• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제19권4호
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• pp.417-428
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• 2015

Although, in general, the random fluctuation of interest rates gives a limited impact on portfolio optimization, their stochastic nature may exert a significant influence on the process of selecting the proportions of various assets to be held in a given portfolio when the stochastic volatility of risky assets is considered. The stochastic volatility covers a variety of known models to fit in with diverse economic environments. In this paper, an optimal strategy for portfolio selection as well as the smoothness properties of the relevant value function are studied with the dynamic programming method under a market model of both stochastic volatility and stochastic interest rates.

• 한국경영과학회지
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• 제22권1호
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• pp.51-58
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• 1997

In this paper, we propose a stochastic LP model for determining an optimal input quantity in a single-product multi-stage production system with random yields. Due to the random yields in our model, each stage of the production system can result in defective items, which can be re-processed or scrapped at certain costs. We assume that the random yield at each stage follows an independent discrete empirical distribution. Compared to dynamic programming models that prevail in the literature, our model can easily handle problems of larger sizes.

• Earthquakes and Structures
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• 제2권2호
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• pp.189-206
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• 2011

In this study, the subspace stochastic realization theories (SSR model I and SSR model II) have been applied to a real bridge for estimating its dynamic characteristics (natural frequencies, damping constants, and vibration modes) under ambient vibration. A numerical simulation is carried out for an arch-type steel truss bridge using a white noise excitation. The estimates obtained from this simulation are compared with those obtained from the Finite Element (FE) analysis, demonstrating good agreement and clarifying the excellent performance of this method in estimating the structural dynamic characteristics. Subsequently, these methods are applied to the vibration induced by both strong and weak winds as obtained by remote monitoring of the Kabashima bridge (an arch-type steel truss bridge of length 136 m, and situated in Nagasaki city). The results obtained with this experimental data reveal that more accurate estimates are obtained when strong wind vibration data is used. In contrast, the vibration data obtained from weak wind provides accurate estimates at lower frequencies, and inaccurate accuracy for higher modes of vibration that do not get excited by the wind of lower intensity. On the basis of the identified results obtained using both simulated data and monitored data from a real bridge, it is determined that the SSR model II realizes more accurate results than the SSR model I. In general, the approach investigated in this study is found to provide acceptable estimates of the dynamic characteristics of highway bridges as well as for the vibration monitoring of bridges.

• 한국소음진동공학회논문집
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• 제17권10호
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• pp.912-917
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• 2007

Recently, dynamic system has been enlarged and is normally exposed to various types of disturbance. Thus designing controller for these dynamic systems under random disturbance is not practically easy. As a result, the exact analysis for the system which is exposed to various irregular disturbance is quite important. In order to perform analysis, conventional BMR(balance model reduction) method is adopted and applied to moment equation in stochastic domain. Reliable reduced order system model has been obtained.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2006년 학술대회 논문집 정보 및 제어부문
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• pp.181-183
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• 2006

This paper proposes an intelligent decision framework for update of the environment model using GSPN(generalized stochastic petri nets). The GSPN has several advantages over direct use of the Markov Process. The modeling, analysis, and performance evaluation are conducted on the mathematical basis. By adopting the probabilistic approach, our decision framework helps the robot to decide the time to update the map. The robot navigates autonomously for a long time in dynamic environments. Experimental results show that the proposed scheme is useful for service robots which work semi-permanently and improves dependability of navigation in dynamic environments.

• 한국콘텐츠학회:학술대회논문집
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• 한국콘텐츠학회 2007년도 추계 종합학술대회 논문집
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• pp.197-200
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• 2007

동적 전력 관리는 서로 다른 전력소모를 갖는 전력상태들을 시스템 구성 요소에 할당하고 상황별로 전력상태를 관리함으로써 시스템의 전력 소모를 현저하게 줄여줄 수 있다. 전력관리의 주 기능은 구성요소의 상태천이를 언제 수행하느냐 이며 이를 위하여 추계적 프로세스에 기반한 동적 전력관리 모델을 개발한다. 동적 모델은 시스템 큐와 다양한 모델링 기능을 표현할 수 있는 페트리 네트의 확장형인 SRN(Stochastic Reward Nets)을 이용하여 개발되며 성능분석을 함께 수행한다.

• Industrial Engineering and Management Systems
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• 제16권1호
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• pp.44-51
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• 2017

In today's competitive environment, supply chain management is a major concern for a company. Two of the key issues in supply chain management are transportation and inventory management. To achieve significant savings, companies should integrate these two issues instead of treating them separately. In this paper we develop a framework for modeling stochastic programming in a supply chain that is subject to demand uncertainty. With reasonable assumptions, two stochastic programming models are presented, respectively, including a single-period and a multi-period situations. Our assumptions allow us to capture the stochastic nature of the problem and translate it into a deterministic model. And then, based on the genetic algorithm and stochastic simulation, a solution method is developed to solve the model. Finally, the computational results are provided to demonstrate the effectiveness of our model and algorithm.

• Structural Engineering and Mechanics
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• 제82권1호
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• pp.31-40
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• 2022

In structural engineering, the material properties of the structures such as elastic modulus, shear modulus, density, and size may not be deterministic and may vary at different locations. The dynamic response analysis of such structures may need to consider these properties as stochastic. This paper introduces a stochastic finite element method (SFEM) approach to analyze moving loads problems. Firstly, Karhunen-Loéve expansion (KLE) is applied for expressing the stochastic field of material properties. Then the mathematical expression of the random field is substituted into the finite element model to formulate the corresponding random matrix. Finally, the statistical moment of the dynamic response is calculated by the point estimation method (PEM). The accuracy and efficiency of the dynamic response obtained from the KLE-PEM are demonstrated by the example of a moving load passing through a simply supported Euler-Bernoulli beam, in which the material properties (including elastic modulus and density) are considered as random fields. The results from the KLE-PEM are compared with those from the Monte Carlo simulation. The results demonstrate that the proposed method of KLE-PEM has high accuracy and efficiency. By using the proposed SFEM, the random vertical deflection of a high-speed railway (HSR) bridge is analyzed by considering the random fields of material properties under the moving load of a train.

• 한국물환경학회지
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• 제25권1호
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• pp.112-119
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• 2009

Based on the study of soil water dynamics, this study is to suggest an advanced stochastic soil water model for future study for drought application. One distinguishable remark of this study is the derivation of soil water dynamic controling equation for 3-stage loss functions in order to understand the temporal behaviour of soil water with reaction to the precipitation. In terms of modeling, a model with rather simpler structure can be applied to regenerate the key characteristics of soil water behavior, and especially the probabilistic solution of the derived soil water dynamic equation can be helpful to provide better and clearer understanding of soil water behavior. Moreover, this study will be the future cornerstone of applying to more realistic phenomenon such as drought management.

• 한국도로학회논문집
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• 제14권4호
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• pp.163-173
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• 2012

PURPOSES : The purpose of this study is to check the possibilities of traffic pattern analysis using MatSIM for urban road network operation in incident case. METHODS : One of the stochastic dynamic models is MatSIM. MatSIM is a transportation simulation tool based on stochastic dynamic model and activity based model. It is an open source software developed by IVT, ETH zurich, Switzerland. In MatSIM, various scenario comparison analyses are possible and analyses results are expressed using the visualizer which shows individual vehicle movements and traffic patterns. In this study, trip distribution in 24-hour, traffic volume, and travel speed using MatSIM are similar to those of measured values. Therefore, results of MatSIM are reasonable comparing with measured values. Traffic patterns are changed according to incident from change of individual behavior. RESULTS : The simulation results and the actual measured values are similar. The simulation results show reasonable ranges which can be used for traffic pattern analysis. CONCLUSIONS : The change of traffic pattern including trip distribution, traffic volumes and speeds according to various incident scenarios can be used for traffic control policy decision to provide effective operation of urban road network.