• Journal of Korean Institute of Industrial Engineers
• /
• v.36 no.2
• /
• pp.101-107
• /
• 2010

Among a variety of asset dynamics models in order to explain the common properties of financial underlying assets, parametric models are meaningful when their parameters are set reliably. There are two main methods from which we can obtain them. They are to use time-series data of an underlying price or the market option prices of the underlying at one time. Based on the Girsanov theorem, in the pure diffusion models, the parameters calibrated from the option prices should be partially equivalent to those from time-series underling prices. We call this phenomenon model consistency. In this paper, we verify that the two-state regime switching Black-Scholes model is superior in the sense of model consistency, comparing with two popular conventional models, the Black-Scholes model and Heston model.

• The Transactions of the Korean Institute of Electrical Engineers B
• /
• v.52 no.12
• /
• pp.616-623
• /
• 2003

Conventional P/PI speed controller of today's servo drives should be manually tuned the controller switching set-point by trial-and-errors, which may translate the drive system down-time and loss of productivity. The adjustable drive performance is heavily dependent on the quality of the expert knowledge and becomes inadequate in applications where the operating conditions change in a wide range, i.e., tracking command, acceleration/deceleration time, and load disturbances. In this paper, the demands on simple controls/setup are discussed for industry servo drives. Analyzing the frequency content of motor torque command, P/PI control mode switching is automatically performed with some prior knowledge of the mechanical dynamics. The dynamic performance of the proposed scheme assures a desired tracking response curve with minimal oscillation and settling time over the whole operating conditions. For comprehensive comparison of traditional P/PI control scheme, extensive test is carried out on actual servo system.

• The Transactions of the Korean Institute of Electrical Engineers D
• /
• v.52 no.6
• /
• pp.323-332
• /
• 2003

This paper proposes a variable structure position controller for an induction motor(IM) which uses a reaching law and an integral compensating nonlinear switching function. With the integral compensating nonlinear switching function, both very low overshoot and high steady state control accuracy can be obtained by compensating the states chattering problem due to the unmodelled dynamics of inverter and feedback sensors. With the reaching law, reaching mode can be established quantitatively during transient state so that dynamic control performance is improved. For experiment a digital servo driver which consists of a DSP and an IPM inverter was developed. With the various experimental results, IM position control performance was verified.

• Communications for Statistical Applications and Methods
• /
• v.21 no.6
• /
• pp.501-512
• /
• 2014

Stylized facts on asset return are fat-tail, asymmetry, volatility clustering and structure changes. This paper simultaneously captures these characteristics by introducing a multi-regime models: Finite mixture distribution and regime switching GARCH model. Analyzing the daily KOSPI return from $4^{th}$ January 2000 to $30^{th}$ June 2014, we find that a two-component mixture of t distribution is a good candidate to describe the shape of the KOSPI return from unconditional and conditional perspectives. Empirical results suggest that the equality assumption on the shape parameter of t distribution yields better discrimination of heterogeneity component in return data. We report the strong regime-dependent characteristics in volatility dynamics with high persistence and asymmetry by employing a regime switching GJR-GARCH model with t innovation model. Compared to two sub-samples, Pre-Crisis (January 2003 ~ December 2007) and Post-Crisis (January 2010 ~ June 2014), we find that the degree of persistence in the Pre-Crisis is higher than in the Post-Crisis along with a strong asymmetry in the low-volatility (high-volatility) regime during the Pre-Crisis (Post-Crisis).

• The Transactions of the Korean Institute of Electrical Engineers
• /
• v.38 no.1
• /
• pp.43-50
• /
• 1989

In this paper we present a new approach to control system design for multivariable systems using a sliding mode. In the applications of variable structure system (VSS) theory to multivariable systems, there exist some difficulties such as how to determine switching gains and how to reduce chattering phenomena in input and state trajectories. To cope with these drawbacks we introduce switching dynamics instead of switching logics to obtain the sliding mode. Consequently, we can obtain the new design approach which is much simpler than the VSS theory, And there do not exist chattering phenomena in this method because the obtained control inputs are continuous. Hierarchical control concepts are used to the control system design. Numerical examples are discussed as illustrations.

• Proceedings of the KIPE Conference
• /
• 2017.07a
• /
• pp.188-189
• /
• 2017

There has been a growing demand for power semiconductor switches equipped with high-voltage blocking capability of kV range and fast-switching characteristics of ns range in various plasma application. This paper investigates the application of SiC MOSFETs in the particular plasma application which requires the blocking voltage of 4.5kV and the switching transient time of less than 100ns. In order to meet the required blocking voltage, the series connection of multiple SiC MOSFETs is adopted in this paper. Also, snubber capacitors are employed to equalize the voltage sharing among the series connected SiC MOSFETs. The simulation and experimental result successfully verifies the application of SiC MOSFETs and snubber capacitors in the plasma application requiring high-voltage and fast-switching load dynamics.

• Proceedings of the Optical Society of Korea Conference
• /
• 2005.07a
• /
• pp.148-149
• /
• 2005

• Proceedings of the Korea Association of Crystal Growth Conference
• /
• 1997.06a
• /
• pp.223-228
• /
• 1997

The gas dynamics in a stagnation point upflow OMVPE reactor were studied by Raman spectroscopy. The gas temperature was measured as a function of inlet gas velocity and aspect ratio for both H$_2$ and N$_2$ carrier gases. The centerline temperature gradient was latger at higher inlet velocities and with the use of N$_2$, and only weakly dependent on the aspect ratio. a tracer molecule, CH$_4$, was used to investigate the steady state behavior of reactants in the reactor, and the use of a sweeping flow was found to be a suitable method for preventing wall deposition. The transient switching response of the gas manifold was also investigated. Under certain conditions (low velocities, unmatched flows) recirculation flows were apparent. Numerical calculations of the reactor gas dynamics gave reasonable agreement with experimental results when detailed thermal boundary conditions were included.

• Proceedings of the KSME Conference
• /
• 2001.11a
• /
• pp.252-257
• /
• 2001

With the help of newly arrived technology such as PC clustering, molecular dynamics (MD) seems to be promising for large-scale materials simulations. A cost-effective cluster is set up using commodity PCs connected over Ethernet with fast switching devices and free software Linux. Executing MD simulations in the parallel sessions makes it possible to carry out large-scale materials simulations at acceptable computation time and costs. In this study, the MD computer code for fracture simulation is modified to comply with MPI (Message Passing Interface) specification, and runs on the PC cluster in parallel mode flawlessly. It is noted that PC clusters can provide a rather inexpensive high-performance computing environment comparing to supercomputers, if properly arranged.

• Journal of Institute of Control, Robotics and Systems
• /
• v.2 no.1
• /
• pp.9-13
• /
• 1996

슬라이딩 모드 제어기의 실현시 발생하는 고주파 chattering 현상을 제거하기 위하여 본 논문에서는 스위칭 표면 행렬의 Range-space 동특성을 이용한 연속 시간 스위칭 다이나믹을 제안한다. 전체 폐루프 시스템은 정칙 변환에 의해 빠른 부시스템과 느린 부시스템으로 분해되어, 결국 전체 폐루프 시스템의 고유치는 각각 스위칭 표면 행렬의 Range-space와 Null-space의 동특성을 지배하는 부시스템들의 고유치들로 구성됨을 보인다. 그리고, 정합된 불확실성이 존재하는 경우 제안된 스위칭 다이나믹을 가진 제어 시스템의 응답은 일정 시간이 경과된 후 스위칭 평면의 임의의 영역으로 균일하게 유계된다는 것을 증명한다. 또한, 제어 입력의 크기에 대한 제약성을 만족하면서도 전체 제어 시스템의 정상 상태 오차를 감소시키기 위하여 두개의 스위칭 다이나믹을 도입한 수정된 슬라이딩 모드제어기를 제안한다.