• Bulletin of the Korean Mathematical Society
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• v.59 no.2
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• pp.507-528
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• 2022

We propose a path integral method to construct a time stepwise local volatility for the stock index market under Dupire's model. Our method is focused on the pricing with the Monte Carlo Method (MCM). We solve the problem of randomness of MCM by applying numerical integration. We reconstruct this task as a matrix equation. Our method provides the analytic Jacobian and Hessian required by the nonlinear optimization solver, resulting in stable and fast calculations.

• Steel and Composite Structures
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• v.27 no.1
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• pp.13-25
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• 2018

The main objective of this study is to develop a dual approach for geometrically nonlinear finite element analysis of plane truss structures. The geometric nonlinearity is considered using the Total Lagrangian formulation. The nonlinear solution is obtained by introducing and minimizing an objective function subjected to displacement-type constraints. The proposed method can fully trace the whole equilibrium path of geometrically nonlinear plane truss structures not only before the limit point but also after it. No stiffness matrix is used in the main approach and the solution is acquired only based on the direct classical stress-strain formulations. As a result, produced errors caused by linearization and approximation of the main equilibrium equation will be eliminated. The suggested algorithm can predict both pre- and post-buckling behavior of the steel plane truss structures as well as any arbitrary point of equilibrium path. In addition, an equilibrium path with multiple limit points and snap-back phenomenon can be followed in this approach. To demonstrate the accuracy, efficiency and robustness of the proposed procedure, numerical results of the suggested approach are compared with theoretical solution, modified arc-length method, and those of reported in the literature.

• Smart Structures and Systems
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• v.24 no.2
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• pp.209-221
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• 2019

The classical Kalman filter (KF) provides a practical and efficient way for state estimation. It is, however, not applicable when the external excitations applied to the structures are unknown. Moreover, it is known the classical KF is only suitable for linear systems and can't handle the nonlinear cases. The aim of this paper is to extend the classical KF approach to circumvent the aforementioned limitations for the joint estimation of structural states and the unknown inputs. On the basis of the scheme of the classical KF, analytical recursive solution of an improved KF approach is derived and presented. A revised form of observation equation is obtained basing on a projection matrix. The structural states and the unknown inputs are then simultaneously estimated with limited measurements in linear or nonlinear systems. The efficiency and accuracy of the proposed approach is verified via a five-story shear building, a simply supported beam, and three sorts of nonlinear hysteretic structures. The shaking table tests of a five-story building structure are also employed for the validation of the robustness of the proposed approach. Numerical and experimental results show that the proposed approach can not only satisfactorily estimate structural states, but also identify unknown loadings with acceptable accuracy for both linear and nonlinear systems.

• Journal of the Korean Institute of Intelligent Systems
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• v.26 no.1
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• pp.50-55
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• 2016

This paper discusses a sampled-data controller design problem for nonlinear systems including singular perturbation. The concerned system is assumed to be modeled in Takagi--Sugeno (T--S) form. By introducing a novel Lyapunov function and an identity equation, the stability of the sampled-data closed-loop dynamics of the singularly perturbed T--S fuzzy system is analyzed. The design condition is represented in terms of linear matrix inequalities. A few discussions on the development are made that propose future research topics. Numerical simulation shows the effectiveness of the proposed method.

• Computational Structural Engineering
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• v.11 no.1
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• pp.217-226
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• 1998

The purpose of this study is to develop a technique for the shape analysis of plane truss structures under prescribed displacement modes. The shape analysis is performed based on the existence theorem of the solution and the Moore-Penrose generalized inverse matrix. In this paper, the homologous deformation of structures was proposed as prescribed displacement modes, the shape of the structure is determined from these various modes and applied loads. In general, the shape analysis is a kind of inverse problem different from stress analysis, and the governing equation becomes nonlinear. In this regard, Newton-Raphson method was used to solve the nonlinear equation. Three different shape models are investigated as numerical examples to show the accuracy and the effectiveness of the proposed method.

• Journal of Electrical Engineering and Technology
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• v.6 no.5
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• pp.697-705
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• 2011

In this paper, a closed-loop system constructed with a linear plant and nonlinearity in the feedback connection is considered to argue against its planar orbital stability. Through a state space approach, a main result that presents a sufficient stability criterion of the limit cycle predicted by solving the harmonic balance equation is given. Preliminarily, the harmonic balance of the nonlinear feedback loop is assumed to have a solution that determines the characteristics of the limit cycle. Using a state-space approach, the nonlinear loop equation is reformulated into a linear perturbed model through the introduction of a residual operator. By considering a series of transformations, such as a modified eigenstructure decomposition, periodic averaging, change of variables, and coordinate transformation, the stability of the limit cycle can be simply tested via a scalar function and matrix. Finally, the stability criterion is addressed by constructing a composite Lyapunov function of the transformed system.

• Journal of Mechanical Science and Technology
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• v.16 no.8
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• pp.1072-1078
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• 2002

The constrained motion requires the determination of constraint force acting on unconstrained systems for satisfying given constraints. Most of the methods to decide the force depend on numerical approaches such that the Lagrange multiplier method, and the other methods need vector analysis or complicated intermediate process. In 1992, Udwadia and Kalaba presented the generalized inverse method to describe the constrained motion as well as to calculate the constraint force. The generalized inverse method has the advantages which do not require any linearization process for the control of nonlinear systems and can explicitly describe the motion of holonomically and/or nongolonomically constrained systems. In this paper, an explicit equation to describe the constrained motion is derived by minimizing the performance index, which is a function of constraint force vector, with respect to the constraint force. At this time, it is shown that the positive-definite weighting matrix in the performance index must be the inverse of mass matrix on the basis of the Gauss's principle and the derived differential equation coincides with the generalized inverse method. The effectiveness of this method is illustrated by means of two numerical applications.

• Journal of the Korean Institute of Telematics and Electronics S
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• v.36S no.12
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• pp.20-26
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• 1999

In this paper, a multiple target angle tracking algorithm that can avoid data association problem and has a simple structure is proposed by obtaining the angular innovation of the targets from a signal subspace. The signal subspace is recursively estimated by a signal subspace tracking algorithm, such as PAST. A nonlinear matrix equation which satisfy the estimated signal subspace and the angular innovation is induced and expanded into a Taylor series for linear approximation. The angular innovation is obtained by solving the approximated linear matrix equation in the least square sense. The good performance of the proposed algorithm is demonstrated by various computer simulations.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.21 no.6
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• pp.634-639
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• 2020

In general, the stability and response characteristics of the system can be improved by changing the pole position because a nonlinear system can be linearized by the product of a 1st and 2nd order system. Therefore, a controller that moves the pole can be designed in various ways. Among the other methods, LQ control ensures the stability of the system. On the other hand, it is difficult to specify the location of the pole arbitrarily because the desired response characteristic is obtained by selecting the weighting matrix by trial and error. This paper evaluated a method of selecting a weighting matrix of LQ control that moves multiple double poles with Jordan blocks to real poles. The relational equation between the double poles and weighting matrices were derived from the characteristic equation of the Hamiltonian system with a diagonal control weighting matrix and a state weighting matrix represented by two variables (ρ_d, ϕ_d). The Moving-Range was obtained under the condition that the state-weighting matrix becomes a positive semi-definite matrix. This paper proposes a method of selecting poles in this range and calculating the weighting matrices by the relational equation. Numerical examples are presented to show the usefulness of the proposed method.

• Journal of the Korean Mathematical Society
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• v.49 no.3
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• pp.515-536
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• 2012

This work focuses on the general decay stability of nonlinear stochastic differential equations with unbounded delay. A Razumikhin-type theorem is first established to obtain the moment stability but without almost sure stability. Then an improved edition is presented to derive not only the moment stability but also the almost sure stability, while existing Razumikhin-type theorems aim at only the moment stability. By virtue of the $M$-matrix techniques, we further develop the aforementioned Razumikhin-type theorems to be easily implementable. Two examples are given for illustration.