• Journal of Korean Society of Industrial and Systems Engineering
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• v.46 no.4
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• pp.63-73
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• 2023

This study explores modern portfolio theory by integrating the Black-Litterman portfolio with time-series clustering, specificially emphasizing K-shape clustering methodology. K-shape clustering enables grouping time-series data effectively, enhancing the ability to plan and manage investments in stock markets when combined with the Black-Litterman portfolio. Based on the patterns of stock markets, the objective is to understand the relationship between past market data and planning future investment strategies through backtesting. Additionally, by examining diverse learning and investment periods, it is identified optimal strategies to boost portfolio returns while efficiently managing associated risks. For comparative analysis, traditional Markowitz portfolio is also assessed in conjunction with clustering techniques utilizing K-Means and K-Means with Dynamic Time Warping. It is suggested that the combination of K-shape and the Black-Litterman model significantly enhances portfolio optimization in the stock market, providing valuable insights for making stable portfolio investment decisions. The achieved sharpe ratio of 0.722 indicates a significantly higher performance when compared to other benchmarks, underlining the effectiveness of the K-shape and Black-Litterman integration in portfolio optimization.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.13 no.4
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• pp.254-268
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• 2013

For real-world clustering tasks, the input data is typically not easily separable due to the highly complex data structure or when clusters vary in size, density and shape. Kernel-based clustering has proven to be an effective approach to partition such data. In this paper, we provide an overview of several fuzzy kernel clustering algorithms. We focus on methods that optimize an fuzzy C-mean-type objective function. We highlight the advantages and disadvantages of each method. In addition to the completely unsupervised algorithms, we also provide an overview of some semi-supervised fuzzy kernel clustering algorithms. These algorithms use partial supervision information to guide the optimization process and avoid local minima. We also provide an overview of the different approaches that have been used to extend kernel clustering to handle very large data sets.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.5 no.1
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• pp.211-227
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• 2011

Content Based Image Retrieval (CBIR) is an approach for retrieving similar images from an image database based on automatically-derived image features. The quality of a retrieval system depends on the features used to describe image content. In this paper, we propose an image clustering system that takes a database of images as input and clusters them using k-means clustering algorithm taking into consideration color, texture and shape features. Experimental results show that the combination of the three features brings about higher values of accuracy and precision.

• Journal of Information Processing Systems
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• v.6 no.1
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• pp.67-78
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• 2010

In this study, a clustering algorithm that uses DCT transformed data is presented. The algorithm is a grid density-based clustering algorithm that can identify clusters of arbitrary shape. Streaming data are transformed and reconstructed as needed for clustering. Experimental results show that DCT is able to approximate a data distribution efficiently using only a small number of coefficients and preserve the clusters well. The grid based clustering algorithm works well with DCT transformed data, demonstrating the viability of DCT for data stream clustering applications.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.37 no.2
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• pp.1-14
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• 2000

The rosette-scan seeker, mounted on the infrared guided missile, is a device that tracks the target It can acquire the 2D image of the target by scanning a space about target in rosette pattern with a single detector Since the detected image is changed according to the position of the object in the field of view and the number of the object is not fixed, the unsupervised methods are employed in clustering it The conventional ISODATA method clusters the objects by using the distance between the seed points and pixels So, the clustering result varies in accordance with the shape of the object or the values of the merging and splitting parameters In this paper, we propose an Array Linkage Clustering Algorithm (ALCA) as a new clustering algorithm improving the conventional method The ALCA has no need for the initial seed points and the merging and splitting parameters since it clusters the object using the connectivity of the array number of the memory stored the pixel Therefore, the ALCA can cluster the object regardless of its shape With the clustering results using the conventional method and the proposed one, we confirm that our method is better than the conventional one in terms of the clustering performance We simulate the rosette scanning infrared seeker (RSIS) using the proposed ALCA as an infrared counter countermeasure The simulation results show that the RSIS using our method is better than the conventional one in terms of the tracking performance.

• Communications for Statistical Applications and Methods
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• v.29 no.6
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• pp.695-708
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• 2022

Recently, several studies have been conducted using state space model. In this study, a dynamic linear model with state space model form is applied to stock data. The monthly returns for 135 Korean stocks are fitted to a dynamic linear model, to obtain an estimate of the time-varying 𝛽-coefficient time-series. The model formula used for the return is a capital asset pricing model formula explained in economics. In particular, the transition equation of the state space model form is appropriately modified to satisfy the assumptions of the error term. k-shape clustering is performed to classify the 135 estimated 𝛽 time-series into several groups. As a result of the clustering, four clusters are obtained, each consisting of approximately 30 stocks. It is found that the distribution is different for each group, so that it is well grouped to have its own characteristics. In addition, a common pattern is observed for each group, which could be interpreted appropriately.

• ETRI Journal
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• v.36 no.3
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• pp.333-342
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• 2014

Most hyper-ellipsoidal clustering (HEC) approaches use the Mahalanobis distance as a distance metric. It has been proven that HEC, under this condition, cannot be realized since the cost function of partitional clustering is a constant. We demonstrate that HEC with a modified Gaussian kernel metric can be interpreted as a problem of finding condensed ellipsoidal clusters (with respect to the volumes and densities of the clusters) and propose a practical HEC algorithm that is able to efficiently handle clusters that are ellipsoidal in shape and that are of different size and density. We then try to refine the HEC algorithm by utilizing ellipsoids defined on the kernel feature space to deal with more complex-shaped clusters. The proposed methods lead to a significant improvement in the clustering results over K-means algorithm, fuzzy C-means algorithm, GMM-EM algorithm, and HEC algorithm based on minimum-volume ellipsoids using Mahalanobis distance.

• Proceedings of the KSRS Conference
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• 2008.10a
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• pp.111-114
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• 2008

The existence of noise bands may deform the typical shape of the spectrum, making the accuracy of clustering degraded. This paper proposes a statistical approach to remove noise bands in hyperspectral data using the correlation coefficient of bands as an indicator. Considering each band as a random variable, two adjacent signal bands in hyperspectral data are highly correlative. On the contrary, existence of a noise band will produce a low correlation. For clustering, the unsupervised ${\kappa}$-nearest neighbor clustering method is implemented in accordance with three well-accepted spectral matching measures, namely ED, SAM and SID. Furthermore, this paper proposes a hierarchical scheme of combining those measures. Finally, a separability assessment based on the between-class and the within-class scatter matrices is followed to evaluate the applicability of the proposed noise band removal method. Also, the paper brings out a comparison for spectral matching measures.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.27 no.2
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• pp.146-159
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• 2023

This paper proposes a hybrid algorithm combining K-means clustering and watershed algorithms for flower segmentation and counting. We use the K-means clustering algorithm to obtain the main colors in a complex background according to the cluster centers and then take a color space transformation to extract pixel values for the hue, saturation, and value of flower color. Next, we apply the threshold segmentation technique to segment flowers precisely and obtain the binary image of flowers. Based on this, we take the Euclidean distance transformation to obtain the distance map and apply it to find the local maxima of the connected components. Afterward, the proposed algorithm adaptively determines a minimum distance between each peak and apply it to label connected components using the watershed segmentation with eight-connectivity. On a dataset of 30 images, the test results reveal that the proposed method is more efficient and precise for the counting of overlapped flowers ignoring the degree of overlap, number of overlap, and relatively irregular shape.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.12 no.7
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• pp.3112-3127
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• 2018

Since time series clustering is performed without prior information, it is used for exploratory data analysis. In particular, clusters of time series with similar shapes can be used in various fields, such as business, medicine, finance, and communications. However, existing time series clustering algorithms have a problem in that time series with different shapes are included in the clusters. The reason for such a problem is that the existing algorithms do not consider the limitations on the size of the generated clusters, and use a dimension reduction method in which the information loss is large. In this paper, we propose a method to alleviate the disadvantages of existing methods and to find a better quality of cluster containing similarly shaped time series. In the data preprocessing step, we normalize the time series using z-transformation. Then, we use piecewise aggregate approximation (PAA) to reduce the dimension of the time series. In the clustering step, we use density-based spatial clustering of applications with noise (DBSCAN) to create a precluster. We then use a modified K-means algorithm to refine the preclusters containing differently shaped time series into subclusters containing only similarly shaped time series. In our experiments, our method showed better results than the existing method.