• Communications for Statistical Applications and Methods
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• v.29 no.1
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• pp.53-64
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• 2022

High dimensional time series is gaining considerable attention in recent years. The sparse vector heterogeneous autoregressive (VHAR) model proposed by Baek and Park (2020) uses adaptive lasso and debiasing procedure in estimation, and showed superb forecasting performance in realized volatilities. This paper extends the sparse VHAR model by considering non-convex penalties such as SCAD and MCP for possible bias reduction from their penalty design. Finite sample performances of three estimation methods are compared through Monte Carlo simulation. Our study shows first that taking into cross-sectional correlations reduces bias. Second, nonconvex penalties performs better when the sample size is small. On the other hand, the adaptive lasso with debiasing performs well as sample size increases. Also, empirical analysis based on 20 multinational realized volatilities is provided.

• Journal of Institute of Control, Robotics and Systems
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• v.13 no.11
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• pp.1048-1052
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• 2007

This paper presents a rank-constrained linear matrix inequality(LMI) approach to simultaneous linear-quadratic(LQ) optimal control by static output feedback. Simultaneous LQ optimal control is formulated as an LMI optimization problem with a nonconvex rank condition. An iterative penalty method recently developed is applied to solve this rank-constrained LMI optimization problem. Numerical experiments are performed to illustrate the proposed method, and the results are compared with those of previous work.

• Proceedings of the KIEE Conference
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• 2004.07d
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• pp.2242-2244
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• 2004

This paper deals with the design of a reduced-order stabilizing controller for the linear system. The coupled lineal matrix inequality (LMI) problem subject to a rank condition is solved by a sequential semidefinite programming (SDP) approach. The nonconvex rank constraint is incorporated into a strictly linear penalty function, and the computation of the gradient and Hessian function for the Newton method is not required. The penalty factor and related term are updated iteratively. Therefore the overall procedure leads to a successive LMI relaxation method. Extensive numerical experiments illustrate the proposed algorithm.

• Journal of Institute of Control, Robotics and Systems
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• v.15 no.1
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• pp.67-71
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• 2009

This paper presents a rank-constrained linear matrix inequality (LMI) approach to the design of a multi-objective controller such as $H_2/H_{\infty}$ control. Multi-objective control is formulated as an LMI optimization problem with a nonconvex rank condition, which is imposed on the controller gain matirx not Lyapunov matrices. With this rank-constrained formulation, we can expect to reduce conservatism because we can use separate Lyapunov matrices for different control objectives. An iterative penalty method is applied to solve this rank-constrained LMI optimization problem. Numerical experiments are performed to illustrate the proposed method.

• Smart Structures and Systems
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• v.34 no.2
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• pp.97-116
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• 2024

The standard l₁-norm regularization is recently introduced for impact force identification, but generally underestimates the peak force. Compared to l₁-norm regularization, l_p-norm (0 ≤ p < 1) regularization, with a nonconvex penalty function, has some promising properties such as enforcing sparsity. In the framework of sparse regularization, if the desired solution is sparse in the time domain or other domains, the under-determined problem with fewer measurements than candidate excitations may obtain the unique solution, i.e., the sparsest solution. Considering the joint sparse structure of impact force in temporal and spatial domains, we propose a general l_p-norm (0 ≤ p < 1) regularization methodology for simultaneous identification of the impact location and force time-history from highly incomplete measurements. Firstly, a nonconvex optimization model based on l_p-norm penalty is developed for regularizing the highly under-determined problem of impact force identification. Secondly, an iteratively reweighed l₁-norm algorithm is introduced to solve such an under-determined and unconditioned regularization model through transforming it into a series of l₁-norm regularization problems. Finally, numerical simulation and experimental validation including single-source and two-source cases of impact force identification are conducted on plate structures to evaluate the performance of l_p-norm (0 ≤ p < 1) regularization. Both numerical and experimental results demonstrate that the proposed l_p-norm regularization method, merely using a single accelerometer, can locate the actual impacts from nine fixed candidate sources and simultaneously reconstruct the impact force time-history; compared to the state-of-the-art l₁-norm regularization, l_p-norm (0 ≤ p < 1) regularization procures sufficiently sparse and more accurate estimates; although the peak relative error of the identified impact force using l_p-norm regularization has a decreasing tendency as p is approaching 0, the results of l_p-norm regularization with 0 ≤ p ≤ 1/2 have no significant differences.

• Proceedings of the KIEE Conference
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• 1996.07b
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• pp.711-713
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• 1996

This paper proposes a unit commitment scheduling method based on Genetic Algorithm(GA). Due to a variety of constraints to be satisfied, the search space of the UC problem is highly nonconvex, so the UC problem cannot be solved efficiently only using the standard GA To efficiently deal with the constraints of the problem and greatly reduce the search space of the GA, the minimum up and down time constraints are embedded in the binary strings that are coded to represent the on-off states of the generating units. The violations of other constraints arc handled by integrating penalty factors. To show the effectiveness of the GA based unit commitment scheduling, test results for system of 5 units are compared with results obtained using Lagrangian Relaxation and Dynamic Programming.