• Title/Summary/Keyword: artificial intelligence

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A Study on the Revitalization of Tourism Industry through Big Data Analysis (한국관광 실태조사 빅 데이터 분석을 통한 관광산업 활성화 방안 연구)

  • Lee, Jungmi;Liu, Meina;Lim, Gyoo Gun
    • Journal of Intelligence and Information Systems
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    • v.24 no.2
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    • pp.149-169
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    • 2018
  • Korea is currently accumulating a large amount of data in public institutions based on the public data open policy and the "Government 3.0". Especially, a lot of data is accumulated in the tourism field. However, the academic discussions utilizing the tourism data are still limited. Moreover, the openness of the data of restaurants, hotels, and online tourism information, and how to use SNS Big Data in tourism are still limited. Therefore, utilization through tourism big data analysis is still low. In this paper, we tried to analyze influencing factors on foreign tourists' satisfaction in Korea through numerical data using data mining technique and R programming technique. In this study, we tried to find ways to revitalize the tourism industry by analyzing about 36,000 big data of the "Survey on the actual situation of foreign tourists from 2013 to 2015" surveyed by the Korea Culture & Tourism Research Institute. To do this, we analyzed the factors that have high influence on the 'Satisfaction', 'Revisit intention', and 'Recommendation' variables of foreign tourists. Furthermore, we analyzed the practical influences of the variables that are mentioned above. As a procedure of this study, we first integrated survey data of foreign tourists conducted by Korea Culture & Tourism Research Institute, which is stored in the tourist information system from 2013 to 2015, and eliminate unnecessary variables that are inconsistent with the research purpose among the integrated data. Some variables were modified to improve the accuracy of the analysis. And we analyzed the factors affecting the dependent variables by using data-mining methods: decision tree(C5.0, CART, CHAID, QUEST), artificial neural network, and logistic regression analysis of SPSS IBM Modeler 16.0. The seven variables that have the greatest effect on each dependent variable were derived. As a result of data analysis, it was found that seven major variables influencing 'overall satisfaction' were sightseeing spot attraction, food satisfaction, accommodation satisfaction, traffic satisfaction, guide service satisfaction, number of visiting places, and country. Variables that had a great influence appeared food satisfaction and sightseeing spot attraction. The seven variables that had the greatest influence on 'revisit intention' were the country, travel motivation, activity, food satisfaction, best activity, guide service satisfaction and sightseeing spot attraction. The most influential variables were food satisfaction and travel motivation for Korean style. Lastly, the seven variables that have the greatest influence on the 'recommendation intention' were the country, sightseeing spot attraction, number of visiting places, food satisfaction, activity, tour guide service satisfaction and cost. And then the variables that had the greatest influence were the country, sightseeing spot attraction, and food satisfaction. In addition, in order to grasp the influence of each independent variables more deeply, we used R programming to identify the influence of independent variables. As a result, it was found that the food satisfaction and sightseeing spot attraction were higher than other variables in overall satisfaction and had a greater effect than other influential variables. Revisit intention had a higher ${\beta}$ value in the travel motive as the purpose of Korean Wave than other variables. It will be necessary to have a policy that will lead to a substantial revisit of tourists by enhancing tourist attractions for the purpose of Korean Wave. Lastly, the recommendation had the same result of satisfaction as the sightseeing spot attraction and food satisfaction have higher ${\beta}$ value than other variables. From this analysis, we found that 'food satisfaction' and 'sightseeing spot attraction' variables were the common factors to influence three dependent variables that are mentioned above('Overall satisfaction', 'Revisit intention' and 'Recommendation'), and that those factors affected the satisfaction of travel in Korea significantly. The purpose of this study is to examine how to activate foreign tourists in Korea through big data analysis. It is expected to be used as basic data for analyzing tourism data and establishing effective tourism policy. It is expected to be used as a material to establish an activation plan that can contribute to tourism development in Korea in the future.

A Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems (지능형 변동성트레이딩시스템개발을 위한 GARCH 모형을 통한 VKOSPI 예측모형 개발에 관한 연구)

  • Kim, Sun-Woong
    • Journal of Intelligence and Information Systems
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    • v.16 no.2
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    • pp.19-32
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    • 2010
  • Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

A Study on the Establishment of Comparison System between the Statement of Military Reports and Related Laws (군(軍) 보고서 등장 문장과 관련 법령 간 비교 시스템 구축 방안 연구)

  • Jung, Jiin;Kim, Mintae;Kim, Wooju
    • Journal of Intelligence and Information Systems
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    • v.26 no.3
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    • pp.109-125
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    • 2020
  • The Ministry of National Defense is pushing for the Defense Acquisition Program to build strong defense capabilities, and it spends more than 10 trillion won annually on defense improvement. As the Defense Acquisition Program is directly related to the security of the nation as well as the lives and property of the people, it must be carried out very transparently and efficiently by experts. However, the excessive diversification of laws and regulations related to the Defense Acquisition Program has made it challenging for many working-level officials to carry out the Defense Acquisition Program smoothly. It is even known that many people realize that there are related regulations that they were unaware of until they push ahead with their work. In addition, the statutory statements related to the Defense Acquisition Program have the tendency to cause serious issues even if only a single expression is wrong within the sentence. Despite this, efforts to establish a sentence comparison system to correct this issue in real time have been minimal. Therefore, this paper tries to propose a "Comparison System between the Statement of Military Reports and Related Laws" implementation plan that uses the Siamese Network-based artificial neural network, a model in the field of natural language processing (NLP), to observe the similarity between sentences that are likely to appear in the Defense Acquisition Program related documents and those from related statutory provisions to determine and classify the risk of illegality and to make users aware of the consequences. Various artificial neural network models (Bi-LSTM, Self-Attention, D_Bi-LSTM) were studied using 3,442 pairs of "Original Sentence"(described in actual statutes) and "Edited Sentence"(edited sentences derived from "Original Sentence"). Among many Defense Acquisition Program related statutes, DEFENSE ACQUISITION PROGRAM ACT, ENFORCEMENT RULE OF THE DEFENSE ACQUISITION PROGRAM ACT, and ENFORCEMENT DECREE OF THE DEFENSE ACQUISITION PROGRAM ACT were selected. Furthermore, "Original Sentence" has the 83 provisions that actually appear in the Act. "Original Sentence" has the main 83 clauses most accessible to working-level officials in their work. "Edited Sentence" is comprised of 30 to 50 similar sentences that are likely to appear modified in the county report for each clause("Original Sentence"). During the creation of the edited sentences, the original sentences were modified using 12 certain rules, and these sentences were produced in proportion to the number of such rules, as it was the case for the original sentences. After conducting 1 : 1 sentence similarity performance evaluation experiments, it was possible to classify each "Edited Sentence" as legal or illegal with considerable accuracy. In addition, the "Edited Sentence" dataset used to train the neural network models contains a variety of actual statutory statements("Original Sentence"), which are characterized by the 12 rules. On the other hand, the models are not able to effectively classify other sentences, which appear in actual military reports, when only the "Original Sentence" and "Edited Sentence" dataset have been fed to them. The dataset is not ample enough for the model to recognize other incoming new sentences. Hence, the performance of the model was reassessed by writing an additional 120 new sentences that have better resemblance to those in the actual military report and still have association with the original sentences. Thereafter, we were able to check that the models' performances surpassed a certain level even when they were trained merely with "Original Sentence" and "Edited Sentence" data. If sufficient model learning is achieved through the improvement and expansion of the full set of learning data with the addition of the actual report appearance sentences, the models will be able to better classify other sentences coming from military reports as legal or illegal. Based on the experimental results, this study confirms the possibility and value of building "Real-Time Automated Comparison System Between Military Documents and Related Laws". The research conducted in this experiment can verify which specific clause, of several that appear in related law clause is most similar to the sentence that appears in the Defense Acquisition Program-related military reports. This helps determine whether the contents in the military report sentences are at the risk of illegality when they are compared with those in the law clauses.

A Study on the Effect of Network Centralities on Recommendation Performance (네트워크 중심성 척도가 추천 성능에 미치는 영향에 대한 연구)

  • Lee, Dongwon
    • Journal of Intelligence and Information Systems
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    • v.27 no.1
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    • pp.23-46
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    • 2021
  • Collaborative filtering, which is often used in personalization recommendations, is recognized as a very useful technique to find similar customers and recommend products to them based on their purchase history. However, the traditional collaborative filtering technique has raised the question of having difficulty calculating the similarity for new customers or products due to the method of calculating similaritiesbased on direct connections and common features among customers. For this reason, a hybrid technique was designed to use content-based filtering techniques together. On the one hand, efforts have been made to solve these problems by applying the structural characteristics of social networks. This applies a method of indirectly calculating similarities through their similar customers placed between them. This means creating a customer's network based on purchasing data and calculating the similarity between the two based on the features of the network that indirectly connects the two customers within this network. Such similarity can be used as a measure to predict whether the target customer accepts recommendations. The centrality metrics of networks can be utilized for the calculation of these similarities. Different centrality metrics have important implications in that they may have different effects on recommended performance. In this study, furthermore, the effect of these centrality metrics on the performance of recommendation may vary depending on recommender algorithms. In addition, recommendation techniques using network analysis can be expected to contribute to increasing recommendation performance even if they apply not only to new customers or products but also to entire customers or products. By considering a customer's purchase of an item as a link generated between the customer and the item on the network, the prediction of user acceptance of recommendation is solved as a prediction of whether a new link will be created between them. As the classification models fit the purpose of solving the binary problem of whether the link is engaged or not, decision tree, k-nearest neighbors (KNN), logistic regression, artificial neural network, and support vector machine (SVM) are selected in the research. The data for performance evaluation used order data collected from an online shopping mall over four years and two months. Among them, the previous three years and eight months constitute social networks composed of and the experiment was conducted by organizing the data collected into the social network. The next four months' records were used to train and evaluate recommender models. Experiments with the centrality metrics applied to each model show that the recommendation acceptance rates of the centrality metrics are different for each algorithm at a meaningful level. In this work, we analyzed only four commonly used centrality metrics: degree centrality, betweenness centrality, closeness centrality, and eigenvector centrality. Eigenvector centrality records the lowest performance in all models except support vector machines. Closeness centrality and betweenness centrality show similar performance across all models. Degree centrality ranking moderate across overall models while betweenness centrality always ranking higher than degree centrality. Finally, closeness centrality is characterized by distinct differences in performance according to the model. It ranks first in logistic regression, artificial neural network, and decision tree withnumerically high performance. However, it only records very low rankings in support vector machine and K-neighborhood with low-performance levels. As the experiment results reveal, in a classification model, network centrality metrics over a subnetwork that connects the two nodes can effectively predict the connectivity between two nodes in a social network. Furthermore, each metric has a different performance depending on the classification model type. This result implies that choosing appropriate metrics for each algorithm can lead to achieving higher recommendation performance. In general, betweenness centrality can guarantee a high level of performance in any model. It would be possible to consider the introduction of proximity centrality to obtain higher performance for certain models.

In-service teacher's perception on the mathematical modeling tasks and competency for designing the mathematical modeling tasks: Focused on reality (현직 수학 교사들의 수학적 모델링 과제에 대한 인식과 과제 개발 역량: 현실성을 중심으로)

  • Hwang, Seonyoung;Han, Sunyoung
    • The Mathematical Education
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    • v.62 no.3
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    • pp.381-400
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    • 2023
  • As the era of solving various and complex problems in the real world using artificial intelligence and big data appears, problem-solving competencies that can solve realistic problems through a mathematical approach are required. In fact, the 2015 revised mathematics curriculum and the 2022 revised mathematics curriculum emphasize mathematical modeling as an activity and competency to solve real-world problems. However, the real-world problems presented in domestic and international textbooks have a high proportion of artificial problems that rarely occur in real-world. Accordingly, domestic and international countries are paying attention to the reality of mathematical modeling tasks and suggesting the need for authentic tasks that reflect students' daily lives. However, not only did previous studies focus on theoretical proposals for reality, but studies analyzing teachers' perceptions of reality and their competency to reflect reality in the task are insufficient. Accordingly, this study aims to analyze in-service mathematics teachers' perception of reality among the characteristics of tasks for mathematical modeling and the in-service mathematics teachers' competency for designing the mathematical modeling tasks. First of all, five criteria for satisfying the reality were established by analyzing literatures. Afterward, teacher training was conducted under the theme of mathematical modeling. Pre- and post-surveys for 41 in-service mathematics teachers who participated in the teacher training was conducted to confirm changes in perception of reality. The pre- and post- surveys provided a task that did not reflect reality, and in-service mathematics teachers determined whether the task given in surveys reflected reality and selected one reason for the judgment among five criteria for reality. Afterwards, frequency analysis was conducted by coding the results of the survey answered by in-service mathematics teachers in the pre- and post- survey, and frequencies were compared to confirm in-service mathematics teachers' perception changes on reality. In addition, the mathematical modeling tasks designed by in-service teachers were evaluated with the criteria for reality to confirm the teachers' competency for designing mathematical modeling tasks reflecting the reality. As a result, it was shown that in-service mathematics teachers changed from insufficient perception that only considers fragmentary criterion for reality to perceptions that consider all the five criteria of reality. In particular, as a result of analyzing the basis for judgment among in-service mathematics teachers whose judgment on reality was reversed in the pre- and post-survey, changes in the perception of in-service mathematics teachers was confirmed, who did not consider certain criteria as a criterion for reality in the pre-survey, but considered them as a criterion for reality in the post-survey. In addition, as a result of evaluating the tasks designed by in-service mathematics teachers for mathematical modeling, in-service mathematics teachers showed the competency to reflect reality in their tasks. However, among the five criteria for reality, the criterion for "situations that can occur in students' daily lives," "need to solve the task," and "require conclusions in a real-world situation" were relatively less reflected. In addition, it was found that the proportion of teachers with low task development competencies was higher in the teacher group who could not make the right judgment than in the teacher group who could make the right judgment on the reality of the task. Based on the results of these studies, this study provides implications for teacher education to enable mathematics teachers to apply mathematical modeling lesson in their classes.

Analysis and Evaluation of Frequent Pattern Mining Technique based on Landmark Window (랜드마크 윈도우 기반의 빈발 패턴 마이닝 기법의 분석 및 성능평가)

  • Pyun, Gwangbum;Yun, Unil
    • Journal of Internet Computing and Services
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    • v.15 no.3
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    • pp.101-107
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    • 2014
  • With the development of online service, recent forms of databases have been changed from static database structures to dynamic stream database structures. Previous data mining techniques have been used as tools of decision making such as establishment of marketing strategies and DNA analyses. However, the capability to analyze real-time data more quickly is necessary in the recent interesting areas such as sensor network, robotics, and artificial intelligence. Landmark window-based frequent pattern mining, one of the stream mining approaches, performs mining operations with respect to parts of databases or each transaction of them, instead of all the data. In this paper, we analyze and evaluate the techniques of the well-known landmark window-based frequent pattern mining algorithms, called Lossy counting and hMiner. When Lossy counting mines frequent patterns from a set of new transactions, it performs union operations between the previous and current mining results. hMiner, which is a state-of-the-art algorithm based on the landmark window model, conducts mining operations whenever a new transaction occurs. Since hMiner extracts frequent patterns as soon as a new transaction is entered, we can obtain the latest mining results reflecting real-time information. For this reason, such algorithms are also called online mining approaches. We evaluate and compare the performance of the primitive algorithm, Lossy counting and the latest one, hMiner. As the criteria of our performance analysis, we first consider algorithms' total runtime and average processing time per transaction. In addition, to compare the efficiency of storage structures between them, their maximum memory usage is also evaluated. Lastly, we show how stably the two algorithms conduct their mining works with respect to the databases that feature gradually increasing items. With respect to the evaluation results of mining time and transaction processing, hMiner has higher speed than that of Lossy counting. Since hMiner stores candidate frequent patterns in a hash method, it can directly access candidate frequent patterns. Meanwhile, Lossy counting stores them in a lattice manner; thus, it has to search for multiple nodes in order to access the candidate frequent patterns. On the other hand, hMiner shows worse performance than that of Lossy counting in terms of maximum memory usage. hMiner should have all of the information for candidate frequent patterns to store them to hash's buckets, while Lossy counting stores them, reducing their information by using the lattice method. Since the storage of Lossy counting can share items concurrently included in multiple patterns, its memory usage is more efficient than that of hMiner. However, hMiner presents better efficiency than that of Lossy counting with respect to scalability evaluation due to the following reasons. If the number of items is increased, shared items are decreased in contrast; thereby, Lossy counting's memory efficiency is weakened. Furthermore, if the number of transactions becomes higher, its pruning effect becomes worse. From the experimental results, we can determine that the landmark window-based frequent pattern mining algorithms are suitable for real-time systems although they require a significant amount of memory. Hence, we need to improve their data structures more efficiently in order to utilize them additionally in resource-constrained environments such as WSN(Wireless sensor network).

A Comparative Study on the Effective Deep Learning for Fingerprint Recognition with Scar and Wrinkle (상처와 주름이 있는 지문 판별에 효율적인 심층 학습 비교연구)

  • Kim, JunSeob;Rim, BeanBonyka;Sung, Nak-Jun;Hong, Min
    • Journal of Internet Computing and Services
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    • v.21 no.4
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    • pp.17-23
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    • 2020
  • Biometric information indicating measurement items related to human characteristics has attracted great attention as security technology with high reliability since there is no fear of theft or loss. Among these biometric information, fingerprints are mainly used in fields such as identity verification and identification. If there is a problem such as a wound, wrinkle, or moisture that is difficult to authenticate to the fingerprint image when identifying the identity, the fingerprint expert can identify the problem with the fingerprint directly through the preprocessing step, and apply the image processing algorithm appropriate to the problem. Solve the problem. In this case, by implementing artificial intelligence software that distinguishes fingerprint images with cuts and wrinkles on the fingerprint, it is easy to check whether there are cuts or wrinkles, and by selecting an appropriate algorithm, the fingerprint image can be easily improved. In this study, we developed a total of 17,080 fingerprint databases by acquiring all finger prints of 1,010 students from the Royal University of Cambodia, 600 Sokoto open data sets, and 98 Korean students. In order to determine if there are any injuries or wrinkles in the built database, criteria were established, and the data were validated by experts. The training and test datasets consisted of Cambodian data and Sokoto data, and the ratio was set to 8: 2. The data of 98 Korean students were set up as a validation data set. Using the constructed data set, five CNN-based architectures such as Classic CNN, AlexNet, VGG-16, Resnet50, and Yolo v3 were implemented. A study was conducted to find the model that performed best on the readings. Among the five architectures, ResNet50 showed the best performance with 81.51%.

Development a Standard Curriculum Model of Next-generation Software Education (차세대 소프트웨어(SW)교육 표준 모델 개발)

  • Kim, Kapsu;Koo, Dukhoi;Kim, Seongbaeg;Kim, Soohwan;Kim, Yungsik;Kim, Jamee;Kim, Jaehyoun;Kim, Changsuk;Kim, Chul;Kim, Hanil;Kim, Hyeoncheol;Park, Namje;Park, Jungho;Park, Phanwoo;Seo, Insoon;Seo, Jungyun;Sung, Younghoon;Song, Taeok;Lee, Youngjun;Lee, Jaeho;Lee, Jungseo;Lee, Hyeonah;Lee, Hyeongok;Jun, Soojin;Jeon, Yongju;Jeong, Youngsik;Jeong, Inkee;Choi, Sookyoung;Choi, Jeongwon;Han, Sungwan
    • Journal of The Korean Association of Information Education
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    • v.24 no.4
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    • pp.337-367
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    • 2020
  • In this study, the standard model of next-generation software(SW) education was developed to expand SW education for fostering future talents and to prepare a consistent SW education application system for elementary, middle and high schools in the next revised curriculum. To this end, based on the study of the standard model for elementary and secondary SW education conducted in 2017~2018 academics, basic research and analysis on domestic and foreign SW education, public forums of related organizations and experts, global SW education workshops, and public hearings are held. Through this process, a consistent application system for SW education in elementary, middle, and high schools was established, and the next generation SW education standard curriculum model that can be connected to higher education and industry was developed.

A Basic Study for Sustainable Analysis and Evaluation of Energy Environment in Buildings : Focusing on Energy Environment Historical Data of Residential Buildings (빌딩의 지속가능 에너지환경 분석 및 평가를 위한 기초 연구 : 주거용 건물의 에너지환경 실적정보를 중심으로)

  • Lee, Goon-Jae
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.18 no.1
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    • pp.262-268
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    • 2017
  • The energy consumption of buildings is approximately 20.5% of the total energy consumption, and the interest in energy efficiency and low consumption of the building is increasing. Several studies have performed energy analysis and evaluation. Energy analysis and evaluation are effective when applied in the initial design phase. In the initial design phase, however, the energy performance is evaluated using general level information, such as glazing area and surface area. Therefore, the evaluation results of the detailed design stage, which is based on the drawings, including detailed information of the materials and facilities, will be different. Thus far, most studies have reported the analysis and evaluation at the detailed design stage, where detailed information about the materials installed in the building becomes clear. Therefore, it is possible to improve the accuracy of the energy environment analysis if the energy environment information generated during the life cycle of the building can be established and accurate information can be provided in the analysis at the initial design stage using a probability / statistical method. On the other hand, historical data on energy use has not been established in Korea. Therefore, this study performed energy environment analysis to construct the energy environment historical data. As a result of the research, information classification system, information model, and service model for acquiring and providing energy environment information that can be used for building lifecycle information of buildings are presented and used as the basic data. The results can be utilized in the historical data management system so that the reliability of analysis can be improved by supplementing the input information at the initial design stage. If the historical data is stacked, it can be used as learning data in methods, such as probability / statistics or artificial intelligence for energy environment analysis in the initial design stage.

Optimization of Support Vector Machines for Financial Forecasting (재무예측을 위한 Support Vector Machine의 최적화)

  • Kim, Kyoung-Jae;Ahn, Hyun-Chul
    • Journal of Intelligence and Information Systems
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    • v.17 no.4
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    • pp.241-254
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    • 2011
  • Financial time-series forecasting is one of the most important issues because it is essential for the risk management of financial institutions. Therefore, researchers have tried to forecast financial time-series using various data mining techniques such as regression, artificial neural networks, decision trees, k-nearest neighbor etc. Recently, support vector machines (SVMs) are popularly applied to this research area because they have advantages that they don't require huge training data and have low possibility of overfitting. However, a user must determine several design factors by heuristics in order to use SVM. For example, the selection of appropriate kernel function and its parameters and proper feature subset selection are major design factors of SVM. Other than these factors, the proper selection of instance subset may also improve the forecasting performance of SVM by eliminating irrelevant and distorting training instances. Nonetheless, there have been few studies that have applied instance selection to SVM, especially in the domain of stock market prediction. Instance selection tries to choose proper instance subsets from original training data. It may be considered as a method of knowledge refinement and it maintains the instance-base. This study proposes the novel instance selection algorithm for SVMs. The proposed technique in this study uses genetic algorithm (GA) to optimize instance selection process with parameter optimization simultaneously. We call the model as ISVM (SVM with Instance selection) in this study. Experiments on stock market data are implemented using ISVM. In this study, the GA searches for optimal or near-optimal values of kernel parameters and relevant instances for SVMs. This study needs two sets of parameters in chromosomes in GA setting : The codes for kernel parameters and for instance selection. For the controlling parameters of the GA search, the population size is set at 50 organisms and the value of the crossover rate is set at 0.7 while the mutation rate is 0.1. As the stopping condition, 50 generations are permitted. The application data used in this study consists of technical indicators and the direction of change in the daily Korea stock price index (KOSPI). The total number of samples is 2218 trading days. We separate the whole data into three subsets as training, test, hold-out data set. The number of data in each subset is 1056, 581, 581 respectively. This study compares ISVM to several comparative models including logistic regression (logit), backpropagation neural networks (ANN), nearest neighbor (1-NN), conventional SVM (SVM) and SVM with the optimized parameters (PSVM). In especial, PSVM uses optimized kernel parameters by the genetic algorithm. The experimental results show that ISVM outperforms 1-NN by 15.32%, ANN by 6.89%, Logit and SVM by 5.34%, and PSVM by 4.82% for the holdout data. For ISVM, only 556 data from 1056 original training data are used to produce the result. In addition, the two-sample test for proportions is used to examine whether ISVM significantly outperforms other comparative models. The results indicate that ISVM outperforms ANN and 1-NN at the 1% statistical significance level. In addition, ISVM performs better than Logit, SVM and PSVM at the 5% statistical significance level.