Modelo de covariância bayesiana para seleção de protfólios de investimentos

The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work

Estimação de Fasores para Proteção de Sistemas Elétricos Baseada em Mínimos Quadrados e Morfologia Matemática

This work proposes a new technique for phasor estimation applied in microprocessor numerical relays for distance protection of transmission lines, based on the recursive least squares method and called least squares modified random walking. The phasor estimation methods have compromised their performance, mainly due to the DC exponential decaying component present in fault currents. In order to reduce the influence of the DC component, a Morphological Filter (FM) was added to the method of least squares and previously applied to the process of phasor estimation. The presented method is implemented in MATLABr and its performance is compared to one-cycle Fourier technique and conventional phasor estimation, which was also based on least squares algorithm. The methods based on least squares technique used for comparison with the proposed method were: forgetting factor recursive, covariance resetting and random walking. The techniques performance analysis were carried out by means of signals synthetic and signals provided of simulations on the Alternative Transient Program (ATP). When compared to other phasor estimation methods, the proposed method showed satisfactory results, when it comes to the estimation speed, the steady state oscillation and the overshoot. Then, the presented method performance was analyzed by means of variations in the fault parameters (resistance, distance, angle of incidence and type of fault). Through this study, the results did not showed significant variations in method performance. Besides, the apparent impedance trajectory and estimated distance of the fault were analysed, and the presented method showed better results in comparison to one-cycle Fourier algorithm

Detecção e diagnóstico de falhas não-supervisionados baseados em estimativa de densidade recursiva e classificador fuzzy auto-evolutivo

In this work, we propose a two-stage algorithm for real-time fault detection and identification of industrial plants. Our proposal is based on the analysis of selected features using recursive density estimation and a new evolving classifier algorithm. More specifically, the proposed approach for the detection stage is based on the concept of density in the data space, which is not the same as probability density function, but is a very useful measure for abnormality/outliers detection. This density can be expressed by a Cauchy function and can be calculated recursively, which makes it memory and computational power efficient and, therefore, suitable for on-line applications. The identification/diagnosis stage is based on a self-developing (evolving) fuzzy rule-based classifier system proposed in this work, called AutoClass. An important property of AutoClass is that it can start learning from scratch". Not only do the fuzzy rules not need to be prespecified, but neither do the number of classes for AutoClass (the number may grow, with new class labels being added by the on-line learning process), in a fully unsupervised manner. In the event that an initial rule base exists, AutoClass can evolve/develop it further based on the newly arrived faulty state data. In order to validate our proposal, we present experimental results from a level control didactic process, where control and error signals are used as features for the fault detection and identification systems, but the approach is generic and the number of features can be significant due to the computationally lean methodology, since covariance or more complex calculations, as well as storage of old data, are not required. The obtained results are significantly better than the traditional approaches used for comparison