• 제목/요약/키워드: Uncertain Programming

검색결과 61건 처리시간 0.024초

The Admissible Multiperiod Mean Variance Portfolio Selection Problem with Cardinality Constraints

  • Zhang, Peng;Li, Bing
    • Industrial Engineering and Management Systems
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    • 제16권1호
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    • pp.118-128
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    • 2017
  • Uncertain factors in finical markets make the prediction of future returns and risk of asset much difficult. In this paper, a model,assuming the admissible errors on expected returns and risks of assets, assisted in the multiperiod mean variance portfolio selection problem is built. The model considers transaction costs, upper bound on borrowing risk-free asset constraints, cardinality constraints and threshold constraints. Cardinality constraints limit the number of assets to be held in an efficient portfolio. At the same time, threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Because of these limitations, the proposed model is a mix integer dynamic optimization problem with path dependence. The forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, to evaluate the model, our result of a meaning example is compared to the terminal wealth under different constraints.

주문 집약을 위한 재고 변용 모델 연구: 제철산업의 소로트 주문 집약 활용을 중심으로 (A Simulation Study on a Variant Policy of Inventory Replenishment for the Order Consolidation - A Case of Steel Industry)

  • 정재헌
    • 한국경영과학회:학술대회논문집
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    • 한국경영과학회 2005년도 추계학술대회 및 정기총회
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    • pp.10-26
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    • 2005
  • In our model, we keep inventory to satisfy uncertain demands which arrives irregularly. In this situation, we have additional two constraints. First, we need to have certain amount of order consolidation (consolidation constraint) for the orders to replenish the inventory because of production or purchase constraint. And also, if we order at a certain date which was set by administrative convenience, we have amount constraint to order the consolidated order demands (capacity constraint). We showed this variant inventory policy is needed in steel industry and note that there will be possible similar case in industry. To deal with this case, we invented a variant replenishment policy and show this policy is superior to other possible polices in the consolidation constraint case by extensive simulation. And we derive a combined solution method for dealing with the capacity constraints in addition to the consolidation constraints. For this, we suggest a combined solution method of integer programming and simulation.

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Determination of Secondary Reserve Requirement Through Interaction-dependent Clearance Between Ex-ante and Ex-post

  • Kim, Sun Kyo;Park, Joon-Hyung;Yoon, Yong Tae
    • Journal of Electrical Engineering and Technology
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    • 제9권1호
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    • pp.71-79
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    • 2014
  • This paper discusses a method for the determination of frequency control reserve requirement with consideration of the interaction between ex-ante planning and real-time balancing. In proposed method, we consider the fact that the delivered energy for tertiary control reserve is determined based on required capacity for secondary control reserve and the expected amount of load errors. Uncertain load errors are derived by Brownian motion, an optimization method is suggested using a stochastic programming. In a short, we propose an interactive dependent method for determining secondary control reserve requirement based on the principle that it satisfies to minimize the total cost. As a result, this paper provides will analyze for an example model to demonstrate the capabilities of the method.

주문 집약을 위한 재고 변용 모델 연구 : 제철산업의 소로트 주문 집약 활용을 중심으로 (A Simulation Study on a Variant Policy of Inventory Replenishment for the Order Consolidation : A Case of Steel Industry)

  • 정재헌
    • 한국경영과학회지
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    • 제31권2호
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    • pp.99-112
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    • 2006
  • In our model, we keep inventory to satisfy uncertain demands which arrives irregularly. In this situation, we have additional two constraints. First, we need to have certain amount of order consolidation (consolidation constraint) for the orders to replenish the inventory because of production or purchase amount constraint. And also, if we order at a certain date which was set by administrative convenience, we have capacity constraint to order the consolidated order demands (capacity constraint). We show this variant inventory policy is needed in steel industry and note that there will be possible similar case in industry. To deal with this case, we invent a variant replenishment policy and show this policy is superior to other possible polices in the consolidation constraint case by extensive simulation. And we derive a combined solution method for dealing with the capacity constraints in addition to the consolidation constraints. For this, we suggest a combined solution method of integer programming and simulation.

Multi-Objective Soft Computing-Based Approaches to Optimize Inventory-Queuing-Pricing Problem under Fuzzy Considerations

  • Alinezhad, Alireza;Mahmoudi, Amin;Hajipour, Vahid
    • Industrial Engineering and Management Systems
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    • 제15권4호
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    • pp.354-363
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    • 2016
  • Due to uncertain environment, various parameters such as price, queuing length, warranty, and so on influence on inventory models. In this paper, an inventory-queuing-pricing problem with continuous review inventory control policy and batch arrival queuing approach, is presented. To best of our knowledge, (I) demand function is stochastic and price dependent; (II) due to the uncertainty in real-world situations, a fuzzy programming approach is applied. Therefore, the presented model with goal of maximizing total profit of system analyzes the price and order quantity decision variables. Since the proposed model belongs to NP-hard problems, Pareto-based approaches based on non-dominated ranking and sorting genetic algorithm are proposed and justified to solve the model. Several numerical illustrations are generated to demonstrate the model validity and algorithms performance. The results showed the applicability and robustness of the proposed soft-computing-based approaches to analyze the problem.

전력계통(電力系統)의 불확실성(不確實性)을 포함한 유연(柔軟)한 장기전원구성(長期電源構成)의 수립에 관한 연구(硏究) (A Study on the Construction of the Flexible Long-Term Generation Mix under Uncertainties of Power System)

  • 송길영;남궁재용;최재석
    • 대한전기학회:학술대회논문집
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    • 대한전기학회 1993년도 하계학술대회 논문집 A
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    • pp.159-162
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    • 1993
  • A new approach using fuzzy dynamic programming is proposed for the flexible long-term generation mix under uncertain circumstances. A characteristic feature of the presented approach is that not only fuzziness in fuel and construction cost. load growth and reliability but also many constraints of generation mix can easily be taken into account by using fuzzy dynamic programming. The method can accommodate arbitrary shape of membership function as well as the operation of pump-generator. And so more realistic solution can be obtained. The effectiveness of the proposed approach is demonstrated by the best generation mix problem of KEPCO-system which contains nuclear, coal, LNG, oil and pump-generator hydro plant in multi-years.

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Computational solution for the problem of a stochastic optimal switching control

  • Choi, Won-Sik
    • 제어로봇시스템학회:학술대회논문집
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    • 제어로봇시스템학회 1993년도 한국자동제어학술회의논문집(국제학술편); Seoul National University, Seoul; 20-22 Oct. 1993
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    • pp.155-159
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    • 1993
  • In this paper, we consider the problem of a stochastic optimal switching control, which can be applied to the control of a system with uncertain demand such as a control problem of a power plant. The dynamic programming method is applied for the formulation of the optimal control problem. We solve the system of Quasi-Variational Inequalities(QVI) using an algoritlim which involves the finite difference approximation and contraction mapping method. A mathematical example of the optimal switching control is constructed. The actual performance of the algorithm is also tested through the solution of the constructed example.

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Combined Optimal Design of Flexible Beam with Sliding Mode Control System

  • Park, Jung-Hyen;Kim, Soon-Ho
    • 한국해양공학회지
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    • 제17권4호
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    • pp.59-65
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    • 2003
  • In order to achieve the desired lightweight and robust design of a structure, it is preferable to design a structure and its control system, simultaneously, which is termed the combined optimal design. A constant-cross-sectional area cantilever beam was chosen as the optimum design method, An initial load and a time-varying disturbance were applied at the free end of the beam. Sliding mode control was selected, due to its insensitivity to the disturbance, compared with other modes. It is known that the sliding mode control is robust to the disturbance and is uncertain, only if a matching condition is met, after giving a switching hyper plane. In this study, the optimum method was used for the design of the switching hyper plane, and the objective function of the optimum switching hyper plane was assumed to be the objective of the control system. The total weight of the structure was treated as a constraint, and the cross sectional areas of the beam were considered as design variables, the result being a nonlinear programming problem. To solve it, the sequential linear programming method was applied. As a result of the optimum design, the effect of attenuating vibrations has been substantially improved. Moreover, the lightweight design of the structure became possible as a result of the relationship of the weight of the structure to the control objective function.

가능성 분포모형을 이용한 정보시스템 프로젝트의 벤더 분석에 관한 연구 (A Study on the Evaluation of Vendors for Information Systems Projects Using Possibilistic Decision Making Model)

  • 정희진
    • 한국컴퓨터정보학회논문지
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    • 제8권1호
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    • pp.156-165
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    • 2003
  • 본 연구에서는 기업 내 정보시스템을 구축하는 과정에 있어 의사결정자들을 지원하기 위한 가능성분포 의사결정모형을 검토하였다. 급변하는 기업환경에 영향을 미치는 주요 변수중의 하나인 정보기술의 활용은 성공적인 기업활동에 중요한 역할을 하며, 아웃소싱할 경우 조직의 목표와 자원의 제약을 충분히 반영하는 벤더의 선정이 매우 중요하다 할 수 있다. 이를 위해 수리적 모형이 제시되어졌으며 가능성 이론을 적용한 모형이 제시되었다. 일반적 수리모형의 경우 투입되는 변수의 불명확성과 의사결정자의 열망수준을 반영하지 못한다는 단점이 있으며, 확률적 분포 모형의 경우 현실적 적용에 있어 어려움이 있어왔다. 가능성분포 의사결정모형에서는 투입변수의 불명확성이 고려된 다목적의사결정모형의 구축이 가능하였다.

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파티클 시스템을 이용한 자연의 물리적 현상의 비주얼 효과 구현 (The Implementation of Visual Effects on Physical Phenomena of Nature Using Particle System)

  • 김경남;이면재
    • 디지털융복합연구
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    • 제10권4호
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    • pp.347-352
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    • 2012
  • 자연의 불확정적인 물리현상은, 감성적인 공학기술 영역뿐 아니라 및 예술의 시각표현 방법으로도 자주 연구되는 영역이다. 본 논문에서는 모더니즘 회화에서 물질의 특성을 강조한 회화작품에서 보여 지는 자연의 물리적인 현상들(스며듦, 번짐, 흐름)을 분석한 연구[1]를 Unity3D 엔진의 파티클 시스템을 이용하여 구현 가능성을 제안한다. 그리하여 그래픽스 프로그래밍 습득에 어려운 아티스트들이 수월하게 Unity3D 엔진을 이용하여 자연의 불확정적 비주얼표현 구현에 도움을 줄 수 있으며 또한 감성기반 테크놀로지를 연구하는 공학자들에게도 아이디어 제공에 도움을 줄 수 있을 것이다.