• The Transactions of The Korean Institute of Electrical Engineers
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• v.57 no.3
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• pp.466-472
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• 2008

The paper concerns Fuzzy C-Means clustering based fuzzy neural networks (FCM-FNN) and the optimization of the network is carried out by means of hierarchal fair competition-based parallel genetic algorithm (HFCPGA). FCM-FNN is the extended architecture of Radial Basis Function Neural Network (RBFNN). FCM algorithm is used to determine centers and widths of RBFs. In the proposed network, the membership functions of the premise part of fuzzy rules do not assume any explicit functional forms such as Gaussian, ellipsoidal, triangular, etc., so its resulting fitness values directly rely on the computation of the relevant distance between data points by means of FCM. Also, as the consequent part of fuzzy rules extracted by the FCM-FNN model, the order of four types of polynomials can be considered such as constant, linear, quadratic and modified quadratic. Since the performance of FCM-FNN is affected by some parameters of FCM-FNN such as a specific subset of input variables, fuzzification coefficient of FCM, the number of rules and the order of polynomials of consequent part of fuzzy rule, we need the structural as well as parametric optimization of the network. In this study, the HFCPGA which is a kind of multipopulation-based parallel genetic algorithms(PGA) is exploited to carry out the structural optimization of FCM-FNN. Moreover the HFCPGA is taken into consideration to avoid a premature convergence related to the optimization problems. The proposed model is demonstrated with the use of two representative numerical examples.

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2005.06a
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• pp.607-610
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• 2005

A remeshing algorithm using tetrahedral elements has been developed, which is adapted to the mesh density map constructed by a posteriori error estimation. In the finite element analyses of metal forging processes, numerical error increases as deformation proceeds due to severe distortion of elements. In order to reduce the numerical error, the desired mesh sizes in each region of the workpiece are calculated by a posteriori error estimation and the density map is constructed. Piecewise density functions are then constructed with the radial basis function in order to interpolate the discrete data of the density map. The sample mesh is constructed based on the point insertion technique which is adapted to the density function and the mesh size is controlled by moving and deleting nodes to obtain optimal distribution according to the mesh density function and the quality optimization function as well. After finishing the redistribution process of nodes, a tetrahedral mesh is constructed with the redistributed nodes, which is adapted to the density map and resulting in good mesh quality. A goodness and adaptability of the constructed mesh is verified with a testing measure. The proposed remeshing technique is applied to the finite element analyses of forging processes.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.62 no.5
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• pp.696-704
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• 2013

In this paper, we introduce the LED emotional lighting system realized with the aid of both intelligent algorithm and RGB LED combined with White LED. Generally, the illumination is known as a design factor to form the living place that affects human's emotion and action in the light- space as well as the purpose to light up the specific space. The LED emotional lighting system that can express emotional atmosphere as well as control the quantity of light is designed by using both RGB LED to form the emotional mood and W LED to get sufficient amount of light. RBFNNs is used as the intelligent algorithm and the network model designed with the aid of LED control parameters (viz. color coordinates (x and y) related to color temperature, and lux as inputs, RGBW current as output) plays an important role to build up the LED emotional lighting system for obtaining appropriate color space. Unlike conventional RBFNNs, Fuzzy C-Means(FCM) clustering method is used to obtain the fitness values of the receptive function, and the connection weights of the consequence part of networks are expressed by polynomial functions. Also, the parameters of RBFNN model are optimized by using PSO(Particle Swarm Optimization). The proposed LED emotional lighting can save the energy by using the LED light source and improve the ability to work as well as to learn by making an adequate mood under diverse surrounding conditions.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.66 no.4
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• pp.682-691
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• 2017

In this paper, we propose the fusion design methodology of both pedestrian detection and object tracking system realized with the aid of HOG-PCA based RBFNN pattern classifier. The proposed system includes detection and tracking parts. In the detection part, HOG features are extracted from input images for pedestrian detection. Dimension reduction is also dealt with in order to improve detection performance as well as processing speed by using PCA which is known as a typical dimension reduction method. The reduced features can be used as the input of the FCM-based RBFNNs pattern classifier to carry out the pedestrian detection. FCM-based RBFNNs pattern classifier consists of condition, conclusion, and inference parts. FCM clustering algorithm is used as the activation function of hidden layer. In the conclusion part of network, polynomial functions such as constant, linear, quadratic and modified quadratic are regarded as connection weights and their coefficients of polynomial function are estimated by LSE-based learning. In the tracking part, object tracking algorithms such as mean shift(MS) and cam shift(CS) leads to trace one of the pedestrian candidates nominated in the detection part. Finally, INRIA person database is used in order to evaluate the performance of the pedestrian detection of the proposed system while MIT pedestrian video as well as indoor and outdoor videos obtained from IC&CI laboratory in Suwon University are exploited to evaluate the performance of tracking.

• KIPS Transactions on Computer and Communication Systems
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• v.8 no.11
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• pp.251-262
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• 2019

In this paper, we propose a simulator that provides various algorithms of RBF networks on neuromorphic chips. To develop algorithms based on neuromorphic chips, the disadvantages of using simulators are that it is difficult to test various types of algorithms, although time is fast. This proposed simulator can simulate four times more types of network architecture than existing simulators, and it provides an additional a two-layer structure algorithm in particular, unlike RBF networks provided by existing simulators. This two-layer architecture algorithm is configured to be utilized for multiple input data and compared to the existing RBF for performance analysis and validation of utilization. The analysis showed that the two-layer structure algorithm was more accurate than the existing RBF networks.

• Journal of the Korean Geographical Society
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• v.31 no.3
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• pp.593-612
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• 1996

This study concern with the changes of street from the Choseon Dynasty to present days around Old-Boundary in Taegu, analyzing the backgrounds of change factors and development trends of the Taegu City. The basis element of a city structure is the street. Therefore, in this study, a chage of street space of a city was investigted. Historically, Taegu was a walled city and had a Mono-nucleus which was restricted by the castle, and served as a starting point of formation of spatial structuure. The form of the artery street took a "T" pattern, othe streets were formed in irregular shapes. As the city grew gradually, the castle was removed on account of diversification in traffic network, change of socio-economic organization in traffic network, change of socio-economic organization, formation of industrial bases and functional distribution. CBD of this city has been located within the area surrounded by these streets. This is a kind of general pattern of traditional walled cities through the world in both Western and Oriental societies. A s the begining of this centry, a 'Dark Ages' descended upon Korea because the country was under the Japanese-Korean Annexation, and, throughout this period, the urban planning was planned exclusively for Japanese. The street pattern within residential areas of Korea took the maze type, in contrast with Japanese residential areas which showed grid pattern of streets. This is another general pattern of almost of all colonial cities especially in Asia. High class residential areas were planned and built by Japanese, and they were located within 5-10 minutes' on-foot distance from the CBD hard core. This high prestige has continued until the 1980s when it occurred land use succession which commerical functions invaded into residential areas. Back in the colonial period, there was a between two hetrogeneous groups due to the fact that the Japanese lived mainly oriented the new railway system but that Koreans still lived along the old highway system which ran through the Korea Peninsula. Street netwook formed in the above process has maintained its shape without great changes after the liberation form the Japanese Colony. Taegu has, accordingly, developed ring-radial network system which has been a combination of radial and ring facilities. The present conditions of street patterns in Taegy mainly depend on 4 rings and 8 radius, with grid pattern street able to be found in Old Boundary.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.119-133
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• 2020

Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.