• KIEE International Transactions on Power Engineering
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• v.5A no.1
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• pp.16-21
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• 2005

In this study, a new Unit Commitment (UC) algorithm is proposed to consider the uncertainty of a daily load profile. The proposed algorithm calculates the UC results with a lower load level than that generated by the conventional load forecast method and the greater hourly reserve allocation. In case of the worst load forecast, the deviation of the conventional UC solution can be overcome with the proposed method. The proposed method is tested with sample systems, which indicates that the new UC algorithm yields a completely feasible solution even when the worst load forecast is applied. Also, the effects of the uncertain hourly load demand are statistically analyzed, particularly by the consideration of the average over generation and the average under generation. Finally, it is shown that independent power producers participating in electricity spot-markets can establish bidding strategies by means of the statistical analysis. Therefore, it is expected that the proposed method can be used as the basic guideline for establishing bidding strategies under the deregulation power pool.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.43 no.5
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• pp.739-746
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• 1994

This paper present an efficient methodology to solve the unit commitment problem for large scaled power system which involves various type of generation. We introduce the global optimization approach to coordinate the thermal type, hydro type and pumped storage type generation. To overcome the shortcomings in dynamic programming for thermal unit commitment, an improved heurisitic method using lambda(λ) was proposed, Hydro and pumped type allocation was Solved by analytical approach using λ which exculde undisirable iteration for satisfying the energy usage constraints. The case studies for proposed algorithm are proven by sample system and KEPCO practical system, which produced very resonable both computing requirements and convergency.

• IE interfaces
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• v.24 no.1
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• pp.40-50
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• 2011

We develop a nonlinear integer programming model which minimizes the total cost with the optimal number of operators to hire and their optimal allocation to the tasks under the diverse constraints such as the weekly, daily, and hourly maximum allowable abandonment rates for the time-varying inbound call volume. We present a case study based on actual data at a call center, in order to prove the validity of applying the optimization method proposed. By the one-sample two-tailed t-test, we confirm that the expected abandonment rates resulting from the optimization method are identical with the ones from the discrete-event simulation within specified confidence intervals.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.

• The Korean Journal of Applied Statistics
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• v.27 no.2
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• pp.239-247
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• 2014

For a sensitive survey in which the population is composed by several strata with quantitative attributes, we present an additive stratified quantitative attribute randomized response model which applied stratified random sampling instead of simple random sampling to the models of Himmelfarb-Edgell's additive quantitative attribute model and Gjestvang-Singh's. We also establish theoretical grounds to estimate the stratum mean of sensitive quantitative attributes as well as the over all mean. We deal with the proportional and optimal allocation problems in each suggested model and compare the relative efficiency of the suggested two models; subsequently, Himmelfarb-Edgell's model is more efficient than Gjestvang-Singh's model under the condition of stratified random sampling.

• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.2895-2905
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• 2018

We present a mixed multiplicative quantitative randomized response model which added a unrelated quantitative attribute and forced answer to the multiplicative model suggested by Bar-Lev et al. (2004). We also try to set up theoretical grounds for estimating sensitive quantitative attribute according to circumstances whether or not the information for unrelated quantitative attribute is known. We also extend it into the stratified mixed multiplicative quantitative randomized response model for stratified population along with two allocation methods, proportional and optimum allocation. We can see that the various quantitative randomized response models such as Eichhorn-Hayre's model (1983), Bar-Lev et al.'s model (2004), Gjestvang-Singh's model (2007) and Lee's model (2016a), are one of the special occasions of the suggested model. Finally, We compare the efficiency of our suggested model with Bar-Lev et al.'s (2004) and see that the bigger the value of $C_z$, the more the efficiency of the suggested model is obtained.

• The KIPS Transactions:PartD
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• v.10D no.2
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• pp.317-326
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• 2003

The possession rate of residential telephones tend to decrease as mobile phones are widely spread. There is also a decrease in the access rate of the qualified respondents due to the low rate of phone book registration and that of house owner's presence at home. Such a change in telephone survey environment calls for another survey-channel which makes good use of new telecommunication services. In this paper, a mobile survey system was designed and performed by the use of SMS (Short Message Service) which is a kind of mobile data communication service. The system draws the sample by using random digit sampling based on 'quota allocation', and sends the SMS to the sample according to the arranged scheduler. Then, the survey-panel which received the SMS connects to the responding server by pressing the 'send' button (which is connected by the callback number), responding to the question. As a result, the responding value is stored in the database and is analyzed in real-time. This system is distinguished from other research methodologies for its simplicity in data collection, its inexpensive research price, and the innovatively low research time.

• Asian Pacific Journal of Cancer Prevention
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• v.15 no.14
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• pp.5571-5575
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• 2014

Background: The ability to predict the survival time of breast cancer patients is important because of the potential high morbidity and mortality associated with the disease. To develop a predictive inference for determining the survival of breast cancer patients, we applied a novel Bayesian method. In this paper, we propose the development of a databased statistical probability model and application of the Bayesian method to predict future survival times for White Hispanic female breast cancer patients, diagnosed in the US during 1973-2009. Materials and Methods: A stratified random sample of White Hispanic female patient survival data was selected from the Surveillance Epidemiology and End Results (SEER) database to derive statistical probability models. Four were considered to identify the best-fit model. We used three standard model-building criteria, which included Akaike Information Criteria (AIC), Bayesian Information Criteria (BIC), and Deviance Information Criteria (DIC) to measure the goodness of fit. Furthermore, the Bayesian method was used to derive future survival inferences for survival times. Results: The highest number of White Hispanic female breast cancer patients in this sample was from New Mexico and the lowest from Hawaii. The mean (SD) age at diagnosis (years) was 58.2 (14.2). The mean (SD) of survival time (months) for White Hispanic females was 72.7 (32.2). We found that the exponentiated Weibull model best fit the survival times compared to other widely known statistical probability models. The predictive inference for future survival times is presented using the Bayesian method. Conclusions: The findings are significant for treatment planning and health-care cost allocation. They should also contribute to further research on breast cancer survival issues.

• Survey Research
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• v.8 no.2
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• pp.91-115
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• 2007

OES survey as the national official statistics aims to provide the basic data for the national labor market policy and research such as the basic statistics for human resource supply policy, the prediction of employment by occupations, the decision of occupation, the occupational training and the finding jobs et al., at the levels of industrial and occupational classifications(3-digit). In order to achieve this objective, we analyze the OES data in 2005 and 2006 and propose the new sampling design using the long form data in Korea (10% sample data of census 2005). In this paper, we provide the criterion of sample allocation and derive the formular for estimator and error of it including the weighting procedure. From the proposed sampling design, we would expect that it contributes to the supply policy of human resource and the research for labor market.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.22 no.2
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• pp.64-79
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• 2023

This study reviewed the process of applying the Monte Carlo simulation technique to the traffic allocation problem of metropolitan subways. The analysis applied the assumption of a normal distribution in which the travel time information of the inter-station sample is the basis of the probit model. From this, the average and standard deviation are calculated by separating the traffic between stations. A plan was proposed to apply the simulation with the weights of the in-vehicle time of individual links and the walking and dispatch interval of transfer. Long-distance traffic with a low number of samples of 50 or fewer was evaluated as a way to analyze the characteristics of similar traffic. The research results were reviewed in two directions by applying them to the Seoul Metropolitan Subway Network. The travel time between single stations on the Seolleung-Seongsu route was verified by applying random sampling to the in-vehicle time and transfer time. The assumption of a normal distribution was accepted for sample sizes of more than 50 stations according to the inter-station traffic sample of the entire Seoul Metropolitan Subway. For long-distance traffic with samples numbering less than 50, the minimum distance between stations was 122Km. Therefore, it was judged that the sample deviation equality was achieved and the inter-station mean and standard deviation of the transport card data for stations at this distance could be applied.