• International Journal of Fuzzy Logic and Intelligent Systems
• /
• 제13권1호
• /
• pp.19-30
• /
• 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 Electrical Engineering and Technology
• /
• 제7권5호
• /
• pp.681-688
• /
• 2012

This paper presents the application of Differential Evolution (DE) algorithm to obtain a solution for Bid Based Dynamic Economic Dispatch (BBDED) problem including the transmission losses and to maximize the social profit in a deregulated power system. The IEEE-30 bus test system with six generators, two customers and two trading periods are considered under various bidding strategies in a day-ahead electricity market. By matching the bids received from supplying and distributing entities, the Independent System Operator (ISO) maximize the social profit, (with the choices available). The simulation results of DE are compared with the results of Particle swarm optimization (PSO). The results demonstrate the potential of DE algorithm and show its effectiveness to solve BBDED.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2009년도 제40회 하계학술대회
• /
• pp.561_562
• /
• 2009

발전부문 배출권 모의거래는 배출권 거래제 도입시 발전부부문에 미치는 영향 분석을 통해 발전부문의 대응전략을 수립하기 위한 목적으로 2008년에 전력거래소가 주관하여 발전5사(남동, 중부, 서부, 동서, 남부)가 주요 참여사로 하여 국내최초로 국내실정에 맞는 배출권 모의거래를 시행하였다. 모의거래에서는 2가지의 시나리오를 설정하였다. 시나리오 I은 최소발전량 발전, 시나리오 II는 총발전운영계획량과 발전실적량을 일치토록하는 전제조건을 설정하였다. 그 결과 시나리오 I에서 모든 참여사는 최소 조건을 충족하도록 발전하는 전략적 행위로 인하여 전력공급지장이 발생하였고, 시나리오 II는 온실가스 배출량이 적은 LNG발전소의 발전량은 증가시키고, 온실가스량이 많은 석탄화력은 증가 운전토록하는 전략적 행위를 취함으로써 발전원가의 상승으로 인하여 전력가격이 상승하는 결과를 초래하였다. 따라서 향후 우리나라에 배출권 거래제 도입될 경우에 대비하여 전력시장과 연계한 배출권 거래제의 다양한 시뮬레이션이 필요하다.

• 한국경영과학회지
• /
• 제33권1호
• /
• pp.19-33
• /
• 2008

In the previous double auction research for the market optimization, two basic assumptions are usually applied - (1) each trader has a linear or quasi-linear utility function of price and quantity, and (2) buyers as well as sellers have identical utility functions. However, in practice, each buyer and seller in a double auction market may have diverse utility functions for trading goods. Therefore, a flexible and integrated double auction mechanism that can integrate all traders' diverse utility functions is necessary. In particular, the flexible mechanism is more useful in a synchronous double auction because traders can properly change utilities in each round. Therefore, in this paper, we propose a flexible synchronous double auction mechanism in which traders can express diverse utility functions for the price and quantity of the goods, and optimal total market utility is guaranteed. In order to optimize the total market utility which consists of multiple complex utility functions of traders. We show the viability of the proposed mechanism through a several simulation experiments.

• Journal of Electrical Engineering and Technology
• /
• 제1권1호
• /
• pp.1-7
• /
• 2006

In an electricity market, the spot market is normally integrated with a forward or future market. The advantage of the forward market is to allow the market participants to deal in a part or the whole trading portfolio at a fix price in advance and to avoid risk associated to the uncertain price of the spot market. Japan has introduced a continuous auction base forward market from April 2005. This paper analyzes the Japanese forward market rules and operations, and introduces a new algorithm that may improve the efficiency of the market itself. The proposed algorithm enables us to give consideration to the specific characteristics of the power system and to integrate them in the auction mechanism. The benefits of the proposed algorithm are verified on an electronic simulation platform and the results described in this paper.

• 디지털융복합연구
• /
• 제7권1호
• /
• pp.73-80
• /
• 2009

In this study, the pricing performances of alternative simple option models are examined by creating a simulated market environment in which asset prices evolve according to a stochastic volatility process. To do this, option prices fully consistent with Heston[9]'s model are generated. Assuming this prices as market prices, the trading positions utilizing the Black-Scholes[4] model, a semi-parametric Corrado-Su[7] model and an ad-hoc modified Black-Scholes model are evaluated with respect to the true option prices obtained from Heston's stochastic volatility model. The simulation results suggest that both the Corrado-Su model and the modified Black-Scholes model perform well in this simulated world substantially reducing the biases of the Black-Scholes model arising from stochastic volatility. Surprisingly, however, the improvements of the modified Black-Scholes model over the Black-Scholes model are much higher than those of the Corrado-Su model.

• 디지털융복합연구
• /
• 제10권10호
• /
• pp.129-137
• /
• 2012

21세기로 진입하면서, 기업에게 가장 중요한 화두는 변화와 혁신이다. 이를 실현하기 위해서는 가장 적절한 인재 선발이 중요하다. 이와같은 인재선발에 대한 중요성은 기업의 담당자뿐만 아니라 학계 또한 관심을 가지고 있다. 그러나 적절한 경험과 지식을 보유한 인재를 선발하는 것은 쉬운 일이 아니다. 따라서 본 연구 인재 선발을 지원하는 시스템 구축에 그 목적이 있다. 본 연구에서 제안한 시스템은 전략적 시뮬레이션 게임이며 구직자들을 게임 참여를 통해 몇 번의 구직기회를 획득할 수 있을 것이다. 본 시스템은 또한 기업 차원에서 적절한 인재를 선발하고 인재 관리를 지원하고 또 다른 몇몇의 비즈니스 기회를 제공할 것이다. 결론적으로 전략적 시뮬레이션 기반의 본 시스템은 인재관리를 지원하고 취업시장을 활성화 시킬 수 있을 뿐만 아니라 기업의 정보와 지식 또한 교환하게 하는 시스템이다.

• 대한산업공학회지
• /
• 제41권3호
• /
• pp.259-266
• /
• 2015

Among many energy resources, natural gas has recently received a remarkable amount of attention, particularly from the electrical generation industry. This is in part due to increasing shale gas production, providing an environment-friendly fossil fuel, and high risk of nuclear power. Because South Korea, the world's second largest LNG importing nation after Japan, has no international natural gas pipelines and relies on imports in the form of LNG, the natural gas has been traditionally procured by long term LNG contracts at relatively high price. Thus, there is a need of developing an Asian LNG trading hub, where LNG can be traded at more competitive spot prices. In a natural gas spot market, the amount of natural gas to be bought should be carefully determined considering a limited storage capacity and future pricing dynamics. In this work, the problem to find the optimal amount of natural gas in a spot market is formulated as a Markov decision process (MDP) in risk neutral environment and the optimal base stock policy which depends on a stage and price is established. Taking into account price and demand uncertainties, the basestock target levels are simply approximated from dynamic programming. The simulation results show that the basestock policy can be one of effective ways for procurement of LNG in a spot market.

• Journal of Communications and Networks
• /
• 제8권1호
• /
• pp.93-105
• /
• 2006

The domination of the Internet by TCP-based services has spawned many efforts to provide high network utilization with low loss and delay in a simple and scalable manner. Active queue management (AQM) algorithms attempt to achieve these goals by regulating queues at bottleneck links to provide useful feedback to TCP sources. While many AQM algorithms have been proposed, most suffer from instability, require careful configuration of nonintuitive control parameters, or are not practical because of slow response to dynamic traffic changes. In this paper, we propose a new AQM algorithm, hybrid random early detection (HRED), that combines the more effective elements of recent algorithms with a random early detection (RED) core. HRED maps instantaneous queue length to a drop probability, automatically adjusting the slope and intercept of the mapping function to account for changes in traffic load and to keep queue length within the desired operating range. We demonstrate that straightforward selection of HRED parameters results in stable operation under steady load and rapid adaptation to changes in load. Simulation and implementation tests confirm this stability, and indicate that overall performances of HRED are substantially better than those of earlier AQM algorithms. Finally, HRED control parameters provide several intuitive approaches to trading between required memory, queue stability, and response time.

• Journal of Ecology and Environment
• /
• 제43권1호
• /
• pp.61-72
• /
• 2019

Background: Organic carbon stored in coastal wetlands, which comprises the major part of oceanic "blue carbon," is a subject of growing interest and concern. In this study, organic carbon storage in coastal wetlands and its economic value were estimated using the raw data of 25 studies related to soil carbon storage. Data were collected from three tidal flats (one protected and two developed areas) and two estuarine salt marshes (one protected and one restored area). Bulk density, soil organic matter content, and standing biomass of vegetation were all considered, with Monte Carlo simulation applied to estimate the uncertainty. Results: Mean carbon storage in two salt marshes ranged between 14.6 and $25.5kg\;C\;m^{-2}$. Mean carbon storage in tidal flats ranged from 18.2 to $28.6kg\;C\;m^{-2}$, with variability possibly related to soil texture. The economic value of stored carbon was estimated by comparison with the price of carbon in the emission trading market. The value of US $ $6600\;ha^{-1}$ is ~ 45% of previously estimated ecosystem services from fishery production and water purification functions in coastal areas. Conclusions: Although our study sites do not cover all types of large marine ecosystem, this study highlights the substantial contribution of coastal wetlands as carbon sinks and the importance of conserving these habitats to maximize their ecosystem services.