• International Journal of Fuzzy Logic and Intelligent Systems
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• 제13권1호
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• pp.19-30
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• 2013

Recently, the constrained index tracking problem, in which the task of trading a set of stocks is performed so as to closely follow an index value under some constraints, has often been considered as an important application domain for control theory. Because this problem can be conveniently viewed and formulated as an optimal decision-making problem in a highly uncertain and stochastic environment, approaches based on stochastic optimal control methods are particularly pertinent. Since stochastic optimal control problems cannot be solved exactly except in very simple cases, approximations are required in most practical problems to obtain good suboptimal policies. In this paper, we present a procedure for finding a suboptimal solution to the constrained index tracking problem based on approximate dynamic programming. Illustrative simulation results show that this procedure works well when applied to a set of real financial market data.

• Korea-Australia Rheology Journal
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• 제14권4호
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• pp.161-174
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• 2002

A new technique for numerical calculation of viscoelastic flow based on the combination of Neural Net-works (NN) and Brownian Dynamics simulation or Stochastic Simulation Technique (SST) is presented in this paper. This method uses a "universal approximator" based on neural network methodology in combination with the kinetic theory of polymeric liquid in which the stress is computed from the molecular configuration rather than from closed form constitutive equations. Thus the new method obviates not only the need for a rheological constitutive equation to describe the fluid (as in the original Calculation Of Non-Newtonian Flows: Finite Elements St Stochastic Simulation Techniques (CONNFFESSIT) idea) but also any kind of finite element-type discretisation of the domain and its boundary for numerical solution of the governing PDE's. As an illustration of the method, the time development of the planar Couette flow is studied for two molecular kinetic models with finite extensibility, namely the Finitely Extensible Nonlinear Elastic (FENE) and FENE-Peterlin (FENE-P) models.P) models.

• 한국소음진동공학회:학술대회논문집
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• 한국소음진동공학회 1998년도 춘계학술대회논문집; 용평리조트 타워콘도, 21-22 May 1998
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• pp.450-453
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• 1998

Investigation is performed on the characteristics and new control technique for general form of dynamic system under the randomly disturbance. Also, a controller design method in stochastic domain in studied, which is preliminary result in the course of research on the control of stochastic system. The governing equation is derived via F-P-K approach in stochastic sense. A controller is designed in term of auto power density and cross power density.

• Structural Engineering and Mechanics
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• 제17권3_4호
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• pp.429-444
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• 2004

The ambient vibration measurement is a kind of output data-only dynamic testing where the traffics and winds are used as agents responsible for natural or environmental excitation. Therefore an experimental modal analysis procedure for ambient vibration testing will need to base itself on output-only data. The modal analysis involving output-only measurements presents a challenge that requires the use of special modal identification technique, which can deal with very small magnitude of ambient vibration contaminated by noise. Two complementary modal analysis methods are implemented. They are rather simple peak picking (PP) method in frequency domain and more advanced stochastic subspace identification (SSI) method in time domain. This paper presents the application of ambient vibration testing and experimental modal analysis on large civil engineering structures. A 15 storey reinforced concrete shear core building and a concrete filled steel tubular arch bridge have been chosen as two case studies. The results have shown that both techniques can identify the frequencies effectively. The stochastic subspace identification technique can detect frequencies that may possibly be missed by the peak picking method and gives a more reasonable mode shapes in most cases.

• 대한기계학회:학술대회논문집
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• 대한기계학회 2007년도 춘계학술대회A
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• pp.921-926
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• 2007

A dynamic system under random disturbance is considered in the study. In order to control the system efficiently, proper reduction of system dimension is indispensible in design stage. The reduction method using component cost analysis in conjunction with stochastic analysis is proposed for the control of a system. System response is obtained in terms of dynamic moment equation via Fokker-Plank-Kolmogorov(F-P-K) equation. The dynamic moment response of the system under random disturbance are reduced by using of deterministic version of component cost analysis. The reduced system via proposed "stochastic component cost analysis" is successfully implemented for dynamic response and shows remarkable control performance effectively utilizing "stochastic controller" in physical time domain.

• Structural Engineering and Mechanics
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• 제39권6호
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• pp.877-893
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• 2011

Response spectra of earthquake ground motions are important in the earthquake-resistant design and reliability analysis of structures. The formulation of the response spectrum in the frequency domain efficiently computes and evaluates the stochastic response spectrum. The frequency information of the excitation can be described using different functional forms. The shapes of the calculated response spectra of the excitation show strong magnitude and site dependency, but weak distance dependency. In this paper, to compare the effect of the earthquake ground motion variables, the contribution of these sources of variability to the response spectrum's uncertainty is calculated by using a stochastic analysis. The analytical results show that earthquake source factors and soil condition variables are the main sources of uncertainty in the response spectra, while path variables, such as distance, anelastic attenuation and upper crust attenuation, have relatively little effect. The presented formulation of dynamic structural response in frequency domain based only on the frequency information of the excitation can provide an important basis for the structural analysis in some location that lacks strong motion records.

• 한국소음진동공학회:학술대회논문집
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• 한국소음진동공학회 2007년도 춘계학술대회논문집
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• pp.706-709
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• 2007

일반적으로 알려진 시스템 규명은 시스템의 입/출력 관계를 이용하여 시스템을 규명하고 그 파라미터를 구하고 있다. 그러나 많은 경우에 시스템이 불규칙한 외란에 노출된 경우에는 알려져 있는 시스템의 규명방법이 없다. 이에 그 특성이 알려져 있지 않은 미지의 시스템이 미지의 불규칙한 외란에 노출되었을 때에 그 시스템을 규명하는 방법을 연구 개발하였다. 여기서는 시스템의 출력이 정상적(Stationary)일 때만 이를 확률영역에서 고려하였다. 확률 영역에서 시스템의 응답은 시스템 파라미터의 영향을 크게 받는바 시스템모멘트응답을 시스템 파라미터와의 관계로 구성할 수 있다. 이로부터 시스템의 출력만을 이용하여 시스템 파라미터의 규명이 가능하게 되었다. 본 연구에서는 실 물리영역에서의 출력을 확률영역에서의 모멘트 응답으로 변환시킨 후 역변환 개념으로 미지의 불규칙 외란에 노출되어진 미지의 2차 선형 확률시스템의 파라메타를 성공적으로 규명하였다.

• 한국멀티미디어학회논문지
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• 제9권12호
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• pp.1572-1579
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• 2006

An usual acoustic emission(AE) event has two widely characterized parameters in time domain, peak amplitude and event duration. But noise in AE measuring may disturb the signals with its parameters and aggrandize the signal incertitude. Experiment activity of detection of the nick inside of porcelain with AE was made and study on AE signal processing with statistic be presented in this paper in order to pick-up information expected from the signal with noise. Effort is concentrated on developing a novel arithmetic to improve extraction of the characteristic from stochastic signal and to enhance the voracity of detection. The main purpose discussed in this paper is to treat with signals on amplitudes with statistic mutuality and power density spectrum in frequency domain, and farther more to select samples for neural networks training by means of least-squares algorithm between real measuring signal and deterministic signals under laboratory condition. By seeking optimization with the algorithm, the parameters representing characteristic of the porcelain object are selected, while the stochastic interfere be weakened, then study for detection on neural networks is developed based on processing above.

• 한국멀티미디어학회논문지
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• 제8권6호
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• pp.783-789
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• 2005

This paper is proposed a watermarking technique for copyright protection of multimedia contents. We proposed adaptive watermark detection algorithm using stochastic perceptual model and statistical decision method in DMWT(discrete multi wavelet transform) domain. The stochastic perceptual model calculates NVF(noise visibility function) based on statistical characteristic in the DMWT. Watermark detection algorithm used the likelihood ratio depend on Bayes' decision theory by reliable detection measure and Neyman-Pearson criterion. To reduce visual artifact of image, in this paper, adaptively decide the embedding number of watermark based on DMWT, and then the watermark embedding strength differently at edge and texture region and flat region embedded when watermark embedding minimize distortion of image. In experiment results, the proposed statistical decision method based on multiwavelet domain could decide watermark detection.

• Structural Engineering and Mechanics
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• 제22권4호
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• pp.469-481
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• 2006

A new method called fuzzy factor method for the stationary stochastic response analysis of fuzzy truss with global fuzzy structural parameters is presented in this paper. Considering the fuzziness of the structural physical parameters and geometric dimensions simultaneously, the fuzzy correlation function matrix of structural displacement response in time domain is derived by using the fuzzy factor method and the optimization method, the fuzzy mean square values of the structural displacement and stress response in the frequency domain are then developed with the fuzzy factor method. The influences of the fuzziness of structural parameters on the fuzziness of mean square values of the displacement and stress response are inspected via an example and some important conclusions are obtained. Finally, the example is simulated by Monte-Carlo method and the results of the two methods are close, which verified the feasibility of the method given in this paper.