• 제목/요약/키워드: exponential utility

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A class of accelerated sequential procedures with applications to estimation problems for some distributions useful in reliability theory

  • Joshi, Neeraj;Bapat, Sudeep R.;Shukla, Ashish Kumar
    • Communications for Statistical Applications and Methods
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    • 제28권5호
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    • pp.563-582
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    • 2021
  • This paper deals with developing a general class of accelerated sequential procedures and obtaining the associated second-order approximations for the expected sample size and 'regret' (difference between the risks of the proposed accelerated sequential procedure and the optimum fixed sample size procedure) function. We establish that the estimation problems based on various lifetime distributions can be tackled with the help of the proposed class of accelerated sequential procedures. Extensive simulation analysis is presented in support of the accuracy of our proposed methodology using the Pareto distribution and a real data set on carbon fibers is also analyzed to demonstrate the practical utility. We also provide the brief details of some other inferential problems which can be seen as the applications of the proposed class of accelerated sequential procedures.

ROBUST PORTFOLIO OPTIMIZATION UNDER HYBRID CEV AND STOCHASTIC VOLATILITY

  • Cao, Jiling;Peng, Beidi;Zhang, Wenjun
    • 대한수학회지
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    • 제59권6호
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    • pp.1153-1170
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    • 2022
  • In this paper, we investigate the portfolio optimization problem under the SVCEV model, which is a hybrid model of constant elasticity of variance (CEV) and stochastic volatility, by taking into account of minimum-entropy robustness. The Hamilton-Jacobi-Bellman (HJB) equation is derived and the first two orders of optimal strategies are obtained by utilizing an asymptotic approximation approach. We also derive the first two orders of practical optimal strategies by knowing that the underlying Ornstein-Uhlenbeck process is not observable. Finally, we conduct numerical experiments and sensitivity analysis on the leading optimal strategy and the first correction term with respect to various values of the model parameters.

변온유입 성층축열조의 충전과정에 대한 해석적 접근 (Analytical approaches to the charging process of stratified thermal storage tanks with variable inlet temperature)

  • 유호선
    • 설비공학논문집
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    • 제9권1호
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    • pp.43-54
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    • 1997
  • This paper presents an approximate analytical solution to a two-region one-dimensional model for the charging process of stratified thermal storage tanks with variable inlet temperature in the presence of momentum-induced mixing. Based on the superposition principle, an arbitrary-varying inlet temperature is decomposed into inherent discontinuous steps and continuous intervals approximated as a finite number of piecewise linear functions. This approximation allows the temperature of the upper perfectly-mixed layer to be expressed in terms of constant, linear and exponential functions with respect to time. Applying the Laplace transform technique to the model equation for the lower thermocline layer subject to each of three representative interfacial conditions yields compact-form solutions, a linear combination of which constitutes the final temperature profile. A systematic method for deriving solutions to the plug-flow problem having polynomial-type boundary conditions is also established. The effect of adiabatic exit boundary on solution behaviors proves to be negligible under the actual working conditions, which justifies the assumption of semi-infinite domain introduced in the solution procedure. Finally, the approximate solution is validated by comparing it with an exact solution obtained for a specific variation of inlet temperature. Excellent agreements between them suffice to show the necessity and utility of this work.

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PRICE ESTIMATION VIA BAYESIAN FILTERING AND OPTIMAL BID-ASK PRICES FOR MARKET MAKERS

  • Hyungbin Park;Junsu Park
    • 대한수학회지
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    • 제61권5호
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    • pp.875-898
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    • 2024
  • This study estimates the true price of an asset and finds the optimal bid/ask prices for market makers. We provide a novel state-space model based on the exponential Ornstein-Uhlenbeck volatility and the Heston models with Gaussian noise, where the traded price and volume are available, but the true price is not observable. An objective of this study is to use Bayesian filtering to estimate the posterior distribution of the true price, given the traded price and volume. Because the posterior density is intractable, we employ the guided particle filtering algorithm, with which adaptive rejection metropolis sampling is used to generate samples from the density function of an unknown distribution. Given a simulated sample path, the posterior expectation of the true price outperforms the traded price in estimating the true price in terms of both the mean absolute error and root-mean-square error metrics. Another objective is to determine the optimal bid/ask prices for a market maker. The profit-and-loss of the market maker is the difference between the true price and its bid/ask prices multiplied by the traded volume or bid/ask size of the market maker. The market maker maximizes the expected utility of the PnL under the posterior distribution. We numerically calculate the optimal bid/ask prices using the Monte Carlo method, finding that its spread widens as the market maker becomes more risk-averse, and the bid/ask size and the level of uncertainty increase.

순차적 레이어 필터링을 이용한 상품 판매 연관도 분석 (Association Analysis of Product Sales using Sequential Layer Filtering)

  • 방선호;이강현;장지영;;신광섭
    • 한국빅데이터학회지
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    • 제7권1호
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    • pp.213-224
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    • 2022
  • 물류와 유통에서 장바구니 분석(MBA: Market Basket Analysis)은 주요 판매 상품 간의 연관성을 분석하고, 내부 운영 효율성을 높이기 위한 중요한 수단으로 활용된다. 특히, 장바구니 분석의 결과는 상품 구매예측, 상품 추천 및 매장의 상품 전시 구조 등 의사결정 과정에 중요한 참고자료로 활용된다. 최근 전자상거래의 발전으로 하나의 유통 및 물류 기업이 취급하는 품목의 수가 급격하게 증가하면서 기존의 분석기법인 Apriori와 FP-Grwoth 등의 방법은 계산량의 기하급수적 증가로 인한 속도저하와 실제 비즈니스에 적용하기 위한 중요한 연관규칙을 살피기에는 한계가 있다. 본 연구에서는 이러한 한계를 극복하기 위해, 상품의 최상위 분류체계인 Main-Category 수준에서는 상품의 판매량을 함께 고려할 수 있는 utility item set mining 기법을 활용하여 주로 함께 판매된 상품군을 우선 선별하였다. 그 후, sub-category 수준에서는 FP-Growth를 활용하여 함께 판매되는 상품 유형을 식별하였다. 이렇게 순차적 레이어 필터링 기법을 활용하여 불필요한 연산을 줄일 수 있어 현실적으로 활용가능한 결과를 제시할 수 있다.

반응표면 분석법을 이용하여 Cellulase에 의한 키토산올리고당의 제조 조건 설정 (Preparation Condition of Chitooligosaccharide by Cellulase using Response Surface Methodology)

  • 주동식;이정석;김옥선;조순영
    • 한국수산과학회지
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    • 제35권6호
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    • pp.696-701
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    • 2002
  • Cellulase를 이용하여 키토산 올리고당을 제조하기 위한 최적조건을 반웅표면 분석법을 이용하여 설정하였다 키토산 분해능과 산업적 활용의 측면에서 유리한 Pen. funiculosum 유래의 cello-lase를 예비 실험을 통해 결정하였다. 이 효소의 적정 반응 조건에서 경시적 키토산 분해율을 측정한 결과, 반응 10시간까지는 대수적 증가를 보였으나, 10시간 이후로는 완만한 분해율을 나타내었다. 중심합성계획에 의해 총 26개의 실험을 행한뒤 반응표면분석법으로 설정한 키토산 분해 최적 조건은 기질 농도 $0.5\%$에 대해 효소 농도 143(U), 반응 온도 $49^{\circ}$, 반응 시간 13.2hr및 pH는 3.8이었다. 본 연구에서 설정된 최적의 조건에서 얻어진 키토산 분해물은 dimer와 trimer가 주된 올리고당이었고, 소량의 tetramer와 hexamer 그리고 monomer 등의 총 8종 정도의 올리고당이 검출되었다.

Investigating wave propagation in sigmoid-FGM imperfect plates with accurate Quasi-3D HSDTs

  • Mokhtar Nebab;Hassen Ait Atmane;Riadh Bennai
    • Steel and Composite Structures
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    • 제51권2호
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    • pp.185-202
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    • 2024
  • In this research paper, and for the first time, wave propagations in sigmoidal imperfect functionally graded material plates are investigated using a simplified quasi-three-dimensionally higher shear deformation theory (Quasi-3D HSDTs). By employing an indeterminate integral for the transverse displacement in the shear components, the number of unknowns and governing equations in the current theory is reduced, thereby simplifying its application. Consequently, the present theories exhibit five fewer unknown variables compared to other Quasi-3D theories documented in the literature, eliminating the need for any correction coefficients as seen in the first shear deformation theory. The material properties of the functionally graded plates smoothly vary across the cross-section according to a sigmoid power law. The plates are considered imperfect, indicating a pore distribution throughout their thickness. The distribution of porosities is categorized into two types: even or uneven, with linear (L)-Type, exponential (E)-Type, logarithmic (Log)-Type, and Sinus (S)-Type distributions. The current quasi-3D shear deformation theories are applied to formulate governing equations for determining wave frequencies, and phase velocities are derived using Hamilton's principle. Dispersion relations are assumed as an analytical solution, and they are applied to obtain wave frequencies and phase velocities. A comprehensive parametric study is conducted to elucidate the influences of wavenumber, volume fraction, thickness ratio, and types of porosity distributions on wave propagation and phase velocities of the S-FGM plate. The findings of this investigation hold potential utility for studying and designing techniques for ultrasonic inspection and structural health monitoring.

관상동맥질환에서 심장풀스캔을 이용한 최고수축기혈압-수측기말용적곡선의 분석 (The Peak Systolic Pressure-End Systolic Volume Index Relation in Patients with Coronary Artery Disease Using Radionuclide Gated Blood Pool Scintigraphy)

  • 김병태;궁성수;범희승;정준기;박영배;이명철;이영우;고창순
    • 대한핵의학회지
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    • 제21권2호
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    • pp.175-182
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    • 1987
  • For measurement of ventricular performance, ejection fraction (EF) has gained wide acceptance. But EF is influenced not only by changes in muscle function but also by changes in cardiac loading conditions. In case of valvular heart disease which is variable in loading conditions, EF cannot be reliable as an index of myocardial contractility. The end systolic pressure (ESP)-end systolic volume (ESV) relation, howver, is known to represent myocardial contractility, independent of changes in loading conditions. Similar results can be obtained by using peak-systolic pressure (PSP) instead of ESP. To evaluate the utility of the peak systolic pressure-end systolic volume index (PSP-ESVI) relation as an index of myocardial function, we measured $PSP&ESVI$ in 19 partents with coronary artery disease before $(PSP_1\;&\;ESVI_1)$ and after $(PSP_2\;&\;ESVI_2)$ sublingual administration of nitroglycerin. PSP was measured with standard mercury sphygmomanometer during gated blood pool scintigraphic study. ESVI was measured by count derived method after attenuation correction. $PSP_2\;&\;ESVI_2$ measurement was started when the fall of PSP was greater than 5 mmHg after 7-14 minutes post-administration of nitroglycerin. Mean values $({\pm}S.D.)$ of $PSP_1\;&\;ESVI_1$ was $124.9({\pm}20.7)mmHg\;&\;59.4({\pm}39.9)ml/M^2$. Mean values $({\pm}S.D)$ of $PSP_2\;&\;ESVI_2$, was $113.2({\pm}19.9)mmHg\;&\;37.5({\pm}26.1)ml/M^2$. There was a significant difference between mean values of $PSP_1\;&\;PSP_2$, (p<0.01), and mean values of $ESVI_1\;&\;ESVI_2$, (p<0.01). $PSP_1-PSP_2/ESV_1-ESVI_2,\;PSP_1/ESVI_1$ and EF were in the range of 0.14-5.19 mmHg/ml/$M^2$, 0.67-7.68 mmHg/ml/$M^2$ and 10.8%-74.5% respectively. $PSP_1-PSP_2/ESVI_1-ESVI_2$, and EF showed exponential correlation (r=0.85, P<0.01). The correlation coefficient between $PSP_1/ESVI_1$ and EF was 0.73(p<0.01). With the above results, we suggest that $PSP_1-PSP_2/ESVI_1-ESVI_2$, and $PSP_1/ESVI_1$, can be used as an index of myocardial function.

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Generation of single stranded DNA with selective affinity to bovine spermatozoa

  • Vinod, Sivadasan Pathiyil;Vignesh, Rajamani;Priyanka, Mani;Tirumurugaan, Krishnaswamy Gopalan;Sivaselvam, Salem Nagalingam;Raj, Gopal Dhinakar
    • Animal Bioscience
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    • 제34권10호
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    • pp.1579-1589
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    • 2021
  • Objective: This study was conducted to generate single stranded DNA oligonucleotides with selective affinity to bovine spermatozoa, assess its binding potential and explore its potential utility in trapping spermatozoa from suspensions. Methods: A combinatorial library of 94 mer long oligonucleotide was used for systematic evolution of ligands by exponential enrichment (SELEX) with bovine spermatozoa. The amplicons from sixth and seventh rounds of SELEX were sequenced, and the reads were clustered employing cluster database at high identity with tolerance (CD-HIT) and FASTAptamer. The enriched nucleotides were predicted for secondary structures by Mfold, motifs by Multiple Em for Motif Elicitation and 5' labelled with biotin/6-FAM to determine the binding potential and binding pattern. Results: We generated 14.1 and 17.7 million reads from sixth and seventh rounds of SELEX respectively to bovine spermatozoa. The CD-HIT clustered 78,098 and 21,196 reads in the top ten clusters and FASTAptamer identified 2,195 and 4,405 unique sequences in the top three clusters from the sixth and seventh rounds, respectively. The identified oligonucleotides formed secondary structures with delta G values between -1.17 to -26.18 kcal/mol indicating varied stability. Confocal imaging with the oligonucleotides from the seventh round revealed different patterns of binding to bovine spermatozoa (fluorescence of the whole head, spot of fluorescence in head and mid- piece and tail). Use of a 5'-biotin tagged oligonucleotide from the sixth round at 100 pmol with 4×106 spermatozoa could trap almost 80% from the suspension. Conclusion: The binding patterns and ability of the identified oligonucleotides confirms successful optimization of the SELEX process and generation of aptamers to bovine spermatozoa. These oligonucleotides provide a quick approach for selective capture of spermatozoa from complex samples. Future SELEX rounds with X- or Y- enriched sperm suspension will be used to generate oligonucleotides that bind to spermatozoa of a specific sex type.