• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.4
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• Journal of Advanced Marine Engineering and Technology
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• v.35 no.5
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• pp.667-674
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• 2011

Data networks at sea will be overlapped networks with not only traditional carriers such as RF, satellites but also BWA like wireless LAN, WiBro, and WCDMA in near future. In this paper, an overlapped MANET model for data networks at sea, and a routing protocol (OMH-MW) selecting optimal transmission medium for each hop in routes are proposed. OMH-MW measures the optimality of each medium regarding the transmission characteristics of each application and those of the medium in together. The most suitable medium to each link is selected as the link in routes. Performances are compared with those of the MWR (Max-Win based Routing protocol searching optimal routes with only one medium).

• Journal of Korean Society of Transportation
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• v.22 no.4 s.75
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• pp.85-96
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• 2004

Given a Path represented by a sequence of link numbers in a transportation network, the reasonable path is defined as a path that any link is appeared multiple times in it. Application of the link labelmethod(LLM) to the shortest path algorithms(SPA) enables to model the reasonable path choice behavior in urban networks. This study aims at expanding the LLM to a Kth shortest path algorithms(KPSA), which adopts the node label setting method. The small-scaled network test demonstrated that the proposed algorithm works correctly and the revised Sioux fall network test showed that the path choice behaviors are reasonably reflected. In the large-scaled network based on the South Korea peninsula, drivers' route diversion perceptions are included as cost terms in total cost. The algorithm may be applied as an alternative route information tools for the deployment of ATIS.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.36 no.1
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• pp.22-30
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• 2008

This paper deals with the nonlinear optimal control approach to helicopter maneuver problems using the indirect method. We apply a penalty function to the deviation from a prescribed trajectory to convert the system optimality to an unconstrained optimal control problem. The resultant two-point boundary value problem has been solved by using the multiple-shooting method. This paper focuses on the effect of the number of shooting nodes and initialization methods on the numerical solution in order to define the minimum number of shooting nodes required for numerical convergence and to provide a method increasing convergence radius of the indirect method. The results of this study can provide an approach to improve numerical stability and convergence of the indirect method when we solve the optimal control problems of an inherently unstable helicopter system.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.36 no.1
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• pp.31-38
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• 2008

This paper deals with the nonlinear optimal control approach to helicopter maneuver problems using the indirect method. We apply a penalty function to the integral deviation from a prescribed trajectory to convert the system optimality to an unconstrained optimal control problem. The resultant two-point boundary value problem has been solved by using a multiple-shooting method. This paper focuses on the model selection strategies to resolve the problem of numerical instability and high wait time when a high fidelity model with rotor dynamics is applied. Four different types of helicopter models are identified, two of which are linear models with or without rotor models, as well as two models which include the nonlinear mathematical model for rotor in its formulation. The relative computation time and the number of function calls for each model are compared in order to provide a guideline for the selection of helicopter model.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1996.04a
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• pp.83-86
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• 1996

In this paper we study the problem of augmenting a physical network to improve the topology for new survivable network architectures. We are given a graph G=(V,E,F), where V is a set of nodes that represents transmission systems which be interconnected by physical links, and E is a collection of edges that represent the possible pairs of nodes between which a direct transmission link can be placed. F, a subset of E is defined as a set of the existing direct links, and E/F is defined as a set of edges for the possible new connection. The cost of establishing network $N_{H}$=(V,H,F) is defined by the sum of the costs of the individual links contained in new link set H. We call that $N_{H}$=(V,H,F) is feasible if certain connectivity constrints can be satisfied in $N_{H}$=(V,H,F). The computational goal for the suggested model is to find a minimum cost network among the feasible solutions. For a k edge (node) connected component S .subeq. F, we charactrize some optimality conditions with respect to S. By this characterization we can find part of the network that formed by only F-edges. We do not need to augment E/F edges for these components in an optimal solution. Hence we shrink the related component into a node. We study some good primal heuristics by considering construction and exchange ideas. For the construction heuristics, we use some greedy methods and relaxation methods. For the improvement heuristics we generalize known exchange heuristics such as two-optimal cycle, three-optimal cycle, pretzel, quezel and one-optimal heuristics. Some computational experiments show that our heuristic is more efficient than some well known heuristics.stics.

• Environmental and Resource Economics Review
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• v.12 no.1
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• pp.75-90
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• 2003

In this paper we have shown that a Pigouvian tax is an adequate resolution of congestion externality to attain Pareto optimality using utility maximization. For this objective, taking an open access freeway as an example, we not only derived both marginal private benefit and marginal social benefit, but also assessed the divergence between marginal private benefit and marginal social benefit. As a result, we identified that the amount of a Pigouvian tax should be the same amount as the external time cost, which is the value of the marginal time cost to Individual a incurred by Individual b through freeway congestion. This Pigouvian tax coincides with the profit or wealth maximizing toll suggested by literature on the basis of profit maximization. In addition, because an open access freeway is accounted as common property resource, we proved that average social congestion cost is essentially equal to marginal private congestion cost in our model. Finally, we showed that the optimal value of trip derived in our model is the same as that generated on profit maximization approach.

• Journal of KIISE:Software and Applications
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• v.34 no.4
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• pp.368-376
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• 2007

How to represent the search space is as important as which search algorithm to use for finding natural-looking paths for moving NPC (non-player character) in computer games. Recently, various state space representation methods which have been developed for computer games are being used while A* algorithm dominates as the preferred search algorithm. These representation methods show some drawbacks such as the size of state space is too large, there is no guarantee for optimality, the path found is not natural-looking, and the generation of nodes and links is not automatic by depending on a level designer. In this paper the requirements for natural-looking paths are introduced and to find paths satisfying these requirements, the use of the generalized visibility graphs which is the extended version of the visibility graph in Robotics is proposed.

• Journal of Advanced Navigation Technology
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• v.3 no.2
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• pp.156-166
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• 1999

In multi-vehicle tracking systems Kalman filter is generally used for tracking vehicles. Despite well known advantages of Kalman filter that presents optimality with constraints, it is difficult to track several vehicles in real time simultaneously due to a large number of computations. In this paper, we propose a multi-vehicle tracking system with an adaptive predictor that employs recursive least square algorithm which can be easily implemented for real time application on a transversal filter. The performance of the proposed tracking system is compared to one with Kalman filter using a synthetic sequential image generated by computer graphics and real sequential image taken at intersections. Simulation results show that the proposed tracking system can be applied to track vehicles in real sequential image at the rate of 30 frame/sec on a PC environments without any special hardwares.

• Journal of KIISE:Computer Systems and Theory
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• v.30 no.2
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• pp.68-77
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• 2003

The Least-Laxity First(or LLF) scheduling algorithm assigns the highest priority to a task with the least laxity, and has been proved to be optimal for a uni-processor and sub-optimal for a multi-processor. However, this algorithm Is Impractical to implement because laxity tie results in the frequent context switches among tasks. In this paper, a Modified Least-Laxity First on Multiprocessor(or MLLF/MP) scheduling algorithm is proposed to solve this problem, i.e., laxity tie results in the excessive scheduling overheads. The MLLF/MP is based on the LLF, but allows the laxity inversion. MLLF/MP continues executing the current running task as far as other tasks do not miss their deadlines. Consequently, it avoids the frequent context switches. We prove that the MLLF/MP is also sub-optimal in multiprocessor systems. By simulation results, we show that the MLLF/MP has less scheduling overheads than LLF.