• 대한수학회보
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• 제48권2호
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• pp.413-426
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• 2011

Two types of new methods with variable time steps are proposed in order to valuate binary options efficiently. Type I changes adaptively the size of the time step at each time based on the magnitude of the local error, while Type II combines two uniform meshes. The new methods are hybrid finite difference methods, namely starting the computation with a fully implicit finite difference method for a few time steps for accuracy then performing a ${\theta}$-method during the rest of computation for efficiency. Numerical experiments for standard European vanilla, binary and American options show that both Type I and II variable time step methods are much more efficient than the fully implicit method or hybrid methods with uniform time steps.

• Communications for Statistical Applications and Methods
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• 제31권1호
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• pp.143-154
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• 2024

This paper considers a combined model of exponential smoothing (ETS) and autoregressive integrated moving average (ARIMA) models that are commonly used to forecast time series data. The combined model is constructed through an innovational state space model based on the level variable instead of the differenced variable, and the identifiability of the model is investigated. We consider the maximum likelihood estimation for the model parameters and suggest the model selection steps. The forecasting performance of the model is evaluated by two real time series data. We consider the three competing models; ETS, ARIMA and the trigonometric Box-Cox autoregressive and moving average trend seasonal (TBATS) models, and compare and evaluate their root mean squared errors and mean absolute percentage errors for accuracy. The results show that the combined model outperforms the competing models.

• 한국지진공학회:학술대회논문집
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• 한국지진공학회 2003년도 춘계 학술발표회논문집
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• pp.50-58
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• 2003

We have developed a locally variable time-step scheme matching with discontinuous grids in the flute-difference method for the efficient simulation of seismic wave propagation. The first-order velocity-stress formulations are used to obtain the spatial derivatives using finite-difference operators on a staggered grid. A three-times coarser grid in the high-velocity region compared with the grid in the low-velocity region is used to avoid spatial oversampling. Temporal steps corresponding to the spatial sampling ratio between both regions are determined based on proper stability criteria. The wavefield in the margin of the region with smaller time-step are linearly interpolated in time using the values calculated in the region with larger one. The accuracy of the proposed scheme is tested through comparisons with analytic solutions and conventional finite-difference scheme with constant grid spacing and time step. The use of the locally variable time-step scheme with discontinuous grids results in remarkable saving of the computation time and memory requirement with dependency of the efficiency on the simulation model. This implies that ground motion for a realistic velocity structures including near-surface sediments can be modeled to high frequency (several Hz) without requiring severe computer memory

• Structural Engineering and Mechanics
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• 제18권5호
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• pp.591-607
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• 2004

The substance of the use of the derived non-linear creep constitutive equations under variable stress levels (see first part of the paper, Kmet 2004) is explained and the strategy of their application is outlined using the results of one-step creep tests of the steel spiral strand rope as an example. In order to investigate the creep strain increments of cables an experimental set-up was originally designed and a series of tests were carried out. Attention is turned to the individual main steps in the production and application procedure, i.e., to the one-step creep tests, definition of loading history, determination of the kernel functions, selection and definition of constitutive equation and to the comparison of the resulting values considering the product and the additive forms of the approximation of the kernel functions. To this purpose, the parametrical study is performed and the results are presented. The constitutive equations of non-linear creep of cable under variable stress history offer a strong tool for the real simulation of stochastic variable load history and prediction of realistic time-dependent response (current deflection and stress configuration) of structures with cable elements. By means of suitable stress combination and its gradual repeating various loads and times effects can be modelled.

• 한국안전학회지
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• 제21권2호
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• pp.143-149
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• 2006

본 논문은 2차원 동적 진동문제를 공간-시간 유한요소법으로 해석하고 있다. 공간-시간 유한요소법은 공간만 분할하는 재래식 유한요소해석에 비해 보다 해를 빠르고 쉽게 얻을 수 있다. 상대적으로 큰 시간간격에 대해서 공간과 시간을 동시에 분할하는 공간-시간 유한요소 근사법을 제시한다. 가중잔차법으로 공간-시간 영역에 대해 유한요소법을 정식화하였으며 선형 사변형 공간-시간 유한요소를 선택하여 해의 안정성에 관하여 언급하였다. 일반적 동적문제에서는 상대적인 큰 시간간격으로 인하여 해의 불안정을 야기 시키고 있으나 본 연구에서는 수치의 안정성을 보여주고 있다. 비구조 공간-시간 유한요소법은 재래식 수치해석에서 흔히 발생하는 해의 불안정성에 대한 결점을 보완함은 물론 효과적인 계산방법을 지니고 있다. 이 방법의 효율성을 위해 수치예제들을 제시하였다.

• Journal of Biosystems Engineering
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• 제31권2호
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• pp.108-114
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• 2006

This study was conducted to design and fabricate a controller for variable-rate application of granular fertilizer based on physical and chemical information, to analyze the performance of the controller and characteristics of a discharger. The result of the study are summarized as follows: 1. The charge ratios of discharger by accumulation heights of fertilizer in hopper were examined, and the variations in charge ratio were $72.58{\sim}93.33%$ and $63.14{\sim}94.42%$ for the fertilizers Super 21 and Sinsedae, respectively. The charge ratio also decreased as the rotational speed of discharger increased. 2. The coefficient of variation of discharge amount by rotational speed and discharge time of discharger were in the range of $2.94{\sim}11.23%$ and $2.82{\sim}10.80%$ for the fertilizer of Super 21 and Sinsedae. Except the rotational speed of 12 rpm, the coefficient of variation for discharge amount were relatively small with 4% more or less 3. In order to evaluate the rotational speed of discharger, the control signal in the range of $0{\sim}5V$ was subdivided into the 50 steps by 0.1V. The regression equation for the rotational speed of discharger was Y=55.984X-79.174(X: input voltage, V, Y: discharger speed, RPM) and the $R^2$ was 0.99. 4. In order to evaluate the performance of the controller for variable-rate application of granular fertilizer, settling time to unit step input was examined. The settling time varied from 0.8sec to 1.4 sec.

• Communications for Statistical Applications and Methods
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• 제8권3호
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• pp.777-786
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• 2001

The autoregressive models have been used to describe a wade variety of time series. Then the problem of determining the order in the times series model is very important in data analysis. We consider the Bayesian approach for finding the order of autoregressive(AR) error models using the latent variable which is motivated by Tanner and Wong(1987). The latent variables are combined with the coefficient parameters and the sequential steps are proposed to set up the prior of the latent variables. Markov chain Monte Carlo method(Gibbs sampler and Metropolis-Hasting algorithm) is used in order to overcome the difficulties of Bayesian computations. Three examples including AR(3) error model are presented to illustrate our proposed methodology.

• 품질경영학회지
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• 제47권3호
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• pp.497-508
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• 2019

Purpose: The purpose of this study is to overcome limitations of conventional studies that to predict Baltic Dry Index (BDI). The study proposed applications of Artificial Neural Network (ANN) named Long Short-Term Memory (LSTM) to predict BDI. Methods: The BDI time-series prediction was carried out through eight variables related to the dry bulk market. The prediction was conducted in two steps. First, identifying the goodness of fitness for the BDI time-series of specific ANN models and determining the network structures to be used in the next step. While using ANN's generalization capability, the structures determined in the previous steps were used in the empirical prediction step, and the sliding-window method was applied to make a daily (one-day ahead) prediction. Results: At the empirical prediction step, it was possible to predict variable y(BDI time series) at point of time t by 8 variables (related to the dry bulk market) of x at point of time (t-1). LSTM, known to be good at learning over a long period of time, showed the best performance with higher predictive accuracy compared to Multi-Layer Perceptron (MLP) and Recurrent Neural Network (RNN). Conclusion: Applying this study to real business would require long-term predictions by applying more detailed forecasting techniques. I hope that the research can provide a point of reference in the dry bulk market, and furthermore in the decision-making and investment in the future of the shipping business as a whole.

• ETRI Journal
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• 제30권1호
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• pp.167-169
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• 2008

In this paper, we propose hardware architecture for a high-speed context-adaptive variable length coding (CAVLC) decoder in H.264. In the CAVLC decoder, the codeword length of the current decoding block is used to determine the next input bitstreams (valid bits). Since the computation of valid bits increases the total processing time of CAVLC, we propose two techniques to reduce processing time: one is to reduce the number of decoding steps by introducing a lookup table, and the other is to reduce cycles for calculating the valid bits. The proposed CAVLC decoder can decode $1920{\times}1088$ 30 fps video in real time at a 30.8 MHz clock.

• 한국수소및신에너지학회논문집
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• 제30권6호
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• pp.614-620
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• 2019

In the present study, the wind characteristics were analyzed according to the time averages to evaluate the performance of small wind turbines required for the development of energy independent village. Measuring data of wind speed were recorded between January 2016 and April 2016 every second. Experimental data is averaged out using 5, 10, 15, 20 and 30 minute time steps. Throughout the experimental data analysis, 5 minutes averaged data is used to analyze the performance of the wind turbine, because it produces a minimum turbulence intensity in wind speed. The measuring power of the wind turbine is less than the designed value due to the unsteady nature wind of sudden changes in magnitude of wind speed and wind angle. Detailed wind conditions are also analysed using two variable Weibull probability density functions.