• Journal of Institute of Control, Robotics and Systems
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• v.20 no.8
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• pp.854-867
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• 2014

This paper deals with the performance comparison of a PSO algorithm inspired in the process of simulating the behavior pattern of the organisms. The PSO algorithm finds the optimal solution (fitness value) of the objective function based on a stochastic process. Generally, the stochastic process, a random function, is used with the expression related to the velocity included in the PSO algorithm. In this case, the random function of the normal distribution (Gaussian) or uniform distribution are mainly used as the random function in a PSO algorithm. However, in this paper, because the probability distribution which is various with 2 shape parameters can be expressed, the performance comparison of a PSO algorithm using the beta probability distribution function, that is a random function which has a high degree of freedom, is introduced. For performance comparison, 3 functions (Rastrigin, Rosenbrock, Schwefel) were selected among the benchmark Set. And the convergence property was compared and analyzed using PSO-FIW to find the optimal solution.

• Journal of Korean Institute of Industrial Engineers
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• v.31 no.1
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• pp.27-35
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• 2005

Due to the importance of lead time demand in the design of inventory management systems, researchers and practitioners have paid continuous attention and a few analytic models using the compound distribution approach have been reported. However, since the nature of compound distributions is hardly amenable, the analytic models have been done by non‐recognition of the compound nature of some components to reduce the analytic task. This study concerns some of the important aspects in the analytic models. Through the theoretic examination of the analytic model approach and the comparison with the rigid compound stochastic process approach, this study clarifies the assumptions implicitly made by the analytic models and provides some precautions in using the analytic models. Illustrative examples are also presented.

• Journal of the Korean Operations Research and Management Science Society
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• v.35 no.3
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• pp.59-68
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• 2010

Improving productive efficiency is important for strengthening a competitiveness of coastal fisheries. This paper examines the productive efficiency of a sample of coastal gillnet fishing business units by estimating a stochastic frontier analysis (SFA) and a data envelopment analysis (DEA) approaches and compares those estimates obtained from two approaches. The estimated mean productive efficiency by SFA is 77.6% and the mean productive efficiencies obtained for the VRS and CRS DEA are 75.9% and 45.7%, respectively. The joint use of SFA and DEA for estimating efficiency is also discussed.

• Korean Journal of Mathematics
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• v.25 no.1
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• pp.45-60
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• 2017

This paper focuses on estimation of an non-integral quadratic function (NIQF) and integral quadratic function (IQF) of a random signal in dynamic system described by a linear stochastic differential equation. The quadratic form of an unobservable signal indicates useful information of a signal for control. The optimal (in mean square sense) and suboptimal estimates of NIQF and IQF represent a function of the Kalman estimate and its error covariance. The proposed estimation algorithms have a closed-form estimation procedure. The obtained estimates are studied in detail, including derivation of the exact formulas and differential equations for mean square errors. The results we demonstrate on practical example of a power of signal, and comparison analysis between optimal and suboptimal estimators is presented.

• Steel and Composite Structures
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• v.26 no.1
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• pp.1-15
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• 2018

This study reported, the effect of random variation in system properties on bending response of single wall carbon nanotube reinforced composite (SWCNTRC) plates subjected to transverse uniform loading is examined. System parameters such as the SWCNT armchair, material properties, plate thickness and volume fraction of SWCNT are modelled as basic random variables. The basic formulation is based on higher order shear deformation theory to model the system behaviour of the SWCNTRC composite plate. A C0 finite element method in conjunction with the first order perturbation technique procedure developed earlier by the authors for the plate subjected to lateral loading is employed to obtain the mean and variance of the transverse deflection of the plate. The performance of the stochastic SWCNTRC composite model is demonstrated through a comparison of mean transverse central deflection with those results available in the literature and standard deviation of the deflection with an independent First Order perturbation Technique (FOPT), Second Order perturbation Technique (SOPT) and Monte Carlo simulation.

• Korean Management Science Review
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• v.19 no.1
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• pp.117-128
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• 2002

In this Paper we investigate the performance of the five efficiency estimation methods which include the stochastic frontier model estimated by maximum likelihood (SFML), the stochastic frontier model estimated by corrected ordinary least squares (SFCOLS), the data envelopment analysis (DIA) model, the combined estimation of SFML and DEA (SFML + DEA), and the combined estimation of SFCOLS arid DIA (SFCOLS+ DEA) using Monte Carlo analysis. The results include: 1) SFML provides most accurate efficiency estimates for the sample sloe 150 or over,2) SFML+DEAor SFCOLS + DIA Perform better for the cases with sample sloe 25, 50, and low random errors, 3) SFCOLS performs better for the close with sample sloe 25, 50, and very high random errors.

• Journal of applied mathematics & informatics
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• v.24 no.1_2
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• pp.427-435
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• 2007

The existence theorem and continuous dependence property in $"L^2"$ sense for solutions of backward stochastic differential equation (shortly BSDE) with Lipschitz coefficients were respectively established by Pardoux-Peng and Peng in [1,2], Mao and Cao generalized the Pardoux-Peng's existence and uniqueness theorem to BSDE with non-Lipschitz coefficients in [3,4]. The present paper generalizes the Peng's continuous dependence property in $"L^2"$ sense to BSDE with Mao and Cao's conditions. Furthermore, this paper investigates the continuous dependence property in "almost surely" sense for BSDE with Mao and Cao's conditions, based on the comparison with the classical mathematical expectation.

• The Transactions of the Korean Institute of Electrical Engineers P
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• v.57 no.2
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• pp.115-120
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• 2008

The EKF(Extended Kalman filter) method which is the state estimation algorithm of nonlinear stochastic system depends on the initial error and the estimated states. Therefore, the divergence of the estimated state can be caused if the initial values of the estimated states are not chosen as approximate real state values. In this paper, the demerit of the existing EKF method is improved using the EKF algorithm transformated by STWS(Single Term Walsh Series). This method linearizes each sampling interval of continous-time system through the derivation of an algebraic iterative equation without discretizing continuous system by the characteristic of STWS, the convergence of the estimated states can be improved. The validity of the proposed method is checked through comparison with the existing EKF method in simulation.

• The Journal of Fisheries Business Administration
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• v.41 no.3
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• pp.45-58
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• 2010

This study estimated the technical efficiency of coastal composite fishery in Korea by using the data envelopment analysis (DEA) and the stochastic frontier analysis (SFA) methods, and the results on the respective method were compared. In the DEA method, the constant returns to scale (CRS) and the variable returns to scale (VRS) output-oriented DEA models were separated and technical efficiencies were estimated, respectively. The average estimated value of technical efficiency by the SFA method (0.633) was found to be lower than that by the VRS-DEA method (0.738), while it was higher than that by the CRS-DEA method (0.479). It was found that strong correlation exists between the SFA method and the VRS-DEA method. The method which can utilize both methods in mutually complementing way for the estimation of technical efficiency was also considered.

• Bulletin of the Korean Mathematical Society
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• v.60 no.2
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• pp.361-388
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• 2023

In this study, we deal with American lookback option prices on dividend-paying assets under a stochastic volatility (SV) model. By using the asymptotic analysis introduced by Fouque et al. [17] and the Laplace-Carson transform (LCT), we derive the explicit formula for the option prices and the free boundary values with a finite expiration whose volatility is driven by a fast mean-reverting Ornstein-Uhlenbeck process. In addition, we examine the numerical implications of the SV on the American lookback option with respect to the model parameters and verify that the obtained explicit analytical option price has been obtained accurately and efficiently in comparison with the price obtained from the Monte-Carlo simulation.