• Structural Engineering and Mechanics
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• 제32권1호
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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.

• International Journal of Fuzzy Logic and Intelligent Systems
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• 제13권1호
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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.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1991년도 한국자동제어학술회의논문집(국제학술편); KOEX, Seoul; 22-24 Oct. 1991
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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.

• 한국펄프종이공학회:학술대회논문집
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• 한국펄프종이공학회 2005년도 추계학술발표논문집
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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.

• 보건행정학회지
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• 제31권4호
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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.

• KDI Journal of Economic Policy
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• 제40권4호
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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.

• Smart Structures and Systems
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• 제20권2호
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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.

• Archives of Pharmacal Research
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• 제5권2호
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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.

• 한국음향학회지
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• 제37권4호
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• pp.256-261
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• 2018

차량 내부에는 BSR(Buzz, Squeak, Rattle) 세 가지 유형의 소음이 발생한다. 본 논문에서는 심층 컨볼루션 신경망으로 추출한 소음 특징에 기반하여 자동으로 차량 내부의 BSR 소음을 분류하는 분류기를 제안한다. 차량 내부의 소음은 전처리 단계에서 STFT(Short-time Fourier Transform) 알고리즘을 사용하여 소음 맵으로 표현된다. 생성된 소음 맵 내부에서 실제 소음의 위치를 정확하게 파악하기 어려운 문제에 대처하기 위해서 슬라이딩 윈도우 방법으로 분할하였다. 본 논문에서는 t-SNE(t-Stochastic Neighbor Embedding) 알고리즘을 사용하여 심층 컨볼루션 신경망 내부 파라미터를 시각화하고 정성적인 방식으로 오분류데이터를 분석하였다. 분류된 데이터의 정량적인 분석을 위해 소음의 종류별 유사도를 SSIM(Structural Similarity Index) 수치에 기반하여 정량화하여 리트랙터의 떨림음이 정상주행음과 가장 유사하다는 것을 밝혔다. 제안하는 방법의 분류기는 기타 기계학습 알고리즘 대비 최고 분류 정확도를 달성하였다(99.15%).

• 한국건설관리학회논문집
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• 제10권1호
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• pp.114-125
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• 2009

본 연구에서는 확률적 LCC 및 확률적 성능평가를 고려한 설계 VA분석 방법을 제안하였으며, 신뢰성 해석의 개념을 도입하여 신뢰도를 확보한 의사결정을 지원하고자 하였다. 상기와 같은 목적과 방법에 따라 진행된 본 연구의 결과를 요약하면 다음과 같다: 1) 기능정의가 완료된 이후 도출된 대안들의 대안평가시 신뢰성 있는 분석을 위하여 개선된 설계VA 절차 와 가치상태함수를 정식화하였으며, 가치평가절차에서의 일관성 및 효율성을 확보하기 위하여 평가지표방안을 제시하였다. 2) 교량의 LCC분석을 위한 DB를 수집 및 분석하였다. 자료의 수집범위는 기존에 수행된 교량의 LCC분석 연구 문헌을 기초로 하여 분석하였으며, 분석결과에 대한 신뢰도 확보 및 수집된 자료의 불확실성 처리를 위해 MCS 기법을 적용하였다. 3) 대안별 성능평가를 위한 가중치 및 평가등급과 LCC 분석을 위한 LCC 분석모델, 분석기간, 할인율, 사용자비용, 안전점검 및 안전진단비용에 대한 조건을 제시하였다. 끝으로, 사례대상인 "OO대교 및 연결도로 건설공사 실시설계" 프로젝트에 대한 VA수행 사례를 중심으로 타당성을 검토하고 결론을 도출하였다.