Signaling game and stable equilibria

Thesis (master`s)--서울대학교 대학원 :수학과,1996.Maste

Statistical Nested Partitions Method towards Global Optimization

DoctorNested partitions (NP) method is a new type of random search method for global optimization problems. The method has good characteristics such as the convergence to the global optimum and the finite time behavior. Thus, the method has been exploited in many areas such as production planning, data mining and logistics. Even though the efficacy of NP method has been proven from a number of research, only a few studies suggested the enhanced version of NP method. In this dissertation, a new type of NP method, called statistical nested partitions (SNP) method, is proposed. Using the information of confidence interval, SNP greatly reduced the computational effort when sampling the points. The confidence interval could be a normal distribution of the mean value or a Weibull distribution of the minimum value of the samples. Experimental results show that SNP outperforms other heuristics and significantly reduces the computational time comparing to the original NP method. Application to the Travelling Salesman Problem also shows that SNP method is effective in discrete cases. Ordered Nested partitions (ONP) method is another enhanced version of NP method. It can handle multi-dimensional problems, which are hard to solve by the original NP method. By fixing the value of the elements one by one, ONP can solve multi-dimensional problems efficiently

A dedicated evacuation strategy for people with disabilities in high-rise building

2

Residual Analysis of Financial Models for Stock Indices using MCMC

MasterIn this paper I have analyzed four different markets: KOSPI, S&P500, NIKKEI225 and HANGSENG. In order to estimate the models with stochastic volatility and Merton’s jump, which have yet not known their density function in closed form, I have developed Bayesian Markov chain Monte Carlo (MCMC) methods using discretely sampled data. Simulation studies show that jumps and volatility are not compatible each other. Empirical studies show that there is an appropriate model for each market but Log-Stochastic model showed the best performance. If there is a crisis during analysis period, there is a significant change in the parameters of its model

An algorithm for the high-speed train multi-leg load planning problem

1

고속열차에서의 적재계획 알고리즘

2

Median Implied Volatility Surface Modeling for Equity-Linked Warrants

1

The Multi-profit Orienteering Problem

1