• Proceedings of the Korean Operations and Management Science Society Conference
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• 1996.04a
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• pp.525-529
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• 1996

Decision environments involve a high degree of uncertainty as well as multiple, conflicting goals. Although traditional goal programming offers a means of considering multiple, conflicting goals and arrives at a satisficing solution in a deterministic manner, its major drawback is that decision makers often specify aspiration level of each goal as a single number. To overcome the problem of setting aspiration levels, chance constrained programming can be incorporated into goal programming formulation so that sampling information can be utilized to describe uncertainty distribution. Another drawback of goal programming is that it does not provide a systematic approach to set priorities and trade-offs among conflicting goals. To overcome this weekness, the analytic hierarchy process(AHP) is used in the model. Also, most goal programming models in the literature are of a linear form, although some nonlinear models have been presented. Consideration of risk in technological coefficients and right hand sides, however, leads to nonlinear goal programming models, which require a linear approximation to be solved. In this paper, chance constrained reformulation with linear approximation is presented for a 0-1 goal programming problem whose technological coefficients and right hand sides are stochastic. The model is presented with a numerical example for the purpose of demonstration.

• Wind and Structures
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• v.9 no.3
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• pp.231-243
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• 2006

An improvement to the spectral representation algorithm for the simulation of wind velocity fields on large scale structures is proposed in this paper. The method proposed by Deodatis (1996) serves as the basis of the improved algorithm. Firstly, an interpolation approximation is introduced to simplify the computation of the lower triangular matrix with the Cholesky decomposition of the cross-spectral density (CSD) matrix, since each element of the triangular matrix varies continuously with the wind spectra frequency. Fast Fourier Transform (FFT) technique is used to further enhance the efficiency of computation. Secondly, as an alternative spectral representation, the vectors of the triangular matrix in the Deodatis formula are replaced using an appropriate number of eigenvectors with the spectral decomposition of the CSD matrix. Lastly, a turbulent wind velocity field through a vertical plane on a long-span bridge (span-wise) is simulated to illustrate the proposed schemes. It is noted that the proposed schemes require less computer memory and are more efficiently simulated than that obtained using the existing traditional method. Furthermore, the reliability of the interpolation approximation in the simulation of wind velocity field is confirmed.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.30 no.8 s.251
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• pp.1001-1007
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• 2006

In this paper we present robust optimal supporting positions for large glass panels used for TFT-LCD monitors when they are stored in a cassette during manufacturing process. The criterion taken is to minimize their maximum deflection. Since they are supported by some supports and have large deformations, contact analysis with a geometrically nonlinear effect is necessary. In addition, the center of a panel can not be positioned exactly as intended and should be considered as uncertainties. To take into account of these effects, the mean and the standard deviation of system response functions, particularly the deflection of the panels, need be calculated. A function approximation moment method (FAMM) is utilized to estimate them. It is a special type of response surface methodology for structural reliability analysis and can be efficiently used to estimate the two stochastic properties, that is, the system performance and the perturbations caused by uncertainties. For a design purpose, they are to be minimized simultaneously by some optimization algorithm to obtain robust optimal supporting positions.

• Journal of the Korean Operations Research and Management Science Society
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• v.37 no.3
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• pp.135-150
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• 2012

This paper presents a portfolio model for a long-term power generation mix problem. The proposed portfolio model evaluates generation mix by considering the tradeoffs between the expected cost for power generation and its variability. Unlike conventional portfolio models measuring variance, we introduce Conditional Value-at-Risk (CVaR) in designing the variability with aims to considering events that are enormously expensive but are rare such as nuclear power plant accidents. Further, we consider uncertainties associated with future electricity demand, fuel prices and their correlations, and capital costs for power plant investments. To obtain an objective generation by each energy source, we employ the sample average approximation method that approximates the stochastic objective function by taking the average of large sample values so that provides asymptotic convergence of optimal solutions. In addition, the method includes Monte Carlo simulation techniques in generating random samples from multivariate distributions. Applications of the proposed model and method are demonstrated through a case study of an electricity industry with nuclear, coal, oil (OCGT), and LNG (CCGT) in South Korea.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.25 no.4
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• pp.501-507
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• 2021

Neural networks with differentiable activation functions are differentiable with respect to input variables. We improve the approximation capability of neural networks by using the gradient and Hessian of neural networks to satisfy the differential equations of the problems of interest. We apply differential neural networks to the pricing of financial options, where stochastic differential equations and the Black-Scholes partial differential equation represent the differential relation of price of option and underlying assets, and the first and second derivatives of option price play an important role in financial engineering. The proposed neural network learns - (a) the sample paths of option prices generated by stochastic differential equations and (b) the Black-Scholes equation at each time and asset price. Experimental results show that the proposed method gives accurate option values and the first and second derivatives.

• ETRI Journal
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• v.29 no.2
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• pp.201-211
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• 2007

This paper focuses on the scheduling problem with the objective of maximizing system throughput, while guaranteeing long-term quality of service (QoS) constraints for non-realtime data users and short-term QoS constraints for realtime multimedia users in multiclass service high-speed uplink packet access (HSUPA) systems. After studying the feasible rate region for multiclass service HSUPA systems, we formulate this scheduling problem and propose a multi-constraints HSUPA opportunistic scheduling (MHOS) algorithm to solve this problem. The MHOS algorithm selects the optimal subset of users for transmission at each time slot to maximize system throughput, while guaranteeing the different constraints. The selection is made according to channel condition, feasible rate region, and user weights, which are adjusted by stochastic approximation algorithms to guarantee the different QoS constraints at different time scales. Simulation results show that the proposed MHOS algorithm guarantees QoS constraints, and achieves high system throughput.

• Wind and Structures
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• v.9 no.6
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• pp.457-471
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• 2006

This paper is devoted to the non linear quasi-steady aerodynamic loading. A linear approximation is often used to compute the response of structures to buffeting forces. Some researchers have however shown that it is possible to account for the non linearity of this loading. This non linearity can come (i) from the squared velocity or (ii) from the shape of the aerodynamic coefficients (as functions of the wind angle of attack). In this paper, it is shown that this second origin can have significant implications on the design of the structure, particularly when the non linearity of the aerodynamic coefficient is important or when the transverse turbulence is important.

• Structural Engineering and Mechanics
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• v.32 no.1
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• pp.127-145
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• 2009

A novel approach is proposed to effectively estimate the quantile functions of normalized performance indices of reliability constraints in a reliability-based optimization (RBO) problem. These quantile functions are not only estimated as functions of exceedance probabilities but also as functions of the design variables of the target RBO problem. Once these quantile functions are obtained, all reliability constraints in the target RBO problem can be transformed into non-probabilistic ordinary ones, and the RBO problem can be solved as if it is an ordinary optimization problem. Two numerical examples are investigated to verify the proposed novel approach. The results show that the approach may be capable of finding approximate solutions that are close to the actual solution of the target RBO problem.

• Interaction and multiscale mechanics
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• v.1 no.1
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• pp.103-121
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• 2008

This paper presents an optimization-based method for computing a minimal bounding ellipsoid that contains the set of static responses of an uncertain braced frame. Based on a non-stochastic modeling of uncertainty, we assume that the parameters both of brace stiffnesses and external forces are uncertain but bounded. A brace member represents the sum of the stiffness of the actual brace and the contributions of some non-structural elements, and hence we assume that the axial stiffness of each brace is uncertain. By using the $\mathcal{S}$-lemma, we formulate a semidefinite programming (SDP) problem which provides an outer approximation of the minimal bounding ellipsoid. The minimum bounding ellipsoids are computed for a braced frame under several uncertain circumstances.

• Structural Engineering and Mechanics
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• v.24 no.5
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• pp.529-541
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• 2006

This work gives an application of stochastic techniques for the optimization of stiffened plates in vibration. The search strategy consists of substituting, for finite element calculations in the optimization process, an approximate response from a Rayleigh-Ritz method. More precisely, the paper describes the use of a Rayleigh-Ritz method in creating function approximations for use in computationally intensive design optimization based on genetic algorithms. Two applications are presented; their deal with the optimization of stiffeners on plates by varying their positions, in order to maximize some natural frequencies, while having well defined dimensions. In other words, this work gives the fundamental idea of using a Ritz approximation to the response of a plate in vibration instead of finite element analysis.