• 품질경영학회지
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• 제31권3호
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• pp.160-171
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• 2003

Criteria for the comparison of quality of asset portfolio management are risk and return. In this paper a method to use structural time-series model to determine an optimal portfolio for the improvement of quality of asset portfolio management is suggested. In traditional mean variance analysis expected return is assumed to be time-invariant. However, it is more realistic to assume that expected return is temporally dynamic and structural time-series model can be used to reflect time-varying nature of return. A data set from an insurance company was used to show validity of suggested method.

• 대한조선학회논문집
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• 제51권4호
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• pp.274-282
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• 2014

Time series of the dynamic response of a slender marine structure was predicted using quadratic Volterra series. The wave-structure interaction system was identified using the NARX(Nonlinear Autoregressive with Exogenous Input) technique, and the network parameters were determined through the supervised training with the prepared datasets. The dataset used for the network training was obtained by carrying out the nonlinear finite element analysis on the freely standing riser under random ocean waves of white noise. The nonlinearities involved in the analysis were both large deformation of the structure under consideration and the quadratic term of relative velocity between the water particle and structure in Morison formula. The linear and quadratic frequency response functions of the given system were extracted using the multi-tone harmonic probing method and the time series of response of the structure was predicted using the quadratic Volterra series. In order to check the applicability of the method, the response of structure under the realistic ocean wave environment with given significant wave height and modal period was predicted and compared with the nonlinear time domain simulation results. It turned out that the predicted time series of the response of structure with quadratic Volterra series successfully captures the slowly varying response with reasonably good accuracy. It is expected that the method can be used in predicting the response of the slender offshore structure exposed to the Morison type load without relying on the computationally expensive time domain analysis, especially for the screening purpose.

• 전기학회논문지
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• 제60권12호
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• pp.2202-2205
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• 2011

Demand side management is used to maintain the reliability of power systems and to increase the economic benefits by avoiding power plant construction. This paper presents a systematic method to calculate the quantity of seasonal demand side management using time series. A numerical example is presented to calculate the quantity of demand side management in winter season using time series.

• 정보처리학회논문지D
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• 제13D권3호
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• pp.357-368
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• 2006

본 논문에서는 타임 워핑 하의 시계열 서브시퀀스 매칭을 처리하는 방법에 대하여 논의한다. 타임 워핑은 시퀀스의 길이가 서로 다른 경우에도 유사한 패턴을 갖는 시퀀스들을 찾을 수 있도록 해 주는 변환이다. 접두어 질의 기법(prefix-querying method)는 착오 기각 없이 타임 워핑 하의 시계열 서브시퀀스 매칭을 처리하는 인덱스를 이용한 최초의 방식이다. 이 방법은 사용자가 질의를 편리하게 작성하도록 하기 위하여 기본 거리함수로서 $L_{\infty}$를 사용한다. 본 논문에서는 $L_{\infty}$ 대신 타임 워핑 하의 시계열 서브시퀀스 매칭에서 기본 거리 함수로서 가장 널리 사용되는 $L_1$을 적용할 수 있도록 접두어 질의를 확장한다. 또한, 제안된 기법으로 타임 워핑 하의 시계열 서브시퀀스 매칭을 수행하는 경우 착오 기각(false dismissal)이 발생하지 않음을 이론적으로 증명한다. 다양한 실험을 통한 성능 평가를 통하여 본 연구에서 제시하는 기법의 우수성을 검증한다. 실험 결과에 의하면, 제안된 기법은 가장 좋은 성능을 보이는 기존의 기법과 비교하여 매우 뛰어난 성능 개선 효과를 보이는 것으로 나타났다.

• 한국대기환경학회지
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• 제19권5호
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• pp.569-581
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• 2003

A method of synthetic time series generation was developed and applied to the simulation of homogeneous turbulence in a periodic 3 - D box and the hourly wind data simulation. The method can simulate almost exact sample auto and cross correlations of multiple time series and control non-Gaussian distribution. Using the turbulence simulation, influence of correlations, non-Gaussian distribution, and one-direction anisotropy on homogeneous structure were studied by investigating the spatial distribution of turbulence kinetic energy and enstrophy. An hourly wind data of Typhoon Robin was used to illustrate a capability of the method to simulate sample cross correlations of multiple time series. The simulated typhoon data shows a similar shape of fluctuations and almost exactly the same sample auto and cross correlations of the Robin.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2004년도 하계학술대회 논문집 D
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• pp.2209-2211
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• 2004

Unlike the wavelet neural network, since a mother wavelet layer of the self-recurrent wavelet neural network (SRWNN) is composed of self-feedback neurons, it has the ability to store past information of the wavelet. Therefore we propose the prediction method for the nonlinear chaotic time series model using a SRWNN. The SRWNN model is learned for the modeling of a function such that the inputs arc known values of the time series and the output is the value in the future. The parameters of the network are tuned to minimize the difference between the nonlinear mapping of the chaotic time series and the output of SRWNN using the gradient-descent method for the adaptive backpropagation algorithm. Through the computer simulations, we demonstrate the feasibility and the effectiveness of our method for the prediction of the logistic map and the Mackey-Glass delay-differential equation as a nonlinear chaotic time series.

• 대한기계학회논문집A
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• 제33권10호
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• pp.1144-1150
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• 2009

This paper investigates the feasibility of the Bayesian discrete time approximation method to estimate the parameters of Weibull distributions of failures for two non-identical components connected in series system. A Bayesian model based on the discrete time approximation method is formulated to infer the Weibull parameters of two non-identical components with the failure data of the virtual tests. The study of this paper comes to a conclusion that the method is feasible only for some special cases under the given constraints on the concerned parameters.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제17권6호
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• pp.1530-1544
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• 2023

Data monitoring is an important foundation of modern science. In most cases, the monitoring data is time-series data, which has high application value. The deep learning algorithm has a strong nonlinear fitting capability, which enables the recognition of time series by capturing anomalous information in time series. At present, the research of time series recognition based on deep learning is especially important for data monitoring. Deep learning algorithms require a large amount of data for training. However, abnormal sample is a small sample in time series, which means the number of abnormal time series can seriously affect the accuracy of recognition algorithm because of class imbalance. In order to increase the number of abnormal sample, a data augmentation method called GANBATS (GAN-based Bi-LSTM and Attention for Time Series) is proposed. In GANBATS, Bi-LSTM is introduced to extract the timing features and then transfer features to the generator network of GANBATS.GANBATS also modifies the discriminator network by adding an attention mechanism to achieve global attention for time series. At the end of discriminator, GANBATS is adding averagepooling layer, which merges temporal features to boost the operational efficiency. In this paper, four time series datasets and five data augmentation algorithms are used for comparison experiments. The generated data are measured by PRD(Percent Root Mean Square Difference) and DTW(Dynamic Time Warping). The experimental results show that GANBATS reduces up to 26.22 in PRD metric and 9.45 in DTW metric. In addition, this paper uses different algorithms to reconstruct the datasets and compare them by classification accuracy. The classification accuracy is improved by 6.44%-12.96% on four time series datasets.

• 응용통계연구
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• 제32권5호
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• pp.671-681
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• 2019

최근에 부정맥 환자가 증가하면서 머신러닝을 이용한 부정맥을 예측하는 연구가 활발하게 진행되고 있다. 기존의 많은 연구들은 특정한 시점의 RR 간격 데이터에서 추출한 특징변수 다변량 데이터에 기반하여 부정맥을 예측하였다. 본 연구에서는 심장 상태가 시간에 따라 변해가는 패턴도 부정맥 예측에 중요한 정보가 될 수 있다고 생각하여 일정한 시간 간격을 두고 특징변수의 다변량 벡터를 추출하여 쌓음으써 얻어지는 다변량 시계열 데이터로 부정맥을 예측하는 것의 유용성에 대해 살펴보았다. 1-Nearest Neighbor 방법과 그것을 앙상블(ensemble)한 learner를 중심으로 비교했을 경우 시계열의 특징을 고려한 적절한 시계열 거리함수를 선택하여 시계열 정보를 활용한 다변량 시계열 데이터 기반 방법의 분류 성능이 더 좋게 나오는 것을 확인하였다.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2000년도 제15차 학술회의논문집
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• pp.280-280
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• 2000

In this paper, we propose a method of constructing equation using bio-inspired emergent and evolutionary concepts. This method is algorithm that is based on the characteristics of the biological DNA and growth of plants. Here is. we propose a constructing method to make a DNA coding method for production rule of L-system. L-system is based on so-called the parallel rewriting mechanism. The DNA coding method has no limitation in expressing the production rule of L-system. Evolutionary algorithms motivated by Darwinian natural selection are population based searching methods and the high performance of which is highly dependent on the representation of solution space. In order to verify the effectiveness of our scheme, we apply it to one step ahead prediction of Mackey-Glass time series.