• 한국소음진동공학회:학술대회논문집
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• 한국소음진동공학회 2001년도 춘계학술대회논문집
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• pp.892-896
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• 2001

백색잡음 불규칙 과정으로 모델링된 난류형태의 유체운동에 의하여 가진되는 비선형 시스템의 특성과 제어기법에 대해 연구하였다. 고려된 물리적인 모델은 주질량과 끝단 집중질량을 갖는 보형태의 구조물이다. 그 지배방정식은 확률론적 관점에서 F-P-K 접근법으로 유도되었고, 비선형 해석법으로 Gaussian Closure방법을 이용하였다. 비선형 시스템의 제어기법으로는 슬라이딩 모드 제어기를 최초로 확률영역에서 설계하고 그 효과를 확률영역 및 시간영역에서 고찰하였다.

• KDI Journal of Economic Policy
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• 제40권4호
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• pp.1-22
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• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

• Structural Engineering and Mechanics
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• 제82권1호
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• pp.31-40
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• 2022

In structural engineering, the material properties of the structures such as elastic modulus, shear modulus, density, and size may not be deterministic and may vary at different locations. The dynamic response analysis of such structures may need to consider these properties as stochastic. This paper introduces a stochastic finite element method (SFEM) approach to analyze moving loads problems. Firstly, Karhunen-Loéve expansion (KLE) is applied for expressing the stochastic field of material properties. Then the mathematical expression of the random field is substituted into the finite element model to formulate the corresponding random matrix. Finally, the statistical moment of the dynamic response is calculated by the point estimation method (PEM). The accuracy and efficiency of the dynamic response obtained from the KLE-PEM are demonstrated by the example of a moving load passing through a simply supported Euler-Bernoulli beam, in which the material properties (including elastic modulus and density) are considered as random fields. The results from the KLE-PEM are compared with those from the Monte Carlo simulation. The results demonstrate that the proposed method of KLE-PEM has high accuracy and efficiency. By using the proposed SFEM, the random vertical deflection of a high-speed railway (HSR) bridge is analyzed by considering the random fields of material properties under the moving load of a train.

• 융합신호처리학회논문지
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• 제12권3호
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• pp.212-216
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• 2011

태양광 발전 시스템의 고장검출은 고장으로 인해 발생되는 기술적 및 경제적 손실을 최대한 줄이기 위한 첨단 기술로 각광을 받고 있다. 본 논문은 푸리에 신경회로망과 확률론적 의사결정법을 이용한 태양광 발전 시스템의 새로운 고장진단 알고리즘을 제안한다. 우선 태양광 시스템의 동적 모델링을 위하여 최급강하 기반 최적화 기법을 통해 신경회로망 모델을 구성하며 GLRT 알고리즘을 이용하여 태양광 시스템의 확률론적 고장검출 기법을 제안한다. 제안한 고장검출 알고리즘의 타당성 검증을 위하여 태양광 고장검출 테스트베드를 제작하여 실시간 실험을 실시하였으며 이 때 태양광으로부터의 신호는 직류 전력선 통신을 이용하였다.

• Journal of Electrical Engineering and Technology
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• 제2권4호
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• pp.413-419
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• 2007

The optimal power flow (OPF) problem was introduced by Carpentier in 1962 as a network constrained economic dispatch problem. Since then, it has been intensively studied and widely used in power system operation and planning. In the past few decades, many stochastic optimization methods such as Genetic Algorithm (GA), Evolutionary Programming (EP), and Particle Swarm Optimization (PSO) have been applied to solve the OPF problem. In particular, PSO is a newly proposed population based stochastic optimization algorithm. The main idea behind it is based on the food-searching behavior of birds and fish. Compared with other stochastic optimization methods, PSO has comparable or even superior search performance for some hard optimization problems in real power systems. Nowadays, some modifications such as breeding and selection operators are considered to make the PSO superior and robust. In this paper, we propose the Modified PSO (MPSO), in which the mutation operator of GA is incorporated into the conventional PSO to improve the search performance. To verify the optimal solution searching ability, the proposed approach has been evaluated on an IEEE 3D-bus test system. The results showed that performance of the proposed approach is better than that of the standard PSO.

• Computers and Concrete
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• 제19권1호
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• pp.111-120
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• 2017

This study aimed to design the accelerated life testing (ALT) of concrete, which stimulating the special natural environment maximumly. Its evaluation indexes, such as dynamic elastic modulus, mass and ultrasonic velocity were measured, and the variation of relative mass and relative dynamic elastic modulus of concrete were studied. Meanwhile, the microanalysis method was used. Moreover, an exploratory application of the stochastic approach, the Weibull distribution and the lognormal distribution, were made to assess the durability of concrete structures. The results show that the ALT for simulating natural environment is more close to the service process of concrete structure under actual conditions; The relative dynamic elastic modulus can be used as the dominant durability evaluation parameters, because it is more sensitive to the environmental factors compared with the relative quality evaluation parameters; In the course of the concrete deterioration, the destruction of the salt freezing cycle is the dominant factor, supplemented by other factors; Both of those two stochastic approaches can be used to evaluate the reliability of concrete specimens under the condition of ALT; By comparison, The lognormal distribution method is better to describe the reliability process.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제11권12호
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• pp.5820-5834
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• 2017

This paper investigates the channel selection problem with dynamic users and the asymmetric interference relation in distributed opportunistic spectrum access systems. Since users transmitting data are based on their traffic demands, they dynamically compete for the channel occupation. Moreover, the heterogeneous interference range leads to asymmetric interference relation. The dynamic users and asymmetric interference relation bring about new challenges such as dynamic random systems and poor fairness. In this article, we will focus on maximizing the tradeoff between the achievable utility and access cost of each user, formulate the channel selection problem as a directional graphical game and prove it as an exact potential game presenting at least one pure Nash equilibrium point. We show that the best NE point maximizes both the personal and system utility, and employ the stochastic learning approach algorithm for achieving the best NE point. Simulation results show that the algorithm converges, presents near-optimal performance and good fairness, and the directional graphical model improves the systems throughput performance in different asymmetric level systems.

• Structural Engineering and Mechanics
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• 제54권2호
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• pp.319-336
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• 2015

Life cycle performance of corrosion affected RC structures is an important and challenging issue for effective infrastructure management. The accurate condition assessment of corroded RC structures mainly depends on the effective evaluation of deterioration occurring in the structures. Structural performance deterioration caused by reinforcement corrosion is a complex phenomenon which is generally uncertain and non-decreasing. Therefore, a stochastic modelling such as the gamma process can be an effective tool to consider the temporal uncertainty associated with performance deterioration. This paper presents a time-dependent reliability analysis of corrosion affected RC structures associated bond strength degradation. Initially, an analytical model to evaluate cracking in the concrete cover and the associated loss of bond between the corroded steel and the surrounding cracked concrete is developed. The analytical results of cover surface cracking and bond strength deterioration are examined by experimental data available. Then the verified analytical results are used for the stochastic deterioration modelling, presented here as gamma process. The application of the proposed approach is illustrated with a numerical example. The results from the illustrative example show that the proposed approach is capable of assessing performance of the bond strength of concrete structures affected by reinforcement corrosion during their lifecycle.

• Interdisciplinary Bio Central
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• 제3권2호
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• pp.8.1-8.6
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• 2011

Background: Thanks to the development of the mathematical/statistical reverse engineering and the high-throughput measuring biotechnology, lots of biologically meaningful genegene interaction networks have been revealed. Steady-state analysis of these systems provides an important clue to understand and to predict the systematic behaviours of the biological system. However, modeling such a complex and large-scale system is one of the challenging difficulties in systems biology. Results: We introduce a new stochastic modeling approach that can describe gene regulatory mechanisms by dividing two (DNA and protein) layers. Simple queuing system is employed to explain the DNA layer and the protein layer is modeled using G-networks which enable us to account for the post-translational protein interactions. Our method is applied to a transcription repression system and an active protein degradation system. The steady-state results suggest that the active protein degradation system is more sensitive but the transcription repression system might be more reliable than the transcription repression system. Conclusions: Our two layer stochastic model successfully describes the long-run behaviour of gene regulatory networks which consist of various mRNA/protein processes. The analytic solution of the G-networks enables us to extend our model to a large-scale system. A more reliable modeling approach could be achieved by cooperating with a real experimental study in synthetic biology.

• Journal of the Korean Statistical Society
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• 제20권2호
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• pp.99-107
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• 1991

Behrens-Fisher problem is viewed from a model selection approach. Normal distribution is regarded as an approximating model, A criterion, called TIC, is derived and is compared with selection criteria such as AIC and a bootstrap estimator. Stochastic approximation is used since no closed form expression is available for the bootstrap estimator.