• Journal of Electrical Engineering and Technology
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• v.2 no.4
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• pp.413-419
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• 2007

The optimal power flow (OPF) problem was introduced by Carpentier in 1962 as a network constrained economic dispatch problem. Since then, it has been intensively studied and widely used in power system operation and planning. In the past few decades, many stochastic optimization methods such as Genetic Algorithm (GA), Evolutionary Programming (EP), and Particle Swarm Optimization (PSO) have been applied to solve the OPF problem. In particular, PSO is a newly proposed population based stochastic optimization algorithm. The main idea behind it is based on the food-searching behavior of birds and fish. Compared with other stochastic optimization methods, PSO has comparable or even superior search performance for some hard optimization problems in real power systems. Nowadays, some modifications such as breeding and selection operators are considered to make the PSO superior and robust. In this paper, we propose the Modified PSO (MPSO), in which the mutation operator of GA is incorporated into the conventional PSO to improve the search performance. To verify the optimal solution searching ability, the proposed approach has been evaluated on an IEEE 3D-bus test system. The results showed that performance of the proposed approach is better than that of the standard PSO.

• Journal of applied mathematics & informatics
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• v.7 no.2
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• pp.507-516
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• 2000

In the present paper we consider a problem of choosing the rational way to carry on the metal processing (the problem of stochastic optimization) and the problem of determing the unknown characteristics of parameters described with random variables.

• Journal of Communications and Networks
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• v.14 no.5
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• pp.554-565
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• 2012

In this paper, we study a cross-layer and end-to-end optimization problem for the integrated wireless and wireline network that consists of one wireline core network and multiple wireless access networks. We consider joint end-to-end flow control/distribution at the transport and network layers and opportunistic scheduling at the data link and physical layers. We formulate a single stochastic optimization problem and solve it by using a dual approach and a stochastic sub-gradient algorithm. The developed algorithm can be implemented in a distributed way, vertically among communication layers and horizontally among all entities in the network, clearly showing what should be done at each layer and each entity and what parameters should be exchanged between layers and between entities. Numerical results show that our cross-layer and end-to-end optimization approach provides more efficient resource allocation than the conventional layered and separated optimization approach.

• Management Science and Financial Engineering
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• v.21 no.2
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• pp.1-8
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• 2015

This paper gives a brief review of the theory and applications of the robust optimization. Major issues including tractability, relations with relevant optimization frameworks, and dynamic robust optimization are addressed and future research directions are presented.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.13 no.1
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• pp.19-30
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• 2013

Recently, the constrained index tracking problem, in which the task of trading a set of stocks is performed so as to closely follow an index value under some constraints, has often been considered as an important application domain for control theory. Because this problem can be conveniently viewed and formulated as an optimal decision-making problem in a highly uncertain and stochastic environment, approaches based on stochastic optimal control methods are particularly pertinent. Since stochastic optimal control problems cannot be solved exactly except in very simple cases, approximations are required in most practical problems to obtain good suboptimal policies. In this paper, we present a procedure for finding a suboptimal solution to the constrained index tracking problem based on approximate dynamic programming. Illustrative simulation results show that this procedure works well when applied to a set of real financial market data.

• Journal of applied mathematics & informatics
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• v.20 no.1_2
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• pp.391-399
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• 2006

In order to solve the optimization problem of designing the trajectory of three-dimensional horizontal well, we establish a multi-phase, nonlinear, stochastic dynamic system of the trajectory of horizontal well. We take the precision of hitting target and the total length of the trajectory as the performance index. By the integration of the state equation, this model can be transformed into a nonlinear stochastic programming. We discuss here the necessary conditions under which a local solution exists and depends in a continuous way on the parameter (perturbation). According to the properties we propose a revised Hooke-Jeeves algorithm and work out corresponding software to calculate the local solution of the nonlinear stochastic programming and the expectancy of the performance index. The numerical results illustrate the validity of the proposed model and algorithm.

• International conference on construction engineering and project management
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• 2005.10a
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• pp.881-885
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• 2005

Scheduling repetitive projects under limitations on the amounts of available resources (labor and equipment) has been an active subject because of its practical relevance. Traditionally, the limitation is specified as a deterministic (fixed) number, such as 1000 labor-hours. The limitation, however, is often exposed to uncertainty and variability, especially when the project is lengthy. This paper presents a stochastic optimization model to treat the situations where the limitations of resources are expressed as probability functions in lieu of deterministic numbers. The proposed model transfers each deterministic resource constraint into a corresponding stochastic one and then solves the problem by the use of a chance-constrained programming technique. The solution is validated by comparison with simulation results to show that it can satisfy the resource constraints with a probability beyond the desired confidence level.

• Journal of the Korea Society for Simulation
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• v.18 no.2
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• pp.49-55
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• 2009

In this paper, we investigate an optimal allocation of constant service resources in stochastic system to optimize the expected performance of interest. For this purpose, we use the control variates to estimate the gradients of expected performance with respect to given resource parameters, and apply these estimated gradients in stochastic optimization algorithm to find the optimal allocation of resources. The proposed gradient estimation method is advantageous in that it uses simulation results of a single design point without increasing the number of design points in simulation experiments and does not need to describe the logical relationship among realized performance of interest and perturbations in input parameters. We consider the applications of this research to various models and extension of input parameter space as the future research.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1991.10a
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• pp.147-159
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• 1991

Stochastic convexity(concvity) of a stochastic process is a very useful concept for various stochastic optimization problems. In this study we first establish stochastic convexity of a certain class of Markov additive processes through the probabilistic construction based on the sample path approach. A Markov additive process is obtained by integrating a functional of the underlying Markov process with respect to time, and its stochastic convexity can be utilized to provide efficient methods for optimal design or for optimal operation schedule of a wide range of stochastic systems. We also clarify the conditions for stochatic monotonicity of the Markov process, which is required for stochatic convexity of the Markov additive process. This result shows that stochastic convexity can be used for the analysis of probabilistic models based on birth and death processes, which have very wide application area. Finally we demonstrate the validity and usefulness of the theoretical results by developing efficient methods for the optimal replacement scheduling based on the stochastic convexity property.

• Journal of the Korean Operations Research and Management Science Society
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• v.16 no.1
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• pp.76-88
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• 1991

Stochastic convexity (concavity) of a stochastic process is a very useful concept for various stochastic optimization problems. In this study we first establish stochastic convexity of a certain class of Markov additive processes through probabilistic construction based on the sample path approach. A Markov additive process is abtained by integrating a functional of the underlying Markov process with respect to time, and its stochastic convexity can be utilized to provide efficient methods for optimal design or optimal operation schedule wide range of stochastic systems. We also clarify the conditions for stochastic monotonicity of the Markov process. From the result it is shown that stachstic convexity can be used for the analysis of probabilitic models based on birth and death processes, which have very wide applications area. Finally we demonstrate the validity and usefulness of the theoretical results by developing efficient methods for the optimal replacement scheduling based on the stochastic convexity property.