• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1991년도 한국자동제어학술회의논문집(국제학술편); KOEX, Seoul; 22-24 Oct. 1991
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• pp.1858-1863
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• 1991

The theory of stock option pricing has, recently, attracted attention of many researchers interested not only in finance but also in statistics and control theory. In this field, the problem of estimating stock return volatility is, above all, of great importance in calculating actual stock option value. In this paper, we assume that the stock market is represented by the stochastic volatility model which is the same as that of Hull and White. Then, we propose an approximation function of option value. It is a type of Black-Sholes option formula in which the first and the second order moments of logarithmic stock value are modified in a special form from the original model. Finally, an algorithm of estimating the parameters of the stochastic volatility model is given, and parameters are estimated by using Nikkei 225 index option data.

• 경영과학
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• 제9권1호
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• pp.3-15
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• 1992

In this paper, we study a manufacturing system of serial stages with general service times, in which the production of each stage and the coordination of stages are controlled by Kanban discipline. This Kanban discipline is modeled as a Discrete Event Dynamic System and a system of recursive equations is applied to study the dynamics of the system. The recursive relationship enables us to compare this Kanban discipline with the other blocking disciplines such as transfer blocking, service blocking, block-and-hold b, and block-and-hold K, and the Kanban is shown to be superior to the other disciplines in terms of makespan and throughput. As a special case, two stages Kanban system is modeled as $C_2/C_2/1/N$ queueing system, and a recursive algorithm is developed to calculate the system performance. In optimizing the system performance, the stochastic optimization approach of Robbins-Monro is employed via perturbation analysis, the way to estimate the stochastic partial derivative based on only one sample trajectory of the system, and the required commuting condition is verified. Then the stochastic convexity result is established to provide second-order optimality condition for this parametric optimization problem.

• 전기학회논문지
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• 제59권6호
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• pp.1034-1040
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• 2010

This paper presents a calculation method of the area of severity for the stochastic assessment of voltage sags. In general, the annual expected numbers of voltage sags at an individual load point can be estimated stochastically. However, in order to assess the system voltage sag performance considering many sensitive load points together, it is necessary to determine and analysis the area of severity for the load points. The area of severity to voltage sags is the network region where the fault occurrences will simultaneously lead to voltage sags at different load points. In this paper, the concept of the voltage sag assessment and the calculation method of the area of severity are addressed. The analysis of the area of severity is performed on the IEEE 30-bus test system by using the proposed method. The method is useful for the stochastic assesment of voltage sags and the establishment of systematic plans for voltage sag mitigation.

• 경영과학
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• 제29권1호
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• pp.1-14
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• 2012

The goal of the multi-reservoir operation planning is to provide an optimal release plan that maximize the reservoir storage and hydropower generation while minimizing the spillages. However, the reservoir operation is difficult due to the uncertainty associated with inflows. In order to consider the uncertain inflows in the reservoir operating problem, we present a Stochastic Dynamic Programming (SDP) model based on the markov decision process (MDP). The objective of the model is to maximize the expected value of the system performance that is the weighted sum of all expected objective values. With the SDP model, multi-reservoir operating rule can be derived, and it also generates the steady state probabilities of reservoir storage and inflow as output. We applied the model to the Geum-river basin in Korea and could generate a multi-reservoir monthly operating plan that can consider the uncertainty of inflow.

• 한국경영과학회지
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• 제29권4호
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• pp.1-10
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• 2004

In this paper we study bounds for characteristics of stationary waiting times in (max, +)-linear systems with a Poisson arrival process. which are prevalent in manufacturing systems, kanban systems, cyclic and acyclic fork-and-join type systems, finite or infinite capacity tandem queues with various kinds of blocking, transportation systems, and telecommunication networks, and so on. Recently, some results on series expansion for characteristics, such as higher moments, Laplace transform, and tail probability, of transient and stationary waiting times in a class of (max, +)-linear systems via Taylor series expansions have been studied. In order to overcome the computational complexity in those results, we consider bounds for characteristics of stationary waiting times using valuable stochastic ordering results. Some numerical examples are also provided.

• 한국멀티미디어학회논문지
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• 제12권1호
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• pp.97-106
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• 2009

무선 근거리 통신망 환경의 측위 전략은 정확도는 떨어지지만 측위를 위한 특수 장비가 필요 없다는 점에서 매력이 있다. 본 논문은 무선 근거리 통신망 환경에서 옥내 이동 물체의 제적을 의사 결정 트리기법을 이용한 측위 방법으로 측정하고, 측정치가 실제 궤적과 다르지 않음을 통계적으로 검정함으로써 이렇게 얻은 궤적을 실제 응용 시스템 개발에 사용하여도 좋다는 이론적 근거를 제공한다.

• 한국물환경학회지
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• 제25권1호
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• pp.112-119
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• 2009

Based on the study of soil water dynamics, this study is to suggest an advanced stochastic soil water model for future study for drought application. One distinguishable remark of this study is the derivation of soil water dynamic controling equation for 3-stage loss functions in order to understand the temporal behaviour of soil water with reaction to the precipitation. In terms of modeling, a model with rather simpler structure can be applied to regenerate the key characteristics of soil water behavior, and especially the probabilistic solution of the derived soil water dynamic equation can be helpful to provide better and clearer understanding of soil water behavior. Moreover, this study will be the future cornerstone of applying to more realistic phenomenon such as drought management.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제21권4호
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• pp.295-305
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• 2014

Yan & Hanson [8] and Makate & Sattayatham [6] extended Bates' model to the stochastic volatility model with jumps in both the stock price and the variance processes. As the solution processes of finding the characteristic function, they sought such a function f satisfying $$f({\ell},{\nu},t;k,T)=exp\;(g({\tau})+{\nu}h({\tau})+ix{\ell})$$. We add the term of order ${\nu}^{1/2}$ to the exponent in the above equation and seek the explicit solution of f.

• 한국정밀공학회지
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• 제2권3호
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• pp.70-76
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• 1985

A four-bar mechanism in consideration of the tolerances on link lengths and the clearances in joints is optimally designed by the method of stochastic analysis. The random nature of clearances and tolerances establishes a stochastic optimization design equation in which the parameters in the equation are described by random variables. In order to solve the design equation, the stochastic problem is converted into an equivalent deterministic one. The synthesis of four-bar mechanism for minimum mechanical and structural errors is carried out by the optimization techni- ques using Chebyshev spacing of precision points. By the results from the synthesized mechanism, the generated and desired motions are examined.

• Structural Engineering and Mechanics
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• 제29권6호
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• pp.603-622
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• 2008

This work deals with the design optimization of tuned mass damper (TMD) devices used for mitigating vibrations in high-rise towers subjected to seismic accelerations. A stochastic approach is developed and the excitation is represented by a stationary filtered stochastic process. The effectiveness of the vibration control strategy is evaluated by expressing the objective function as the reduction factor of the structural response in terms of displacement and absolute acceleration. The mechanical characteristics of the tuned mass damper represent the design variables. Analyses of sensitivities are carried out by varying the input and structural parameters in order to assess the efficiency of the TMD strategy. Variations between two different criteria are also evaluated.