• Journal of Korean Society of Transportation
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• v.28 no.5
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• pp.107-116
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• 2010

The vehicle travel time between locations in a downtown is greatly influenced by both complex road conditions and traffic situation that changes real time according to various external variables. The customer's demands also stochastically change by time period. Most vehicle routing problems suggest a vehicle route considering travel distance, average vehicle speed, and deterministic demand; however, they do not consider the dynamic external environment, including items such as traffic conditions and stochastic demand. A realistic vehicle routing problem which considers traffic (smooth, delaying, and stagnating) and stochastic demands is suggested in this study. A mathematical programming model and hybrid genetic algorithm are suggested to minimize the total travel time. By comparing the results considering traffic and stochastic demands, the suggested algorithm gives a better solution than existing algorithms.

• Industrial Engineering and Management Systems
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• v.7 no.3
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• pp.257-265
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• 2008

This paper deals with the joint decisions on pricing and ordering for a monopolistic retailer who sells perishable goods with a fixed lifetime or demand period. The newsvendor-typed problem is formulated as a two-period inventory system where the first period represents the inventory of fresh or new-arrival items and the second period represents the inventory of items that are older but still usable. Demand may be for either fresh items or for somewhat older items that exhibit physical decay or deterioration. The retailer is allowed to adjust the selling price of the deteriorated items in the second period, which stimulates demand and reduces excess season-end or stale inventory. This paper develops a stochastic dynamic programming model that solves the problem of preseason decisions on ordering-pricing and a within-season decision on markdown pricing. We also develop a fixed-price model as a benchmark against the dual-price dynamic model. To illustrate the effect of the dual-price policy on expected profit, we conduct a comparative study between the two models. Extension to a generalized multi-period model is also discussed.

• Proceedings of the Korean Information Science Society Conference
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• 2008.06c
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• pp.517-521
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• 2008

HMM의 약점인 상태 지속 분포를 개선하는 새로운 개념의 확률적 전역+지역 시간 지속 분포 segment 모델(GL-STDM)을 제안한다. 즉, 시계열 신호의 전역적 시간 정보를 표현하고, 각 상태 별 duration 모델과 각 상태의 duration 정보 사이의 상관관계를 표현하는 global pattern (shape 또는 long-term dependency)을 제안한다. 그러나 제안 모델은, Markov 가정을 깨뜨리기 때문에 dynamic programming이 자랑하는 단순함, 효율성을 유지하지는 못한다. 하지만 최근 부각되는 방법인 Monte Carlo 표본 기법을 이용하여 효과적으로 문제를 해결하는 방법을 제시하였다. 본 논문에서는 제안 모델 GL-STDM의 개념과 정의, 그리고 추론 방법과 모델 평가 방법을 기술하였다.

• Proceedings of the Korea Water Resources Association Conference
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• 2004.05b
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• pp.272-276
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• 2004

이수기와 같이 장기적인 관점에서 저수지운영을 해야 하는 관리자는 해당 기간동안의 이익을 최대화하는 전략을 필요로 한다. 이를 위해서는 미래 유입량의 불확실성을 고려한 최적화 모형에 근거한 운영률을 수립해야 할 것이다. 본 연구에서는 금강수계의 이수기를 대상으로 추계학적 최적화 기법인 표본 추계학적 동적계획법(Sampling Stochastic Dynamic Programming)을 적용하여 최적 연계운영 시스템을 개발하였다. 본 연구를 통해 개발된 모형은 상용프로그램인 CSUDP와의 비교를 통해 검증되었으며 이를 기반으로 과거자료를 이용한 SSDP/Hist모형과 앙상블 유량예측(Ensemble Streamflow Prediction)을 이용한 SSDP/ESP모형을 개발하여 두 모형의 장${\cdot}$단점을 비교 분석하였다. 발전부분은 두 모형이 비슷하였으나 용수공급 측면에서는 SSDP/ESP가 SSDP/Hist 보다 우수함을 알 수 있었다.

• Bulletin of the Korean Mathematical Society
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• v.56 no.6
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• pp.1467-1483
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• 2019

This paper analyzes a robust optimal reinsurance and investment strategy for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and insists on seeking robust optimal strategies. The AAI's surplus process is assumed to follow a jump-diffusion model, and he is allowed to purchase proportional reinsurance or acquire new business, meanwhile invest his surplus in a risk-free asset and a risky-asset, whose price is described by an Ornstein-Uhlenbeck process. Under the criterion for maximizing the expected exponential utility of terminal wealth, robust optimal strategy and value function are derived by applying the stochastic dynamic programming approach. Serval numerical examples are given to illustrate the impact of model parameters on the robust optimal strategies and the loss utility function from ignoring the model uncertainty.

• Journal of Korea Water Resources Association
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• v.39 no.3 s.164
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• pp.187-198
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• 2006

Korea Water Resources Corporation(KOWACO) has developed the Integrated Real-time Water Management System(IRWMS) that calculates monthly optimal ending target storages by using Sampling Stochastic Dynamic Programming(SSDP) with Ensemble Streamflow Prediction(ESP) running on the $1^{st}$ day of each month. This system, however, has a shortcoming: it cannot reflect the hydrolmeteorologic variations in the middle of the month. To overcome this drawback, in this study updated ESP forecasts three times each month by using the observed precipitation series from the $1^{st}$ day of the month to the forecast day and the historical precipitation ensemble for the remaining days. The improved accuracy and its effect on the reservoir operations were quantified as a result. SSDP/ESP21 that reflects within-a-month hydrolmeteorologic states saves $1\;X\;10^6\;m^3$ in water shortage on average than SSDP/ESP01. In addition, the simulation result demonstrated that the effect of ESP accuracy on the reduction of water shortage became more important when the total runoff was low during the drawdown period.

• Journal of Korea Water Resources Association
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• v.56 no.12
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• pp.969-980
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• 2023

Since the 2000s, ensemble streamflow prediction (ESP) has been actively utilized in South Korea, primarily for hydrological forecasting purposes. Despite its notable success in hydrological forecasting, the original objective of enhancing water resources system management has been relatively overlooked. Consequently, this study aims to demonstrate the utility of ESP in water resources management by creating a simple hypothetical exercise for dam operators and applying it to actual multi-purpose dams in South Korea. The hypothetical exercise showed that even when the means of ESP are identical, different costs can result from varying standard deviations. Subsequently, using sampling stochastic dynamic programming (SSDP) and considering the capacity-inflow ratio (CIR), optimal release patterns were derived for Soyang Dam (CIR = 1.345) and Chungju Dam (CIR = 0.563) based on types W and P. For this analysis, Type W was defined with standard deviation equal to the mean inflow, and Type P with standard deviation ten times of the mean inflow. Simulated operations were conducted from 2020 to 2022 using the derived optimal releases. The results indicate that in the case of Dam Chungju, more aggressive optimal release patterns were derived under types with smaller standard deviations, and the simulated operations demonstrated satisfactory outcomes. Similarly, Soyang Dam exhibited similar results in terms of optimal release, but there was no significant difference in the simulation between types W and P due to its large CIR. Ultimately, this study highlights that even with the same mean values, the standard deviation of ESP impacts optimal release patterns and outcomes in simulation. Additionally, it underscores that systems with smaller CIRs are more sensitive to such uncertainties. Based on these findings, there is potential for improvements in South Korea's current operational practices, which rely solely on single representative values for water resources management.

• Journal of Korea Water Resources Association
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• v.51 no.spc
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• pp.1135-1148
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• 2018

Previous studies on reservoir operation have been assumed that the climate in the future would be similar to that in the past. However, in the presence of climate non-stationarity, Robust Optimization (RO) which finds the feasible solutions under broader uncertainty is necessary. RO improves the existing optimization method by adding a robust term to the objective function that controls the uncertainty inherent due to input data instability. This study proposed Robust-SDP that combines Stochastic Dynamic Programming (SDP) and RO to estimate dam operation rules while coping with climate non-stationarity. The future inflow series that reflect climate non-stationarity were synthetically generated. We then evaluated the capacity of the dam operation rules obtained from the past inflow series based on six evaluation indicators and two decision support schemes. Although Robust-SDP was successful in reducing the incidence of extreme water scarcity events under climate non-stationarity, there was a trade-off between the number of extreme water scarcity events and the water scarcity ratio. Thus, it is proposed that decision-makers choose their optimal rules in reference to the evaluation results and decision support illustrations.

• Journal of the Korea Society of Computer and Information
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• v.12 no.5
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• pp.273-284
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• 2007

This paper studies a periodic review inventory model with an e-MarketPlace transaction in reconfigurable manufacturing system(RMS). A decision maker can expand/reduce production capacity/quantities and/or replenish/dispose inventories from/to e-MarketPlace urgently to satisfy the stochastic demands. If inventories are replenished or disposed through e-MarketPlace, this leadtime is shorter than the production leadtime, but unit purchasing or selling cost is more expensive than that of expanding capacity or reducing production quantities respectively. Henceforth, trade-off on these alternatives is considered. In addition to this, in order to consider the economy of scale, our model includes the fixed cost for purchasing from e-MarketPlace and capacity expansion. We use dynamic programming and K convexity methods to characterize the nature of the optimal policy. Finally, We present the optimal inventory control policy which is composed by the combinations of a base stock and (s,S) type policy.