• Journal of the Korean Mathematical Society
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• v.59 no.6
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• pp.1153-1170
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• 2022

In this paper, we investigate the portfolio optimization problem under the SVCEV model, which is a hybrid model of constant elasticity of variance (CEV) and stochastic volatility, by taking into account of minimum-entropy robustness. The Hamilton-Jacobi-Bellman (HJB) equation is derived and the first two orders of optimal strategies are obtained by utilizing an asymptotic approximation approach. We also derive the first two orders of practical optimal strategies by knowing that the underlying Ornstein-Uhlenbeck process is not observable. Finally, we conduct numerical experiments and sensitivity analysis on the leading optimal strategy and the first correction term with respect to various values of the model parameters.

• Journal of the Korean Operations Research and Management Science Society
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• v.32 no.2
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• pp.99-107
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• 2007

We consider (worst-case) robust optimization versions of the Economic Order Quantity (EOQ) model with decreasing cost functions. Two variants of the EOQ model are discussed, in which the purchasing costs are decreasing power functions in either the order quantity or demand rate. We develop the corresponding worst-case robust optimization models of the two variants, where the parameters in the purchasing cost function of each model are uncertain but known to lie in an ellipsoid. For the robust EOQ model with the purchasing cost being a decreasing function of the demand rate, we derive the analytical optimal solution. For the robust EOQ model with the purchasing cost being a decreasing function of the order quantity, we prove that it is a convex optimization problem, and thus lends itself to efficient numerical algorithms.

• The Transactions of the Korean Institute of Electrical Engineers A
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• v.48 no.8
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• pp.987-995
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• 1999

A new robust controller design methodology for single-input single-output systems is proposed, where the proposed controller consists of a conventional or optimal servo controller at the outer loop as well as the robust internal-loop compensator(RIC) to eliminate the model uncertainty and external disturbance. It is shown that RIC with finite gain can make actual systems be nominal models within a prespecified error bound. And, it is also shown that RIC-based system is robustly stable regardless of input saturation. Several numerical examples are illustrated to show validities of the proposed robust controller.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2005.05a
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• pp.840-845
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• 2005

This paper presents a robust optimal design method for a periodic structure type of MEMS resonator that is vulnerable to mode localization. The robust configuration of such a MEMS resonator to fabrication error is implemented by changing the regularity of periodic structure. For the mathematical convenience, the MEMS resonator is first modeled as a multi pendulum system. The index representing the measure of mode variation is then introduced using the perturbation method and the concept of modal assurance criterion. Finally, the optimal intentional mistuning, minimizing the expectation of the irregularity measure for each substructure, is determined for the normal distributed fabrication error and its robustness in the design of MEMS resonator to the fabrication error is demonstrated with numerical examples.

• Transactions of the Korean Society for Noise and Vibration Engineering
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• v.15 no.8 s.101
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• pp.931-938
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• 2005

This paper presents a robust optimal design method for a periodic structure type of MEMS resonator that is vulnerable to mode localization. The robust configuration of such a MEMS resonator to fabrication error is implemented by changing the regularity of periodic structure For the mathematical convenience, the MEMS resonator is first modeled as a multi-pendulum system. The index representing the measure of mode variation is then introduced using the perturbation method and the concept of modal assurance criterion. Finally, the optimal intentional mistuning, minimizing the expectation of the irregularity measure for each substructure, is determined for the normal distributed fabrication error and its robustness in the design of MEMS resonator to the fabrication error is demonstrated with numerical examples.

• Journal of Korean Institute of Industrial Engineers
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• v.39 no.5
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• pp.403-411
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• 2013

The quality of the products/processes has been improved remarkably since robust design (RD) methodology is applied into the practice manufacturing processes. A model building method based on the dual responses methods for multiple and time oriented responses on a drug development process is employed in this paper instead of the previous methods that handle the static nature of data and single response. Subsequently, the optimal solutions of a multiple and time series RD problem are obtained by using the proposed augmented weighted Tchebycheff method that has a significant flexibility on assigning weights. Finally, a pharmaceutical case study associated with a generic drug development process is conducted in order to illustrate the efficient optimal solutions from the proposed model.

• Journal of Mechanical Science and Technology
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• v.15 no.2
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• pp.143-151
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• 2001

In the paper, a robust control mechanism is presented to maneuver a flexible spacecraft with the deflection reduction during large slewing operation at the same time. For deflection reduction and maneuvering of the flexible spacecraft, a control mechanism is developed with the application of stochastic optimal sliding-mode control, a linear tracking model and input shaping technique. A start-coast-stop maneuver is employed as a slewing strategy. It is shown that the control mechanism with he strategic maneuver results in better performance and is more efficient than rigid-body-like maneuver, by applying to the Spacecraft Control Laboratory Experiment (SCOLE) system in a space environment.

• Journal of Korean Society for Quality Management
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• v.30 no.1
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• pp.133-143
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• 2002

We propose an optimal design to improve the muffler's capacity by reducing the noise of the intake system by adapting kriging method with the robust design. For the first stage of a design, the length and radius of each component of the current muffler system are selected as control factors. Then, the $L_18$ table of orthogonal arrays is adapted to extract the effective main factors. As the second stage, the $L_18$ table of orthogonal arrays using kriging method is adapted to take the significant factors into consideration. As an optimal design, the $L_18$ table of orthogonal arrays with main effects is proposed and the kriging method is adapted for more efficient design. The kriging method improves the performance of intake system.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.28 no.8 s.227
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• pp.1065-1074
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• 2004

A robust optimal design considering fabrication influence has been performed for the decoupled vibratory microgyroscope fabricated by the bulk micromachining. For the analysis of the gyroscope, a design tool has been developed, by which user can perform the system level design considering electric signal process and the fabrication influence as well as mechanical characteristics. An initial design of the gyroscope is performed satisfying the performances of scale factor (or sensitivity) and phase delay, which depend on the frequency difference between driving and sensing resonant frequencies. The objective functions are formulated in order to reduce the variances of the frequency difference and the frequency in itself by fabrication error. To certify the results, the standard deviations are calculated through the Monte Caries Simulation (MCS) and compared initial deviation that is measured fabricated gyroscope chip.

• Communications for Statistical Applications and Methods
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• v.21 no.2
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• pp.161-168
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• 2014

In mixture experiments with process variables, we consider the case that some of process variables are either uncontrollable or hard to control, which are called noise variables. Given the such mixture experimental data with process variables, first we study how to search for candidate models. Good candidate models are screened by the sequential variables selection method and checking the residual plots for the validity of the model assumption. Two methods, which use numerical optimization methods proposed by Derringer and Suich (1980) and minimization of the weighted expected loss, are proposed to find a cost-effective robust optimal condition in which the performance of the mean as well as the variance of the response for each of the candidate models is well-behaved under the cost restriction of the mixture. The proposed methods are illustrated with the well known fish patties texture example described by Cornell (2002).