• KSCE Journal of Civil and Environmental Engineering Research
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• v.33 no.6
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• pp.2255-2265
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• 2013

This study presents the width function-based Clark model. To this end, rescaled width function with distinction between hillslope and channel velocity is used as time-area curve and then it is routed through linear storage within the framework of not finite difference scheme used in original Clark model but analytical expression of linear storage routing. There are three parameters focused in this study: storage coefficient, hillslope velocity and channel velocity. SCE-UA, one of the popular global optimization methods, is applied to estimate them. The shapes of resulting IUHs from this study are evaluated in terms of the three statistical moments of hydrologic response functions: mean, variance and the third moment about the center of IUH. The correlation coefficients to the three statistical moments simulated in this study against these of observed hydrographs were estimated at 0.995 for the mean, 0.993 for the variance and 0.983 for the third moment about the center of IUH. The shape of resulting IUHs from this study give rise to satisfactory simulation results in terms of the mean and variance. But the third moment about the center of IUH tend to be overestimated. Clark model proposed in this study is superior to the one only taking into account mean and variance of IUH with respect to skewness, peak discharge and peak time of runoff hydrograph. From this result it is confirmed that the method suggested in this study is useful tool to reflect the heterogeneity of drainage path and hydrodynamic parameters. The variation of statistical moments of IUH are mainly influenced by storage coefficient and in turn the effect of channel velocity is greater than the one of hillslope velocity. Therefore storage coefficient and channel velocity are the crucial factors in shaping the form of IUH and should be considered carefully to apply Clark model proposed in this study.

• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.393-406
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• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.19 no.3
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• pp.62-74
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• 2020

Although the government and local governments devote efforts to activate bicycles, they only access to the supply infrastructure such as bike lanes and the public bicycle rental service centers without considering the measures to overcome the geographical constraints of slope. Therefore, this study constructs bicyclist's energy consumption estimation model through experimental methods of slope gradient and heart rate measurement and suggest the bicycle route choice model which could minimize the energy by the slope gradient. After calculating the RMSE of the estimated energy consumption by applying this model to the simulation section, it is confirmed to be 41% better than the model which does not reflect slope gradient. The results of this study are expected to be applied to the bicycle infrastructure planning that considers both longitude and transverse of bike lanes and the algorithm of bicycle route guidance system in the future.

• Proceedings of the Korea Water Resources Association Conference
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• 2007.05a
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• pp.2120-2124
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• 2007

본 연구에서는 천해역에서 수평 방향으로 방류되는 비부력 원형 난류제트에 대한 수리모형실험을 수행하여, 파랑이 제트의 확산에 미치는 영향을 검토하였다. 수리모형실험시 대상 파랑은 진폭이 작은 규칙파를 적용하였으며, 난류제트의 순간적인 유속장은 입자화상유속계(particle image velocimetry, PIV)기법을 이용하여 측정하였다. 평균유속장은 PIV기법으로 측정된 순간유속장을 위상평균하여 계산하였으며, 파의 진폭을 변화시키며 실험을 수행하였고, 파의 진폭변화에 따른 제트의 유속분포로부터 제트의 중심선과 제트단면을 추정하였다. 제트의 중심선속도는 파의 진폭이 증가함에 따라 중심선속도의 감소 시점이 빨라졌으며, 제트의 횡단면분포의 고유특성인 자기상사성(self-similarity)이 단계적으로 사라졌다. 제트 중심선의 속도와 제트 유속 단면은 제트의 확산정도를 알 수 있는 중요한 인자로서 파랑 진폭의 크기에 따른 이들 인자의 변화로부터 파랑의 분산이 난류제트의 확산현상에 미치는 영향을 알 수 있었다.

• Journal of Korean Society of Transportation
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• v.16 no.2
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• pp.117-131
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• 1998

지체함수는 교통량과 속도의 관계를 단조 증가함수로 단순화하여 교통수요예측의 교통배정모형에 사용되게 된다. 이 지체함수를 구하는 방법은 두가지로 구분할 수 있는데, 첫째는 교통배정을 통해 구해지는 추정 링크통행량과 실측 교통량을 비교해 가면서 정산하는 방법이고 둘째는 교통량-속도 관계로부터 직접 구하는 방법이다. 첫째 방법은 구해진 O/D 통행량표의 부정확성과 모형에 내재하는 오류가 이 지체함수에 포함될 가능성이 매우 높은 단점을 가지고 있다. 본 연구에서는 교통량-속도 관계로부터 직접 도로유형별 지체함수를 구하여 교통배정에 적용하는 새로운 방법을 정입하였다. 교통망 전체에 대하여 단일 지체함수를 적용하는 기존의 방법은, 교통량 변화에 따른 통행시 간의 변화가 보다 둔감한 고급도로에 변화는 고급도로일수록 둔감하게 나타나며, 교통배정에 도로유형별 지체함수를 적용할 경우 단일 지체함수 적용시에 비하여 고급도로에 더 많은 교통량이 배정되게 된다. 본 연구의 결과, 교통망상에서 보다 현실적인 도로유형별 분담을 이룰 수 있는 방안이 정립됨으로써, 지금까지 교통배정에 있어 상대적으로 과소평가되어 왔던 고속도? 등 고급도로의 실제 타당성을 반영할 수 있게 되어 도로의 기능적 배차구조가 확립된 효율적인 교통망을 구성할 수 있는 계기를 마련한 것으로 판단된다.

• Proceedings of the KIEE Conference
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• 2006.10c
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• pp.199-201
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• 2006

풍력발전기에 있어서 블레이드의 Yaw방향 제어는 끊임없이 변화하는 풍향에 대해 효율의 극대화와 블레이드의 강도 및 진동측면에서 대단히 중요하다. 기존의 블레이드 Yaw 방향 측정은 접촉 및 비접촉 센서가 이용되어왔다. 본 논문에서는 풍력발전기의 원격모니터링 시스템에서 기본적으로 설치되는 카메라를 이용하여 블레이드의 Yaw방향을 측정하는 방법을 제안한다. 블레이드가 풍향에 따라 회전할 때 영상 누적을 행하고, 누적영상에 대해 경계점을 추정하여 타원의 궤적을 추정한다. 추정된 경계점들을 이용하고 최소자승법을 적용하여 타원방정식을 추정하고, 장축과 단축을 연산한다. 장축과 단축의 변화를 이용하여 카메라의 촬영방향의 기준점으로부터 Yaw방향의 변화를 정량적인 값으로 산출하여 이를 바탕으로 Yaw회전각을 추정한다. Yaw 방향 추정의 검증을 위해 블레이드 속도와 Yaw 방향의 제어가 가능한 모형풍력발전기를 제작하고 실험을 통하여 제안한 추정알고리즘의 유효성을 검증한다.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.20-20
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• 2015

최근 기후변화의 영향으로 전 세계적으로 홍수와 가뭄의 발생빈도가 증가하고 있다. 특히, 가뭄은 우리나라에서 겨울과 봄철을 중심으로 매년 발생되고 있다. 가뭄의 정확한 발생을 판단하기는 어려우나, 가뭄이 발생되면 그 진행속도는 홍수보다 느리기 때문에 초기에 가뭄의 발생가능성을 예측한다면 가뭄에 대한 피해를 줄일 수 있다. 따라서 최근 가뭄 예측에 대한 다양한 연구가 이루어지고 있다. 본 연구에서는 가뭄발생의 불확실성을 내포하기 위하여 Bayesian Network (BN) 모형과 SPI의 자기상관성을 바탕으로 가까운 미래의 가뭄 발생확률을 예측하는 방법을 제안하였다. BN은 변수들 간의 인과관계를 확률적으로 나타낼 수 있는 네트워크 모형으로, 자연현상에 대한 위험도 분석 및 의학 분야에서 질병추정을 위한 모형으로 활용되고 있다. 본 연구에서는 가까운 미래의 가뭄 예측을 위하여 APEC 기후센터(APEC Climate Center, APCC)에서 제공하는 다중모형앙상블(Multi-model Ensemble, MME) 강우예측 결과로 도출한 미래 SPI 및 과거 강우량 자료로 구축한 SPI를 부모노드로, 예측 SPI를 자식노드로 BN을 구축하였다. BN의 각각의 노드를 Gaussian 확률분포모형으로 가정한 뒤, Likelihood weighting 방법으로 주변사후분포확률(Marginal posterior distribution)을 추정하여 미래의 SPI의 발생확률을 계산하였다. 2008년부터 2013년의 BN 가뭄 예측값과 MME 강우예측 결과로 도출한 SPI를 실제 관측 강우량으로 산정한 SPI와 비교하였으며, BN이 실제 관측결과에 가까운 결과가 도출되었다. 본 연구에서는 BN을 활용하여 가까운 미래의 가뭄 발생가능성을 확률적으로 나타낼 수 있는 방법을 제시하였으며, 그 결과 가뭄상태별 가뭄 발생확률이 산정되었다.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.2D
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• pp.251-258
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• 2006

This study is to develop an estimation method of freeway design capacity through the analysis of time headway distribution in continuum flow. Traffic flow-speed diagram and time headway distribution plotted from individual vehicle data shows: a) a road capacity is not deterministic but stochastic, b) time headway distribution for each vehicle speed group follows pearson type V distribution. The freeway design capacity estimation model is developed by determining a minimum time headway for capacity with stochastic method. The estimated capacity values for each design speed are lower when design speed ${\leq}80km/h$, and higher when design speed ${\geq}106km/h$ in comparison with HCM(2000)'s values. In addition, The distinguish difference is that this model leads flexible application in planning level by defining the capacity as stochastic distribution. In detail, this model could prevent a disutility to add a lane for only one excess demand in a road planning level.

• Journal of Korean Society of Transportation
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• v.26 no.6
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• pp.113-122
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• 2008

This study extended Park et al.(2007c), which analyzed the efficiency of a hierarchical transit network, showed the result of a real data, and analyzed its applicability. Operating cost was estimated using a model which was established in this study, and minimum transit demand was derived from the operating cost. The minimum transit demand value is just a sample calculation, thus it varies by many inside and outside factors of the model. Looking at the inside of the model, operating cost and travel speed are major factors, and the possibility of introducing urban subway becomes high when the operating cost of the transit system is low and its travel speed is high. As far as the outside factors are concerned, according to the analysis on the network structure, transit demand, and transit mode share, the minimum transit demand value which was derived in this study will be the maximum value among the possible values. In the feasibility study, the benefit is likely to be overestimated and the cost is likely to be underestimated than those of this study. It could be concluded that the methodology of a feasibility study is appropriate in the field standard. This study analyzed the efficiency of introduction of urban subway using analytical approach, thus has many shortcomings and limitations. However the practical approach, like feasibility study, has some limitations as well. This study could be a basis on establishing an analysis framework that is more accurate and reasonable by comparing analytical approach and practical approach.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.135-149
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• 2020

Artificial intelligences are changing world. Financial market is also not an exception. Robo-Advisor is actively being developed, making up the weakness of traditional asset allocation methods and replacing the parts that are difficult for the traditional methods. It makes automated investment decisions with artificial intelligence algorithms and is used with various asset allocation models such as mean-variance model, Black-Litterman model and risk parity model. Risk parity model is a typical risk-based asset allocation model which is focused on the volatility of assets. It avoids investment risk structurally. So it has stability in the management of large size fund and it has been widely used in financial field. XGBoost model is a parallel tree-boosting method. It is an optimized gradient boosting model designed to be highly efficient and flexible. It not only makes billions of examples in limited memory environments but is also very fast to learn compared to traditional boosting methods. It is frequently used in various fields of data analysis and has a lot of advantages. So in this study, we propose a new asset allocation model that combines risk parity model and XGBoost machine learning model. This model uses XGBoost to predict the risk of assets and applies the predictive risk to the process of covariance estimation. There are estimated errors between the estimation period and the actual investment period because the optimized asset allocation model estimates the proportion of investments based on historical data. these estimated errors adversely affect the optimized portfolio performance. This study aims to improve the stability and portfolio performance of the model by predicting the volatility of the next investment period and reducing estimated errors of optimized asset allocation model. As a result, it narrows the gap between theory and practice and proposes a more advanced asset allocation model. In this study, we used the Korean stock market price data for a total of 17 years from 2003 to 2019 for the empirical test of the suggested model. The data sets are specifically composed of energy, finance, IT, industrial, material, telecommunication, utility, consumer, health care and staple sectors. We accumulated the value of prediction using moving-window method by 1,000 in-sample and 20 out-of-sample, so we produced a total of 154 rebalancing back-testing results. We analyzed portfolio performance in terms of cumulative rate of return and got a lot of sample data because of long period results. Comparing with traditional risk parity model, this experiment recorded improvements in both cumulative yield and reduction of estimated errors. The total cumulative return is 45.748%, about 5% higher than that of risk parity model and also the estimated errors are reduced in 9 out of 10 industry sectors. The reduction of estimated errors increases stability of the model and makes it easy to apply in practical investment. The results of the experiment showed improvement of portfolio performance by reducing the estimated errors of the optimized asset allocation model. Many financial models and asset allocation models are limited in practical investment because of the most fundamental question of whether the past characteristics of assets will continue into the future in the changing financial market. However, this study not only takes advantage of traditional asset allocation models, but also supplements the limitations of traditional methods and increases stability by predicting the risks of assets with the latest algorithm. There are various studies on parametric estimation methods to reduce the estimated errors in the portfolio optimization. We also suggested a new method to reduce estimated errors in optimized asset allocation model using machine learning. So this study is meaningful in that it proposes an advanced artificial intelligence asset allocation model for the fast-developing financial markets.