• 경영과학
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• 제32권1호
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• pp.15-33
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• 2015

Under complete information, introducing additional constraints to a portfolio will have a negative impact on performance. However, real-life investments inevitably involve use of error-prone estimations, such as expected stock returns. In addition to the reality of incomplete data, investments of most Korean domestic equity funds are regulated externally by the government, as well as internally, resulting in limited maximum investment allocation to single stocks and risk free assets. This paper presents an investment framework, which takes such real-life situations into account, based on a newly developed portfolio selection model considering realistic constraints under incomplete information. Additionally, we examined the effects of additional constraints on portfolio's performance under incomplete information, taking the well-known Samsung and SK group stocks as performance benchmarks during the period beginning from the launch of each commercial fund, 2005 and 2007 respectively, up to 2013. The empirical study shows that an investment model, built under incomplete information with additional constraints, outperformed a model built without any constraints, and benchmarks, in terms of rate of return, standard deviation of returns, and Sharpe ratio.

• 가족자원경영과 정책
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• 제17권1호
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• pp.241-263
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• 2013

Time pressure and financial burden have been reported as the main constraints on leisure participation. The purpose of this study was to explore a typology of leisure constraints, investigate the characteristics of leisure constraint types, and analyze the differences in leisure participation by the types of leisure constraints for married employees. The data source for this research was the 2009 Time Use Survey conducted by the Korea National Statistical Office (KNSO). Married employees aged 20 to 59 years completed 13,476 time diaries (7,984 for male, 5,492 for female), which were analyzed using chi-square, cluster analysis, and ANOVA analysis. Leisure constraints were classified into five types in two categories, working time per week and personal income for both males and females respectively. The three types for both males and females were time-income constraints, income constraints, and general constraints, with an additional type for men, $time^+$-income constraints, and an additional type for women, time constraint. The most common type was general constraints, for both males and females. Each type was further differentiated by the following socio-economic variables: age, educational level, job type, and weekly day-off. The study found that participation in study, sports, and religious activities varied with the types of leisure constraints.

• 한국경영과학회지
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• 제11권2호
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• pp.79-87
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• 1986

This paper illustrates a new method to solve the fuzzy goal programming (FGP) problem. It is proved that the FGP proposed by Narasimhan can be solved on the basis of linear programming(LP) model. Narasimhan formulated the FGP problem as a set of $S^{K}$LP problems, each containing 3K constraints, where K is the number of fuzzy goals/constraints. Whereas Hanna formulated the FGP problem as a single LP problem with only 2K constraints and 2K + 1 additional variables. This paper presents that the FGP problem can be transformed with easy into a single LP model with 2K constraints and only one additional variables. And we propose extended FGP :(1) FGP with weights associated with individual goals, (2) FGP with preemptive prioities. The extended FGP has a framework that is identical to that of conventional goal programming (GP), such that the extended FGP can be applied with fuzzy concept to the all areas where GP can be applied.d.

• 한국조경학회지
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• 제28권2호
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• pp.18-27
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• 2000

The importance of constraints has been one of major issues in recreation for prediction of choice behavior; however, traditional conjoint choice model did not consider the effects of these variables or fail to integrate them into choice model adequately. The purposes of this research are (a) to estimate the effects of constraints in theme park choice behavior by the constraints-induced conjoint choice model, and (b) to test additional explanatory power of the additional constraints in this suggested model against the more parsimonious traditional model. A leading polling agency was employed to select respondents. Both alternative generating and choice set generating fractional factorial design were conducted to meet the necessary and sufficient conditions for calibration of the constraints-induced conjoint choice model. Th alternative-specific model was calibrated. The log-likelihood ratio test revealed that suggested model was accepted in the favor of the traditional model, and the goodness-of-fit($\rho$$^2$) of suggested and traditional model was 0.48427 and 0.47950, respectively. There was no difference between traditional and suggested model in estimates of attribute levels of car and shuttle bus because alternatives were created to estimate the effects of constraints independently from mode related variables. Most parameters values of constraints had the expected sign and magnitude: the results reflected the characteristics of the theme parks, such as abundance of natural attractions and poor accessibility in Everland, location of major fun rides indoor in Lotte World, city park like characteristics of Dream Land, and traffic jams in Seoul. Instead of the multinomial logit model, the nested logit model is recommended for future researches because this model more reasonably reflects the real decision-making process in park choice. Development of new methodology too integrate this hierarchical decision-making into choice model is anticipated.

• 한국정보시스템학회지:정보시스템연구
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• 제25권1호
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• pp.159-182
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• 2016

Purpose This paper aims to develop a novel tabu search algorithm for solving the sequencing problems with precedence constraints. Due to constraints, the traditional meta heuristic methods can generate infeasible solutions during search procedure, which must be carefully dealt with. On the contrary, the candidate order based tabu search (COTS) is based on a novel neighborhood structure that guarantees the feasibility of solutions, and can dealt with a wide range of sequencing problems in flexible manner. Design/methodology/approach Candidate order scheme is a strategy for constructing a feasible sequence by iteratively appending an item at a time, and it has been successfully applied to genetic algorithm. The primary benefit of the candidate order scheme is that it can effectively deal with the additional constraints of sequencing problems and always generates the feasible solutions. In this paper, the candidate order scheme is used to design the neighborhood structure, tabu list and diversification operation of tabu search. Findings The COTS has been applied to the single machine job sequencing problems, and we can see that COTS can find the good solutions whether additional constraints exist or not. Especially, the experiment results reveal that the COTS is a promising approach for solving the sequencing problems with precedence constraints. In addition, the operations of COTS are intuitive and easy to understand, and it is expected that this paper will provide useful insights into the sequencing problems to the practitioners.

• International Journal of Control, Automation, and Systems
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• 제2권4호
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• pp.407-422
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• 2004

A new method for the design of predictive controllers for SISO systems is presented. The proposed technique allows uncertainties and constraints to be concluded in the design of the control law. The goal is to design, at each sample instant, a predictive feedback control law that minimizes a performance measure and guarantees of constraints are satisfied for a set of models that describes the system to be controlled. The predictive controller consists of a finite horizon parametric-optimization problem with an additional constraint over the manipulated variable behavior. This is an end-constraint based approach that ensures the exponential stability of the closed-loop system. The inclusion of this additional constraint, in the on-line optimization algorithm, enables robust stability properties to be demonstrated for the closed-loop system. This is the case even though constraints and disturbances are present. Finally, simulation results are presented using a nonlinear continuous stirred tank reactor model.

• 전자공학회논문지A
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• 제31A권2호
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• pp.94-103
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• 1994

In testing for practical scan disigned logic circuits, there may exist logic value constraints on some part of primary inputs due to various requirements on design and test. This paper presents a logic value system called taboo logic values which targets the test pattern generation of logic circuits under logic value constraints. The taboo logic system represents the logic value constraints and identifies additional logic value constraints through the implication of the tqaboo logic values using a taboo logic calculus. Those identified logic value constraints will guide the search during the test pattern generation of avoid the unfruitful searches and to identify redundant faults due to the logic value constraints very quickly. Finally, experimental results on ISCAS85 benchmark circuits will demonstrate the efficiency of the taboo logic values.

• 대한전기학회논문지:전력기술부문A
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• 제49권7호
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• pp.339-344
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• 2000

This paper presents an improved optimal power flow algorithm, which solves an optimization problem with equality constraints with converted inequality constraints. The standard OPF and the penalty function method should do reconstructing active constraints among the inequality constraints so that the activation of the inequality constraints has been imposing an additional burden to solve OPF problem efficiently. However the proposed algorithm converts active inequality constraints into the equality constraints in order to preclude us from reconstructing the procedures. The effectiveness of the new OPF algorithm is validated by applying the IEEE 14 bus system.

• 대한전기학회논문지:전력기술부문A
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• 제54권12호
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• pp.597-602
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• 2005

The introduction of competition in electricity market emphasizes the importance of sufficient transmission capacities to guarantee various electricity transactions. Therefore, when dispatch scheduling, transmission security constraints should be considered for the economic and stable electric power system operation. In this paper, we propose an optimal dispatch scheduling algorithm incorporating transmission security constraints. For solving these constraints, the dispatch scheduling problem is decomposed into a master problem to calculate a general optimal power flow (OPF) without transmission security constraints and several subproblems to inspect the feasibility of OPF solution under various transmission line contingencies. If a dispatch schedule given by the master problem violates transmission security constraints, then an additional constraint is imposed to the master problem. Through these iteration processes between the master problem and subproblems, an optimal dispatch schedule reflecting the post-contingency rescheduling is derived. Moreover, since interruptible loads can positively participate as generators in the competitive electricity market, we consider these interruptible loads active control variables. Numerical example demonstrates efficiency of the proposed algorithm.

• 산업공학
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• 제11권3호
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• pp.65-75
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• 1998

This research considers the problem of scheduling jobs on parallel machines with non-common due dates and additional resource constraints. The objective is to minimize the total absolute deviation of job completion times about the due dates. Job processing times are assumed to be the same. This problem is motivated by restrictions that occur in the handling and processing of jobs in certain phases of semiconductor manufacturing and other production systems. We examine two problems. For the first of these, the number of different types of additional: resources and resource requirements per job are arbitrary. The problem is formulated as a zero-one integer linear programming and the Lagrangian relaxation approach is used. For the second case, there exists one single type of additional resource and the resource requirements per job are zero or one. We show how to formulate the problem as an assignment problem.