• 응용통계연구
• /
• 제30권2호
• /
• pp.243-257
• /
• 2017

본 논문에서는 옵션의 가격을 결정하기 위해 사용될 수 있는 몇 가지 근사적인 방법들을 수치적으로 비교하였다. 헤르미트 다항식 계열의 Edgeworth 확장과 A-type Gram-Charlier 방법, C-type Gram-Charlier 방법, normal inverse gaussian (NIG) 분포를 이용하는 방법, 그리고 비선형 회귀를 이용한 점근적 근사방법이 그것이다. 이 방법들을 위험중립 확률측도 하에서 수익률의 분포함수를 근사하여 옵션가격을 계산하는 방식과 옵션의 근사가격식을 먼저 구하고 모수를 추정하여 가격을 계산하는 두 가지 방식을 사용하여 비교하였다. 모의실험에서는 확률변동성 모형에서 많이 사용되는 Heston 모형과 레비확률과정에서 좋은 적합도를 보이는 NIG 모형을 이용하여 자료를 생성하였고, 실제 자료로는 KOSPI200 콜옵션을 이용하였다. 모의실험과 실제 자료분석의 결과, 근사적 가격식을 먼저 구하는 방식이 좀 더 우수한 성능을 보였고 그 가운데 A-type Gram-Charlier와 비선형 회귀를 이용한 점근적 근사방법이 좋은 성능을 보였으며, 분포함수를 추정하여 옵션가격을 계산하는 경우 NIG분포를 이용하는 것이 상대적으로 좋은 결과를 보였다.

• 한국정밀공학회지
• /
• 제14권7호
• /
• pp.144-153
• /
• 1997

The inverse kinematics problem of a reclaimer which excavates and transports raw materials in a raw yard is investigated. Because of the geometric feature of the equipment in which scooping buckets are attached around the rotating disk, kinematic redundancy occurs in determining joint variable. Link coordinates are introduced following the Denavit-Hartenbery representation. For a given excavation point the forward kinematics yields 3 equations, however the number of involved joint variables in the equations is four. It is shown that the rotating disk at the end of the boom provides an extra passive degree of freedom. Two approaches are investigated in obtaining inverse kinematics solutions. The first method pre-assigns the height of excavation point which can be determined through path planning. A closed form solution is obtained for the first approach. The second method exploits the orthogonality between the normal vector at the excavation point and the z axis of the end-effector coordinate system. The geometry near the reclaiming point has been approximated as a plane, and the plane equation has been obtained by the least square method considering 8 adjacent points near the point. A closed form solution is not found for the second approach, however a linear approximate solution is provided.

• 대한기계학회논문집
• /
• 제14권2호
• /
• pp.298-309
• /
• 1990

In this paper, a new method is suggested to analyze impulsive stresses at loading poing of concentrated impact load under certain impact conditions determined by impact velocity, stiffness of plate and mass of impact body, etc. The impulsive stresses are analyzed by using the three dimensional dynamic theory of elasticity so as to analytically clarify the generation phenomenon of cone crack at the impact fracture of fragile materials (to be discussed if the second paper). The Lagrange's plate theory and Hertz's law of contact theory are used for the analysis of impact load, and the approximate equation of impact load is suggested to analyze the impulsive stresses at the impact point to decide the ranage of impact load factor. When impact load factors are over and under 0.263, approximate equations are suggested to be F(t)=Aexp(-Bt)sinCt and F(t)=Aexp(-bt) {1-exp(Ct)} respectively. Also, the inverse Laplace transformation is done by using the F.F.T.(fast fourier transform) algorithm. And in order to clarity the validity of stress analysis method, experiments on strain fluctuation at impact point are performed on a supported square glass plate. Finally, these analytical results are shown to be in close agreement with experimental results.

• 제어로봇시스템학회논문지
• /
• 제14권10호
• /
• pp.977-982
• /
• 2008

In this paper Haar functions are developed to approximate the solutions of continuous time linear system. Properties of Haar functions are first presented, and an explicit expression for the inverse of the Haar operational matrix is presented. Using the inverse of the Haar operational matrix the full order Stein equation should be solved in terms of the solutions of pure algebraic matrix equations, which reduces the computation time remarkably. Finally a numerical example is illustrated to demonstrate the validity of the proposed algorithm.

• Journal of applied mathematics & informatics
• /
• 제28권1_2호
• /
• pp.351-361
• /
• 2010

The solution of large sparse linear systems is one of the most important problems in large scale scientific computing. Among the many methods developed, the preconditioned Krylov subspace methods are considered the preferred methods. Selecting a suitable preconditioner with appropriate parameters for a specific sparse linear system presents a challenging task for many application scientists and engineers who have little knowledge of preconditioned iterative methods. The prediction of ILU type preconditioners was considered in [27] where support vector machine(SVM), as a data mining technique, is used to classify large sparse linear systems and predict best preconditioners. In this paper, we apply the data mining approach to the sparse approximate inverse(SAI) type preconditioners to find some parameters with which the preconditioned Krylov subspace method on the linear systems shows best performance.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 2001년도 ICCAS
• /
• pp.33.1-33
• /
• 2001

We address a novel approach to identify a nonlinear dynamic system for Wiener models, which are composed of a linear dynamic system part followed by a nonlinear static part. The aim of system identification here is to provide the optimal mathematical model of both the linear dynamic and the nonlinear static parts in some appropriate sense. Assuming the nonlinear static part is invertible, we approximate the inverse function by a piecewise linear function. We estimate the piecewise linear inverse function by using the evolutionary computation approach such as genetic algorithm (GA) and evolution strategies (ES), while we estimate the linear dynamic system part by the least squares method. The results of numerical simulation studies indicate the usefulness of proposed approach to the Wiener model identification.

• 한국수학교육학회지시리즈E:수학교육논문집
• /
• 제23권4호
• /
• pp.1079-1092
• /
• 2009

본 연구는 무한급수와 멱급수의 발생 배경과 발달 과정의 인식론적 토대가 되었던 뉴턴의 이항정리(binomial theorem)의 개념을 살펴보고, 그 발달 과정에서 얻어진 제곱근의 근삿값 구하는 방법, 뉴턴의 역유율법을 이용한 정적분 구하는 방법, 그리고 메르카토어 급수와 그레고리 급수의 발견 과정을 알아보고자 한다. 이 과정을 통하여 뉴턴의 이항정리가 가지는 수학사의 교수법적 논의를 제시하고자 한다.

• Bulletin of the Korean Chemical Society
• /
• 제17권2호
• /
• pp.188-192
• /
• 1996

It is shown that the inversion of the undamped Bloch equation for an amplitude-modulated broadband π/2 pulse can be precisely treated as an inverse scattering problem for a Schrodinger equation on the positive semiaxis. The pulse envelope is closely related to the central potential and asymptotically the wave function takes the form of a regular solution of the radial Schrodinger equation for s-wave scattering. An integral equation, which allows the calculation of the pulse amplitude (the potential) from the phase shift of the asymptotic solution, is derived. An exact analytical inversion of the integral equation shows that the detuning-independent π/2 pulse amplitude is given by a delta function. The equation also provides a means to calculate numerically approximate π/2 pulses for broadband excitation.

• 대한수학회보
• /
• 제33권4호
• /
• pp.603-611
• /
• 1996

Let consider the following problem: find an element u(t) in a Banach space U from the equation $$ x'(t) = Ax(t) + f(t,x(t)) + \Phi_0 u(t), 0 \leq t \leq T $$ with initial and terminal conditions $$ x(0) = 0, x(T) = \phi $$ in a Banach space X where $\phi \in D(A)$. This problem is a kind of control engineering inverse problem and contains nonlinear term, so that it is difficult and interesting. Thee proof main result in this paper is based on the Fredholm property of [1] in section 3. Similar considerations of linear system have been dealt with in many references. Among these literatures, Suzuki[5] introduced this problem for heat equation with unknown spatially-varing conductivity. Nakagiri and Yamamoto[2] considered the identifiability problem, which A is a unknown operator to be identified, where the system is described by a linear retarded functional differential equation. We can also apply to determining the magnitude of the control set for approximate controllability if X is a reflexive space, i.e., we can consider whether a dense subset of X is covered by reachable set in section 4.

• Communications for Statistical Applications and Methods
• /
• 제22권6호
• /
• pp.557-573
• /
• 2015

In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.