• The Transactions of The Korean Institute of Electrical Engineers
• /
• v.57 no.1
• /
• pp.20-24
• /
• 2008

A bid-based pool(BBP) model is representative of energy market structure in a number of restructured electricity markets. Supply function equilibrium(SFE) models of interaction better match what is explicitly required in the bid formats of typical BBP markets. Many of the results in the SFE literature involve restrictive parametrization of the bid cost functions. In the SFE models, two parameters, intercept and slope, are available for strategic bidding. This paper addresses the realistic competition format that players can choose both parameters arbitrarily. In a fixed demand function, equilibrium conditions for generation company's profit maximization have a degree of freedom, which induces multi-equilibrium. So it is hard to choose a convergent equilibrium. However, consideration of stochastic demand function makes the equilibrium conditions independent each other based on the amount of variance of stochastic demand function. This variance provides the bidding players with incentives to change the slope parameter from an equilibrium for a fixed demand function until the slope parameter equilibrium.

• Transactions of the Korean Society of Mechanical Engineers A
• /
• v.24 no.11
• /
• pp.2828-2835
• /
• 2000

This paper presents the fatigue behavior of composite materials with impact-induced damage. The impact damage parameter is proposed to evaluate the effect of impact damage on fatigue life. Subsequently, a new model is developed to predict the fatigue life of impacted composite materials. Also, a stochastic model is proposed to describe the variation of fatigue life due to the material nonhomogeneity. For these models, the fatigue tests were performed on the unimpacted and impacted composite materials, The effect of impact damage on fatigue life can be characterized by the impact damage parameter. Additionally, the results by the present fatigue life prediction model agree will with experimental results regardless of applied impact energy. Also, the variation of fatigue life can be described by the present stochastic model and is reduced with applied impact energy.

• Proceedings of the KSME Conference
• /
• 2000.11a
• /
• pp.225-230
• /
• 2000

This paper presents the fatigue behavior of composite materials with impact-induced damage. The impact damage parameter is proposed to evaluate the effect of impact damage on fatigue life. Subsequently, a new model is developed to predict the fatigue life of impacted composite materials. Also, a stochastic model is proposed to describe the variation of fatigue life due to the material nonhomogeneity. For these models, the fatigue tests were performed on the unimpacted and impacted composite materials. The effect of impact damage on fatigue life can be characterized by the impact damage parameter. Additionally, the results by the present fatigue life prediction model agree well with experimental results regardless of applied impact energy. Also, the variation of fatigue life can be described by the present stochastic model and is reduced with applied impact energy.

• Journal of the Korean Statistical Society
• /
• v.28 no.1
• /
• pp.93-106
• /
• 1999

In this paper we consider estimation of a real valued parameter in the drift coefficient of a Hilbert space valued Ito stochastic differential equation. First we consider observation of the corresponding diffusion in a fixed time interval [0, T] and prove the Bernstein - von Mises theorem concerning the convergence of posterior distribution of the parameter given the observation, suitably normalised and centered at the MLE, to the normal distribution as Tlongrightarrow$\infty$. As a consequence, the Bayes estimator of the drift parameter becomes asymptotically efficient and asymptotically equivalent to the MLE as Tlongrightarrow$\infty$. Next, we consider observation in a random time interval where the random time is determined by a predetermined level of precision. We show that the sequential MLE is better than the ordinary MLE in the sense that the former is unbiased, uniformly normally distributed and efficient but is latter is not so.

• Communications for Statistical Applications and Methods
• /
• v.22 no.3
• /
• pp.295-304
• /
• 2015

This paper considers the problem of estimation of the Hurst parameter H ${\in}$ (1/2, 1) from longitudinal data with the error term of a fractional Brownian motion with Hurst parameter H that gives the amount of the long memory of its increment. We provide a new estimator of Hurst parameter H using a two scale sampling method based on $A{\ddot{i}}t$-Sahalia and Jacod (2009). Asymptotic behaviors (consistent and central limit theorem) of the proposed estimator will be investigated. For the proof of a central limit theorem, we use recent results on necessary and sufficient conditions for multi-dimensional vectors of multiple stochastic integrals to converges in distribution to multivariate normal distribution studied by Nourdin et al. (2010), Nualart and Ortiz-Latorre (2008), and Peccati and Tudor (2005).

• Journal of the Korean Statistical Society
• /
• v.25 no.2
• /
• pp.161-173
• /
• 1996

When we deal with a Hilbert space-valued Stochastic Differential Equation (SDE) (or Stochastic Partial Differential Equation (SPDE)), depending on some unknown parameters, the solution usually has a Fourier series expansion. In this situation we consider the maximum likelihood method for the statistical estimation problem and derive the asymptotic properties (consistency and normality) of the Maximum Likelihood Estimator (MLE).

• Journal of the Korean Statistical Society
• /
• v.34 no.4
• /
• pp.281-295
• /
• 2005

We investigate the rate of convergence of the distribution of the maximum likelihood estimator (MLE) of an unknown parameter in the drift coefficient of a stochastic process described by a linear stochastic differential equation driven by a fractional Brownian motion (fBm). As a special case, we obtain the rate of convergence for the case of the fractional Ornstein- Uhlenbeck type process studied recently by Kleptsyna and Le Breton (2002).

• Journal of the Korean Statistical Society
• /
• v.31 no.3
• /
• pp.329-342
• /
• 2002

We deal with asymptotic properties of Maximum Likelihood Estimator(MLE) for the parameters appearing in a Hilbert space-valued Stochastic Differential Equation(SDE) and a Stochastic Partial Differential Equation(SPDE). In paractice, the available data are only the finite dimensional projections to the solution of the equation. Using these data we obtain MLE and consider the asymptotic properties as the dimension of projections increases. In particular we explore a relationship between the conditions for the solution and asymptotic properties of MLE.

• Smart Structures and Systems
• /
• v.19 no.1
• /
• pp.21-31
• /
• 2017

To control the stochastic vibration of a vibration-sensitive instrument supported on a beam, the beam is designed as a sandwich structure with magneto-rheological visco-elastomer (MRVE) core. The MRVE has dynamic properties such as stiffness and damping adjustable by applied magnetic fields. To achieve better vibration control effectiveness, the optimal bounded parametric control for the MRVE sandwich beam with supported mass under stochastic and deterministic support motion excitations is proposed, and the stochastic and shock vibration suppression capability of the optimally controlled beam with multi-mode coupling is studied. The dynamic behavior of MRVE core is described by the visco-elastic Kelvin-Voigt model with a controllable parameter dependent on applied magnetic fields, and the parameter is considered as an active bounded control. The partial differential equations for horizontal and vertical coupling motions of the sandwich beam are obtained and converted into the multi-mode coupling vibration equations with the bounded nonlinear parametric control according to the Galerkin method. The vibration equations and corresponding performance index construct the optimal bounded parametric control problem. Then the dynamical programming equation for the control problem is derived based on the dynamical programming principle. The optimal bounded parametric control law is obtained by solving the programming equation with the bounded control constraint. The controlled vibration responses of the MRVE sandwich beam under stochastic and shock excitations are obtained by substituting the optimal bounded control into the vibration equations and solving them. The further remarkable vibration suppression capability of the optimal bounded control compared with the passive control and the influence of the control parameters on the stochastic vibration suppression effectiveness are illustrated with numerical results. The proposed optimal bounded parametric control strategy is applicable to smart visco-elastic composite structures under deterministic and stochastic excitations for improving vibration control effectiveness.

• Structural Monitoring and Maintenance
• /
• v.4 no.4
• /
• pp.331-350
• /
• 2017

Based on the alternative stabilization diagram by varying the time lag parameter in the stochastic subspace identification analysis, this study aims to investigate the measurements from several cases of civil structures for extending the applicability of a recently noticed criterion to ensure stable identification results. Such a criterion demands the time lag parameter to be no less than a critical threshold determined by the ratio of the sampling rate to the fundamental system frequency and is firstly validated for its applications with single measurements from stay cables, bridge decks, and buildings. As for multiple measurements, it is found that the predicted threshold works well for the cases of stay cables and buildings, but makes an evident overestimation for the case of bridge decks. This discrepancy is further explained by the fact that the deck vibrations are induced by multiple excitations independently coming from the passing traffic. The cable vibration signals covering the sensor locations close to both the deck and pylon ends of a cable-stayed bridge provide convincing evidences to testify this important discovery.