• Title/Summary/Keyword: stochastic value index

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Stochastic value index for seismic risk management of existing lifelines

  • Koike, Takeshi;Imai, Toshio
    • Structural Engineering and Mechanics
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    • v.32 no.1
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    • pp.147-165
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    • 2009
  • This study proposes a certain measure or investment strategy for decision making associated with seismic retrofitting. This strategy reduces the risk of a large-scale malfunction such as water supply loss under seismic risks. The authors developed a stochastic value index that will be used in the overall evaluation of social benefit, income gain, life cycle costs and failure compensation associated with existing lifeline systems damaged by an earthquake during the remaining service period. Optimal seismic disaster prevention investment of deteriorated lifeline systems is discussed. Finally, the present study provides a performance-based design method for seismic retrofitting strategies of existing lifelines which are carried out using the target probabilities of value loss and structural failure.

Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking

  • Park, Jooyoung;Yang, Dongsu;Park, Kyungwook
    • International Journal of Fuzzy Logic and Intelligent Systems
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    • v.13 no.1
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    • pp.19-30
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    • 2013
  • Recently, the constrained index tracking problem, in which the task of trading a set of stocks is performed so as to closely follow an index value under some constraints, has often been considered as an important application domain for control theory. Because this problem can be conveniently viewed and formulated as an optimal decision-making problem in a highly uncertain and stochastic environment, approaches based on stochastic optimal control methods are particularly pertinent. Since stochastic optimal control problems cannot be solved exactly except in very simple cases, approximations are required in most practical problems to obtain good suboptimal policies. In this paper, we present a procedure for finding a suboptimal solution to the constrained index tracking problem based on approximate dynamic programming. Illustrative simulation results show that this procedure works well when applied to a set of real financial market data.

A study of parameter estimation of stochastic volatility model

  • Tsukui, Makiko;Furuta, Katsuhisa
    • 제어로봇시스템학회:학술대회논문집
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    • 1991.10b
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    • pp.1858-1863
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    • 1991
  • The theory of stock option pricing has, recently, attracted attention of many researchers interested not only in finance but also in statistics and control theory. In this field, the problem of estimating stock return volatility is, above all, of great importance in calculating actual stock option value. In this paper, we assume that the stock market is represented by the stochastic volatility model which is the same as that of Hull and White. Then, we propose an approximation function of option value. It is a type of Black-Sholes option formula in which the first and the second order moments of logarithmic stock value are modified in a special form from the original model. Finally, an algorithm of estimating the parameters of the stochastic volatility model is given, and parameters are estimated by using Nikkei 225 index option data.

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Evaluation anisotropy in stochastic texture images using wavelet transforms for characterizing printing, coating and paper structure

  • Sung, Yong-Joo;Farnood, Ramin
    • Proceedings of the Korea Technical Association of the Pulp and Paper Industry Conference
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    • 2005.11a
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    • pp.45-53
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    • 2005
  • A novel method for evaluating the anisotropy of the deterministic features in a stochastic 2D data is introduced. The ability of the wavelet transform for the identification of the abrupt discontinuities could be used to characterize the boundary of the deterministic area in a 2D stochastic data, such as flocs in paper structure. The one-dimensional wavelet transform with a small-scale range in MD and CD could quantify the amount of the edge in both directions, depending on the intensity of each floc. The flocs that are aligned in the MD direction result in a higher value of local wavelet energy in the CD direction. Therefore, the ratio of the total wavelet energy in CD and MD directions can be used as a new anisotropy index. This index is a measure of the floc-orientation and can provide an excellent tool to obtain the orientation distribution and the major oriented angle of flocs. Various simulated images and real stochastic data such as local gloss variation of printed image and formation image, have been tested and the results show this analysis method is very reliable to measure the anisotropy of the deterministic features.

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A Study on Regional Differences in Healthcare in Korea: Using Position Value for Relative Comparison Index (한국 지역 간 보건의료수준의 상대적 위치 비교 연구: Position Value for Relative Comparison Index를 활용하여)

  • Youn, Hin-Moi;Yun, Choa;Kang, Soo Hyun;Kwon, Junhyun;Lee, Hyeon Ji;Park, Eun-Cheol;Jang, Sung-In
    • Health Policy and Management
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    • v.31 no.4
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    • pp.491-507
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    • 2021
  • Background: This study aims to measure regional healthcare differences in Korea, and define relatively underserved areas. Methods: We employed position value for relative comparison index (PARC) to measure the healthcare status of 250 areas using 137 indicators in five following domains: healthcare demand, supply, accessibility, service utilization, and outcome. We performed a sensitivity analysis using t-SNE (t-distributed stochastic neighboring embedding). Results: Based on PARC values, 83 areas were defined as relatively underserved areas, 49 of which were categorized as moderate and 34 as severe. The provincial regions with the most underserved areas were Gyeongbuk (16 areas), Gangwon (13), Jeonnam (13), and Gyeongnam (12). Conclusion: This study suggests a relative comparison approach to define relatively underserved areas in healthcare. Further studies incorporating various perspectives and methods are required for policy implications.

Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models

  • CHOI, SEUNGMOON
    • KDI Journal of Economic Policy
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    • v.40 no.4
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    • pp.1-22
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    • 2018
  • We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

Mode identifiability of a cable-stayed bridge using modal contribution index

  • Huang, Tian-Li;Chen, Hua-Peng
    • Smart Structures and Systems
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    • v.20 no.2
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    • pp.115-126
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    • 2017
  • The modal identification of large civil structures such as bridges under the ambient vibrational conditions has been widely investigated during the past decade. Many operational modal analysis methods have been proposed and successfully used for identifying the dynamic characteristics of the constructed bridges in service. However, there is very limited research available on reliable criteria for the robustness of these identified modal parameters of the bridge structures. In this study, two time-domain operational modal analysis methods, the data-driven stochastic subspace identification (SSI-DATA) method and the covariance-driven stochastic subspace identification (SSI-COV) method, are employed to identify the modal parameters from field recorded ambient acceleration data. On the basis of the SSI-DATA method, the modal contribution indexes of all identified modes to the measured acceleration data are computed by using the Kalman filter, and their applicability to evaluate the robustness of identified modes is also investigated. Here, the benchmark problem, developed by Hong Kong Polytechnic University with field acceleration measurements under different excitation conditions of a cable-stayed bridge, is adopted to show the effectiveness of the proposed method. The results from the benchmark study show that the robustness of identified modes can be judged by using their modal contributions to the measured vibration data. A critical value of modal contribution index of 2% for a reliable identifiability of modal parameters is roughly suggested for the benchmark problem.

Studies on mixing of pharmaceutical powders

  • Choi, Woo-Sik
    • Archives of Pharmacal Research
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    • v.5 no.2
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    • pp.53-60
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    • 1982
  • The mixing of salicylic acid and wheat starch powders was studied using a V-type mixer. After the optimum operating conditions of the mixer were examined, the mixing characteristics relating to dilution ratio, particle size of active ingradient and addition ratio of lubricants were investigated. The coefficient of variation was expressed by a power law relating to the dilution ratio and the particle size of active ingredient. Furthermore, the comparison of results with the theoretically estimated value of mixing index suggested that the mixing of cohesive pharmacceutical powders is a complex stochastic process and cannot be explained fully by a simple theory based on a complete random mixing.

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BSR (Buzz, Squeak, Rattle) noise classification based on convolutional neural network with short-time Fourier transform noise-map (Short-time Fourier transform 소음맵을 이용한 컨볼루션 기반 BSR (Buzz, Squeak, Rattle) 소음 분류)

  • Bu, Seok-Jun;Moon, Se-Min;Cho, Sung-Bae
    • The Journal of the Acoustical Society of Korea
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    • v.37 no.4
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    • pp.256-261
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    • 2018
  • There are three types of noise generated inside the vehicle: BSR (Buzz, Squeak, Rattle). In this paper, we propose a classifier that automatically classifies automotive BSR noise by using features extracted from deep convolutional neural networks. In the preprocessing process, the features of above three noises are represented as noise-map using STFT (Short-time Fourier Transform) algorithm. In order to cope with the problem that the position of the actual noise is unknown in the part of the generated noise map, the noise map is divided using the sliding window method. In this paper, internal parameter of the deep convolutional neural networks is visualized using the t-SNE (t-Stochastic Neighbor Embedding) algorithm, and the misclassified data is analyzed in a qualitative way. In order to analyze the classified data, the similarity of the noise type was quantified by SSIM (Structural Similarity Index) value, and it was found that the retractor tremble sound is most similar to the normal travel sound. The classifier of the proposed method compared with other classifiers of machine learning method recorded the highest classification accuracy (99.15 %).

A Study on the Design Value Analysis Methodology for Bridge Structure Using Reliability Analysis (신뢰성 해석을 이용한 교량구조물의 설계VA기법 연구)

  • Kim, Seong-Il;Lee, Kwang-Mo;Choi, Suk-Won;Jung, Jun-Hwa;Kim, Seong-Il
    • Korean Journal of Construction Engineering and Management
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    • v.10 no.1
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    • pp.114-125
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    • 2009
  • In this study, a design value analysis technique that considered stochastic LCC and stochastic performance evaluation was proposed, and by introducing the concept of reliability analysis, a decision making that secured reliability was supported. The results of this study, which was carried out according to the above objectives and methods, are summarized as follows: 1) The design value analysis procedures and value state function, improved in order to carry out a reliable analysis when evaluating alternate proposals that were extracted after the function definition was complete, were formalized, and in order to secure consistency and efficiency for value evaluation procedures, an evaluation index scheme was proposed; 2) Database collection and analysis were done for a bridge's LCC analysis. As for the collection scope of data, literature of previous research done on a bridge's LCC analysis was used as the basis for analysis, and for securing reliability regarding analysis results and dealing with uncertainty of collected data, the MCS technique was applied; 3) Weights and evaluation ranks for performance evaluation of each of the alternate proposals, as well as LCC analysis model, analysis period, discount rate, user expense, safety inspection and safety diagnosis expense conditions for LCC analysis were proposed. Lastly, a feasibility study was done and conclusion was made about "OO grand bridge and connecting road construction work execution design" project centered on value analysis execution case.