
• /
• pp.506-514
• /
• 2008

This paper presents an intelligent model; named as free model, approach for a closed-loop system identification using input and output data and its application to design a power system stabilizer (PSS). The free model concept is introduced as an alternative intelligent system technique to design a controller for such dynamic system, which is complex, difficult to know, or unknown, with input and output data only, and it does not require the detail knowledge of mathematical model for the system. In the free model, the data used has incremental forms using backward difference operators. The parameters of the free model can be obtained by simultaneous perturbation stochastic approximation (SPSA) method. A linear transformation is introduced to convert the free model into a linear model so that a conventional linear controller design method can be applied. In this paper, the feasibility of the proposed method is demonstrated in a one-machine infinite bus power system. The linear quadratic regulator (LQR) method is applied to the free model to design a PSS for the system, and compared with the conventional PSS. The proposed SPSA-based LQR controller is robust in different loading conditions and system failures such as the outage of a major transmission line or a three phase to ground fault which causes the change of the system structure.