• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Computers and Concrete
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• v.21 no.4
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• pp.463-470
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• 2018

In the present study, soft computing i.e., machine learning techniques and regression models algorithms have earned much importance for the prediction of the various parameters in different fields of science and engineering. This paper depicts that how regression models can be implemented for the prediction of compressive strength of concrete. Three models are taken into consideration for this; they are Gaussian Process for Regression (GPR), Multi Adaptive Regression Spline (MARS) and Minimax Probability Machine Regression (MPMR). Contents of cement, blast furnace slag, fly ash, water, superplasticizer, coarse aggregate, fine aggregate and age in days have been taken as inputs and compressive strength as output for GPR, MARS and MPMR models. A comparatively large set of data including 1030 normalized previously published results which were obtained from experiments were utilized. Here, a comparison is made between the results obtained from all the above mentioned models and the model which provides the best fit is established. The experimental results manifest that proposed models are robust for determination of compressive strength of concrete.

• Journal of the Society of Naval Architects of Korea
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• v.28 no.1
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• pp.1-11
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• 1991

When a geometric modeling of a hull form for ship design and hull production is done, a hull fairing is a tedious process which wastes a lot of time, but it is unavoidable because hull consist of the sculptured surfaces. This paper presents the mathematical method of the direct fairing to overcome the tediousness of cross fairing. Bi-cubic B-spline surface description was adopted for the representation of the hull surface. The fairing process was executed by minimizing the strain energy in a shell plate. The color-encoded Gaussian curvature and strain energy were visualized on the screen to illustrate the fairness of the surface. The geometric information generated from the faired hull surface model was interfaced with the basic design calculation package and the hull production system.

• Proceedings of the Korea Water Resources Association Conference
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• 2021.06a
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• pp.440-440
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• 2021

본 연구에서는 다양한 수문지수와 생태지수간의 상관성 분석을 통해 하천의 유량이 하천 생태계와 하천 건강성에 어떤 영향을 끼치는지 분석했다. 수문지수는 각 유역의 유량 자료를 이용하여 구하였다. 각 유역의 평균 일일 유량, 평균 월 유량, 일 중앙 유량, 월 중앙 유량, 유량의 왜곡, 유량의 변동계수, 유량 빈도 등을 구하였다. 생태지수는 Benthic Macroinvertebrates Index (BMI)를 이용하였다. 피어슨 상관계수 분석(Pearson's correlation coefficient analysis)을 통해 수문지수와 생태지수 간의 상관성을 분석했다. 또한 Gaussian Process Regression(GPR) Model을 이용하여 수문지수와 유역의 지형적 특성을 이용한 회귀모형을 통해 미래의 BMI를 예측할 수 있었다. 각 수문지수별로 생태지수와 높은 상관성을 보이는 것과 낮은 상관성을 보이는 것을 확인할 수 있었다. GPR 모형을 이용하여 미래의 BMI의 값을 예측해 하천 건강성 평가로 이용될 수 있는 수문지수를 얻을 수 있었다. 본 연구를 통해서 수문학적 지수와 생태지수를 이용해 정량적으로 건강성을 평가할 수 있을 것으로 기대한다. 또한 GPR 모형을 통해 미래 생태지수의 값을 예측해보고 해당 연구 유역의 하천 건강을 위한 하나의 지표를 제안 할 수 있을 것으로 예상된다.

• The Journal of the Korea Contents Association
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• v.11 no.4
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• pp.74-82
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• 2011

To do fuzzy modelling of a nonlinear process needs to analyze the characteristics of input-output of fuzzy inference systems according to the division of entire input spaces and the fuzzy reasoning methods. For this, fuzzy model is expressed by identifying the structure and parameters of the system by means of input variables, fuzzy partition of input spaces, and consequence polynomial functions. In the premise part of the fuzzy rules Min-Max method using the minimum and maximum values of input data set and C-Means clustering algorithm forming input data into the clusters are used for identification of fuzzy model and membership functions are used as a series of triangular, gaussian-like, trapezoid-type membership functions. In the consequence part of the fuzzy rules fuzzy reasoning is conducted by two types of inferences such as simplified and linear inference. The identification of the consequence parameters, namely polynomial coefficients, of each rule are carried out by the standard least square method. And lastly, using gas furnace process which is widely used in nonlinear process we evaluate the performance and the system characteristics.

• Journal of the Society of Naval Architects of Korea
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• v.52 no.1
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• pp.88-95
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• 2015

For the frequency-domain spectral fatigue analysis, the probability density function of stress range needs to be estimated based on the stress spectrum only, which is a frequency domain representation of the response. The probability distribution of the stress range of the narrow-band spectrum is known to follow the Rayleigh distribution, however the PDF of wide-band spectrum is difficult to define with clarity due to the complicated fluctuation pattern of spectrum. In this paper, efforts have been made to figure out the links between the probability density function of stress range to the structural response of wide-band Gaussian random process. An artificial neural network scheme, known as one of the most powerful system identification methods, was used to identify the multivariate functional relationship between the idealized wide-band spectrums and resulting probability density functions. To achieve this, the spectrums were idealized as a superposition of two triangles with arbitrary location, height and width, targeting to comprise wide-band spectrum, and the probability density functions were represented by the linear combination of equally spaced Gaussian basis functions. To train the network under supervision, varieties of different wide-band spectrums were assumed and the converged probability density function of the stress range was derived using the rainflow counting method and all these data sets were fed into the three layer perceptron model. This nonlinear least square problem was solved using Levenberg-Marquardt algorithm with regularization term included. It was proven that the network trained using the given data set could reproduce the probability density function of arbitrary wide-band spectrum of two triangles with great success.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.2 no.3
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• pp.43-56
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• 1982

A recursive algorithms for prediction of streamflows by Kalman filtering theory and Self-tuning predictor based on the state space description of the dynamic systems have been studied and the applicabilities of the algorithms to the rainfall-runoff processes have been investigated. For the representation of the dynamics of the processes, a low-order ARMA process has been taken as the linear discrete time system with white Gaussian disturbances. The state vector in the prediction model formulated by a random walk process. The model structures have been determined by a statistical analysis for residuals of the observed and predicted streamflows. For the verification of the prediction algorithms developed here, the observed historical data of the hourly rainfall and streamflows were used. The numerical studies shows that Kalman filtering theory has better performance than the Self-tuning predictor for system identification and prediction in rainfall-runoff processes.

• Journal of the Korean Institute of Gas
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• v.24 no.6
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• pp.91-97
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• 2020

Lithium-ion batteries (LIBs) have a longer lifespan, higher energy density, and lower self-discharge rates than other batteries, therefore, they are preferred as an Energy Storage System (ESS). However, during years 2017-2019, 28 ESS fire accidents occurred in Korea, and accurate capacity estimation of LIB is essential to ensure safety and reliability during operations. In this study, data-driven modeling that predicts capacity changes according to the charging cycle of LIB was conducted, and developed models were compared their performance for the selection of the optimal machine learning model, which includes the Decision Tree, Ensemble Learning Method, Support Vector Regression, and Gaussian Process Regression (GPR). For model training, lithium battery test data provided by NASA was used, and GPR showed the best prediction performance. Based on this study, we will develop an enhanced LIB capacity prediction and remaining useful life estimation model through additional data training, and improve the performance of anomaly detection and monitoring during operations, enabling safe and stable ESS operations.

• Journal of the Semiconductor & Display Technology
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• v.12 no.2
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• pp.67-72
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• 2013

Temperature is a critical parameter in yield improvement for wafer manufacturing. In chemical vapor deposition (CVD) equipment, crack defect in ceramic heater leads to yield reduction, however, there is no suitable ceramic heater fault detection system for conventional CVD equipment. This paper proposes a short-time zero-crossing rate based fault detection method for the ceramic heater in CVD equipment. The proposed method measures the output signal ($V_{pp}$) of RF filter and extracts the zero-crossing rate (ZCR) as feature vector. The extracted feature vectors have a discriminant power and Gaussian mixture model (GMM) based fault detection method can detect fault in ceramic heater. Experimental results, carried out by measured signals provided by a CVD equipment manufacturer, indicate that the proposed method detects effectively faults in various process conditions.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.30 no.2C
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• pp.41-48
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• 2005

In this paper, we present a low complexity modified Gaussian model based pre-processing filter to improve the performance of H.264 compressed video. Video sequence captured by general imaging system represents the degraded version due to the additive noise which decreases coding efficiency and results in unpleasant coding artifacts due to higher frequency components. By incorporating local statistics and quantization parameter into filtering process, the spurious noise is significantly attenuated and coding efficiency is improved for given quantization step size. In addition, in order to reduce the complexity of the pre-processing filter, the simplified local statistics and quantization parameter are introduced. The simulation results show the capability of the proposed algorithm.