• Proceedings of the Korean Operations and Management Science Society Conference
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• 2005.05a
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• pp.753-755
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• 2005

The Black-Scholes (BS) option pricing model is a landmark in contingent claim theory and has found wide acceptance in financial markets. However, it has a difficulty in the use of the model, because the volatility which is a nonlinear function of the other parameters must be estimated. The more accurately investors are able to estimate this value, the more accurate their estimates of theoretical option values will be. This paper proposes a new model which is based on Particle Swarm Optimization (PSO) for finding more precise theoretical values of options in the field of evolutionary computation (EC) than genetic algorithm (GA)or calculus-based search techniques to find estimates of the implied volatility.

• Proceedings of the KIEE Conference
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• 2008.10b
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• pp.181-182
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• 2008

본 논문에서는 연산 최적화 알고리듬 중 PSO(Particle Swarm Optimization) 알고리듬을 NVIDIA사(社)에서 제공한 CUDA(Compute Unified Device Architecture)를 이용하여 새롭게 구현하였다. CUDA는 CPU가 아닌 GPU(Graphic Processing Unit)의 다양한 병렬 처리 능력을 사용해 복잡한 컴퓨팅 문제를 해결하는 소프트웨어 개발을 가능케 하는 기술이다. 이 기술을 연산 최적화 알고리듬 중 PSO에 적용함으로써 알고리듬의 수행 속도를 개선하였다. CUDA를 적용한 PSO 알고리듬의 검증을 위해 언어 기반으로 프로그래밍하고 다양한 Test Function을 통해 시뮬레이션 하였다. 그리고 기존의 PSO 알고리듬과 비교 분석하였다. 또한 알고리듬의 성능 향상으로 여러 가지 최적화 분야에 적용 할 수 있음을 보인다.

• Journal of Electrical Engineering and Technology
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• v.6 no.6
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• pp.786-792
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• 2011

The present paper presents an optimal capacitor placement (OCP) algorithm for voltagestability enhancement. The OCP issue is represented using a mixed-integer problem and a highly nonlinear problem. The hybrid particle swarm optimization (HPSO) algorithm is proposed to solve the OCP problem. The HPSO algorithm combines the optimal power flow (OPF) with the primal-dual interior-point method (PDIPM) and ordinary PSO. It takes advantage of the global search ability of PSO and the very fast simulation running time of the OPF algorithm with PDIPM. In addition, OPF gives intelligence to PSO through the information provided by the dual variable of the OPF. Numerical results illustrate that the HPSO algorithm can improve the accuracy and reduce the simulation running time. Test results evaluated with the three-bus, New England 39-bus, and Korea Electric Power Corporation systems show the applicability of the proposed algorithm.

• Journal of Electrical Engineering and Technology
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• v.6 no.2
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• pp.182-191
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• 2011

Genetic algorithms (GA) and particle swarm optimization (PSO) are the most famous optimization techniques among various modern heuristic optimization techniques. These two approaches identify the solution to a given objective function, but they employ different strategies and computational effort; therefore, a comparison of their performance is needed. This paper presents the application and performance comparison of the PSO and GA optimization techniques for a static synchronous series compensator-based controller design. The design objective is to enhance power system stability. The design problem of the FACTS-based controller is formulated as an optimization problem, and both PSO and GA optimization techniques are employed to search for the optimal controller parameters.

• Industrial Engineering and Management Systems
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• v.13 no.1
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• pp.43-51
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• 2014

This study presents an application of adaptive particle swarm optimization (APSO) to solving the bi-level job-shop scheduling problem (JSP). The test problem presented here is $10{\times}10$ JSP (ten jobs and ten machines) with tribottleneck machines formulated as a bi-level formulation. APSO is used to solve the test problem and the result is compared with the result solved by basic PSO. The results of the test problem show that the results from APSO are significantly different when compared with the result from basic PSO in terms of the upper level objective value and the iteration number in which the best solution is first identified, but there is no significant difference in the lower objective value. These results confirmed that the quality of solutions from APSO is better than the basic PSO. Moreover, APSO can be used directly on a new problem instance without the exercise to select parameters.

• Journal of Electrical Engineering and Technology
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• v.4 no.4
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• pp.492-498
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• 2009

The placement of the UPFC is the major concern to ensure the full potential of utilization in the transmission network. Voltage stability enhancement with the optimal placement of UPFC using stability index such as modal analysis, Voltage Phasor method is made and the loss minimization including UPFC is formulated as an optimization problem. This paper proposes particle swarm optimization for the exact real power loss minimization including UPFC. The implementation of loss minimization for the optimal location of UPFC was tested with IEEE-14 and IEEE-57 bus system.

• Journal of Electrical Engineering and Technology
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• v.12 no.4
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• pp.1329-1339
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• 2017

This paper presents the power scheduling of a multi-microgrid (MMG) system using an optimization technique called particle swarm optimization (PSO). The PSO technique has been shown to be most effective at solving the various problems of the economic dispatch (ED) in a power system. In addition, a new MMG system configuration is proposed in this paper, through which the optimal power flow is achieved. Both optimization and power trading methods within an MMG are studied. The results of implementing PSO in an MMG system for optimal power flow and cost minimization are obtained and compared with another attractive and efficient optimization technique called the genetic algorithm (GA). The comparison between these two effective methods provides very competitive results, and their operating costs also appear to be comparable. Finally, in this study, power scheduling and a power trading method are obtained using the MATLAB program.

• Smart Structures and Systems
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• v.11 no.1
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• pp.69-86
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• 2013

An efficient methodology using static test data and changes in natural frequencies is proposed to identify the damages in structural systems. The methodology consists of two main stages. In the first stage, the Damage Signal Match (DSM) technique is employed to quickly identify the most potentially damaged elements so as to reduce the number of the solution space (solution parameters). In the second stage, a particle swarm optimization (PSO) approach is presented to accurately determine the actual damage extents using the first stage results. One numerical case study by using a planar truss and one experimental case study by using a full-scale steel truss structure are used to verify the proposed hybrid method. The identification results show that the proposed methodology can identify the location and severity of damage with a reasonable level of accuracy, even when practical considerations limit the number of measurements to only a few for a complex structure.

• Proceedings of the KIEE Conference
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• 2006.11a
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• pp.222-224
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• 2006

This paper addresses a particle swarm optimization-based approach for solving a generating unit maintenance scheduling problem(GMS) with some constraints. We focus on the power system reliability such as reserve ratio better than cost function as the objective function of GMS problem. It is shown that particle swarm optimization-based method is effective in obtaining feasible schedules such as GMS problem related to power system planning and operation. In this paper, we find the optimal solution of the GMS problem within a specific time horizon using particle swarm optimization algorithm. Simple case study with 16-generators system is applicable to the GMS problem. From the result, we can conclude that PSO is enough to look for the optimal solution properly in the generating unit maintenance scheduling problem.

• Journal of the Optical Society of Korea
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• v.19 no.1
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• pp.95-101
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• 2015

To accurately extract absolute distance information from a self-mixing interferometry (SMI) signal, in this paper we propose an approach based on a particle swarm optimization (PSO) algorithm instead of frequency estimation for absolute distance. The algorithm is utilized to search for the global minimum of the fitness function that is established from the self-mixing signal to find out the actual distance. A resolution superior to $25{\mu}m$ in the range from 3 to 20 cm is obtained by experimental measurement, and the results demonstrate the superiority of the proposed approach in comparison with interpolated FFT. The influence of different external feedback strength parameters and different inertia weights in the algorithm is discussed as well.