• Communications for Statistical Applications and Methods
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• 제23권1호
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• pp.21-32
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• 2016

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

• Geomechanics and Engineering
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• 제25권4호
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• pp.283-294
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• 2021

This paper presents a rigorous solution for spherical cavity expansion in unsaturated soils under constant suction condition. The hydraulic behavior that describes the saturation-suction relationship is modeled by a void ratio-dependent soil-water characteristic curve, which allows the hydraulic behavior to fully couple with the mechanical behavior that is described by an extended critical state soil model for unsaturated soil through the specific volume. Considering the boundary condition and introducing an auxiliary coordinate, the problem is formulated to a system of first-order differential equations with three principal stress components and suction as basic unknowns, which is solved as an initial value problem. Parameter analyses are conducted to investigate the effects of suction and the overconsolidation ratio on the overall expansion responses, including the pressure-expansion response, the distribution of the stress components around the cavity, and the stress path of the soil during cavity expansion. The results reveal that the expansion pressures and the distribution of the stress components in unsaturated soils are generally higher than those in saturated soils due to the existence of suction.

• 한국도로학회논문집
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• 제20권3호
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• pp.65-73
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• 2018

PURPOSES : In this study, the propriety of expansion joint spacing of airport concrete pavement was examined by using weather and material characteristics. METHODS : A finite element model for simulating airport concrete pavement was developed and blowup occurrence due to temperature increase was analyzed. The critical temperature causing the expansion of concrete slab and blow up at the expansion joint was calculated according to the initial vertical displacement at the joint. The amount of expansion that can occur in the concrete slab for 20 years of design life was calculated by summing the expansion and contraction by temperature, alkali-silica reaction, and drying shrinkage. The effective expansion of pavement section between adjacent expansion joints was calculated by subtracting the effective width of expansion joint from the summation of the expansion of the pavement section. The temperature change causing the effective expansion of pavement section was also calculated. The effective expansion equivalent temperature change was compared to the critical temperature, which causes the blowup, according to expansion joint spacing to verify the propriety of expansion joint applied to the airport concrete pavement. RESULTS : When an initial vertical displacement of the expansion joint was 3mm or less, the blowup never occurred for 300m of joint spacing which is used in Korean airports currently. But, there was a risk of blow-up when an initial vertical displacement of the expansion joint was 5mm or more due to the weather or material characteristics. CONCLUSIONS : It was confirmed that the intial vertical displacement at the expansion joint could be managed below 3mm from the previous research results. Accordingly it was concluded that the 300m of current expansion joint spacing of Korean airports could be used without blowup by controling the alkali-silica reaction below its allowable limit.

• 한국세라믹학회지
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• 제53권1호
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• pp.43-49
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• 2016

This analyzed a Young's modulus (E), a thermal expansion coefficient (TEC, ${\beta}$) and a thermal conductivity (${\kappa}$) of the material with simple cubic particulate inclusion using two model structures: a parallel structure and a series structure of laminated layers. The derived ${\beta}$ equations were applied to calculate the ${\beta}$ value of the W-MgO system. The accuracy was higher for the series model structure than for the parallel model structure. Young's moduli ($E_c$) of sintered porous alumina compacts were theoretically related to the development of neck growth of grain boundary between sintered two particles and expressed as a function of porosity. The series structure model with cubic pores explained well the increased tendency of $E_c$ with neck growth rather than the parallel structure model. The thermal conductivity of the three phase system of alumina-mullite-pore was calculated by a theoretical equation developed in this research group, and compared with the experimental results. The pores in the sintered composite were treated as one phase. The measured thermal conductivity of the composite with 0.5-25% porosity (open and closed pores) was in accordance with the theoretical prediction based on the parallel structure model.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1997년도 한국자동제어학술회의논문집; 한국전력공사 서울연수원; 17-18 Oct. 1997
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• pp.1758-1761
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• 1997

The problem of long range capacity expansion planing for chemical processing network under uncertain demand forecast secnarios is addressed. This optimization problem involves capactiy expansion timing and sizing of each chemical processing unit to maximize the expected net present value considering the deviation of net present values and the excess capacity over a given time horizon. A multiperiod mixed integer nonlinear programming optimization model that is both solution and modle robust for any realization of demand scenarios is developed using the two-stage stochastic programming algorithm. Two example problems are considered to illustrate the effectiveness of the model.

• Architectural research
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• 제10권2호
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• pp.21-26
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• 2008

The number of measured degrees of freedom for detecting the damage of any structures is usually less than the number of model degrees of freedom. It is necessary to expand the measured data to full set of model degrees of freedom for updating modal data. This study presents the expansion methods to estimate all static displacements and dynamic modal data of finite element model from the measured data. The static and dynamic methods are derived by minimizing the variation of the potential energy and the Gauss's function, respectively. The applications illustrate the validity of the proposed methods. It is observed that the numerical results obtained by the static approach correspond with the Guyan condensation method and the derived static and dynamic approaches provide the fundamental idea for damage detection.

• Journal of Astronomy and Space Sciences
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• 제27권4호
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• pp.359-366
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• 2010

In this study, we developed a global ionosphere model based on measurements from a worldwide network of global positioning system (GPS). The total number of the international GPS reference stations for development of ionospheric model is about 100 and the spherical harmonic expansion approach as a mathematical method was used. In order to produce the ionospheric total electron content (TEC) based on grid form, we defined spatial resolution of 2.0 degree and 5.0 degree in latitude and longitude, respectively. Two-dimensional TEC maps were constructed within the interval of one hour, and have a high temporal resolution compared to global ionosphere maps which are produced by several analysis centers. As a result, we could detect the sudden increase of TEC by processing GPS observables on 29 October, 2003 when the massive solar flare took place.

• 정보관리학회지
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• 제16권2호
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• pp.49-80
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• 1999

본 연구는 자연어 비불리언 탐색에서 탐색결과에 근거하여 질의를 수정, 확장, 결합하여 검색효과를 향상시키는 시스템들을 개념모델별로 성능을 고찰하고, 성능에 영향을 끼치는 요소들을 분석하여, 이론적인 개념의 틀을 제시하였다. 용어의 가중치기법, 문헌의 순위화방법, 용어선정알고리즘, 질의확장에 사용된 문헌수와 용어수, 적합성판정정보의 출처 및 척도, 배움표본의 크기, 부적합문헌정보의 사용여부, 용어확장방법, 질의의 크기, DB의 종류와 크기 등에 의해 영향을 받는 것으로 분석되었다.

• 한국전산유체공학회지
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• 제21권1호
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• pp.94-102
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• 2016

The present paper deals with accuracy improvement of a bleed boundary condition model used to improve the performance of supersonic inlets. In order to accurately predict the amount of bleed mass flow rates, this study performs a scaling of sonic flow coefficient data for 90-degree bleed holes in consideration of Prandtl-Meyer expansion theory. Furthermore, it is assumed that porosity varies with stream-wise location of the porous bleed plate to accurately predict downstream boundary layer profiles. The bleed boundary condition model is demonstrated through Computational Fluid Dynamics(CFD) simulations of bleed flows on a flat plate with/without an oblique shock. As a result, the bleed model shows the improved accuracy of bleed mass rates and downstream boundary layer profiles.

• 대한산업공학회지
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• 제16권1호
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• pp.51-58
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• 1990

A deterministic capacity expansion planning model for a two-capacity type facility is analyzed to determine the sizes to be expanded in each period so as to supply the known demands for two distinct capacity type(product) on time and to minimize the total cost incurred over a finite planning horizon of T periods. The model assumes that capacity unit of the facility simultaneously serves a prespecified number of demand units of each capacity type, that capacity type 1 can be used to supply demands for capacity type 2, but that capacity type 2 can't be used to supply demands for capacity type 1. Capacity expansion and excess capacity holding cost functions considered are nondecreasing and concave. The structure of an optimal solution is characterized and then used in developing an efficient dynamic programming algorithm that finds optimal capacity planning policy.