Visualising energy data

The Australian energy market is in the final stages of deregulation. These changes have created a dynamic environment which is highly volatile and competitive with respect to both demand and price. Our current research seeks to visualise aspects of the National Energy Market with a view to developing techniques which may be useful in identifying significant characteristics and/or drivers of these characteristics. In order to capture the complexity of the problem we explore a suite of different visualisation techniques, which, when combined into a unified package, highlight aspects of the problem. The particular problem visualised here is "Does the date exhibit characteristics which suggest that the time of day, day of the week, or the season, aflect the variation in demand and/or price?" © Austral. Mathematical Soc. 2005.

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Adsorption in slit pores and pore-size distribution: A molecular layer structure theory

A new approach is developed to analyze the thermodynamic properties of a sub-critical fluid adsorbed in a slit pore of activated carbon. The approach is based on a representation that an adsorbed fluid forms an ordered structure close to a smoothed solid surface. This ordered structure is modelled as a collection of parallel molecular layers. Such a structure allows us to express the Helmholtz free energy of a molecular layer as the sum of the intrinsic Helmholtz free energy specific to that layer and the potential energy of interaction of that layer with all other layers and the solid surface. The intrinsic Helmholtz free energy of a molecular layer is a function (at given temperature) of its two-dimensional density and it can be readily obtained from bulk-phase properties, while the interlayer potential energy interaction is determined by using the 10-4 Lennard-Jones potential. The positions of all layers close to the graphite surface or in a slit pore are considered to correspond to the minimum of the potential energy of the system. This model has led to accurate predictions of nitrogen and argon adsorption on carbon black at their normal boiling points. In the case of adsorption in slit pores, local isotherms are determined from the minimization of the grand potential. The model provides a reasonable description of the 0-1 monolayer transition, phase transition and packing effect. The adsorption of nitrogen at 77.35 K and argon at 87.29 K on activated carbons is analyzed to illustrate the potential of this theory, and the derived pore-size distribution is compared favourably with that obtained by the Density Functional Theory (DFT). The model is less time-consuming than methods such as the DFT and Monte-Carlo simulation, and most importantly it can be readily extended to the adsorption of mixtures and capillary condensation phenomena.

A general-purpose tunable landscape generator

The research literature on metalieuristic and evolutionary computation has proposed a large number of algorithms for the solution of challenging real-world optimization problems. It is often not possible to study theoretically the performance of these algorithms unless significant assumptions are made on either the algorithm itself or the problems to which it is applied, or both. As a consequence, metalieuristics are typically evaluated empirically using a set of test problems. Unfortunately, relatively little attention has been given to the development of methodologies and tools for the large-scale empirical evaluation and/or comparison of metaheuristics. In this paper, we propose a landscape (test-problem) generator that can be used to generate optimization problem instances for continuous, bound-constrained optimization problems. The landscape generator is parameterized by a small number of parameters, and the values of these parameters have a direct and intuitive interpretation in terms of the geometric features of the landscapes that they produce. An experimental space is defined over algorithms and problems, via a tuple of parameters for any specified algorithm and problem class (here determined by the landscape generator). An experiment is then clearly specified as a point in this space, in a way that is analogous to other areas of experimental algorithmics, and more generally in experimental design. Experimental results are presented, demonstrating the use of the landscape generator. In particular, we analyze some simple, continuous estimation of distribution algorithms, and gain new insights into the behavior of these algorithms using the landscape generator.

Mechanisms influencing levitation and the scaling laws in nanopores: Oscillator model theory

We provide here a detailed theoretical explanation of the floating molecule or levitation effect, for molecules diffusing through nanopores, using the oscillator model theory (Phys. Rev. Lett. 2003, 91, 126102) recently developed in this laboratory. It is shown that on reduction of pore size the effect occurs due to decrease in frequency of wall collision of diffusing particles at a critical pore size. This effect is, however, absent at high temperatures where the ratio of kinetic energy to the solid-fluid interaction strength is sufficiently large. It is shown that the transport diffusivities scale with this ratio. Scaling of transport diffusivities with respect to mass is also observed, even in the presence of interactions.

Toy model for a relational formulation of quantum theory

In the absence of an external frame of reference-i.e., in background independent theories such as general relativity-physical degrees of freedom must describe relations between systems. Using a simple model, we investigate how such a relational quantum theory naturally arises by promoting reference systems to the status of dynamical entities. Our goal is twofold. First, we demonstrate using elementary quantum theory how any quantum mechanical experiment admits a purely relational description at a fundamental. Second, we describe how the original non-relational theory approximately emerges from the fully relational theory when reference systems become semi-classical. Our technique is motivated by a Bayesian approach to quantum mechanics, and relies on the noiseless subsystem method of quantum information science used to protect quantum states against undesired noise. The relational theory naturally predicts a fundamental decoherence mechanism, so an arrow of time emerges from a time-symmetric theory. Moreover, our model circumvents the problem of the collapse of the wave packet as the probability interpretation is only ever applied to diagonal density operators. Finally, the physical states of the relational theory can be described in terms of spin networks introduced by Penrose as a combinatorial description of geometry, and widely studied in the loop formulation of quantum gravity. Thus, our simple bottom-up approach (starting from the semiclassical limit to derive the fully relational quantum theory) may offer interesting insights on the low energy limit of quantum gravity.

Reweaving the Silk Road through outsourcing and offshoring: The need for an externalisation theory

The reweaving and repaving of the modern Silk Road passes through outsourcing and offshoring activities that have a profound impact on both global business psyche and landscape. Firms, in particular, and their global value chain are being shaped and reshaped through a complex concoction of vertical integration and disintegration. The boundary of the firm and the firm/market interface has been of interest to students of organisation and economics for some time. It has provided the context for Internalisation Theory. Within the new economy, the twin trends of globalisation and advancing technologies are giving rise to a hitherto unknown “worldwide market for market transactions? and increased opportunities for international expansion by firms via market-based modes of organisation. We describe these trends and offer an early modeling approach for explaining why some firm’s externalise the marginal transaction in the so-called new economy. The paper further draws attention on the need to articulate an “Externalisation Theory? that adequately accounts for the firm’s offshoring and outsourcing activities, and that parallels as well as complement “Internalisation Theory? for a full explanation of today’s firms behaviour.