22 resultados para expected shortfall portfolio optimization
em University of Queensland eSpace - Australia
Resumo:
Multiresolution (or multi-scale) techniques make it possible for Web-based GIS applications to access large dataset. The performance of such systems relies on data transmission over network and multiresolution query processing. In the literature the latter has received little research attention so far, and the existing methods are not capable of processing large dataset. In this paper, we aim to improve multiresolution query processing in an online environment. A cost model for such query is proposed first, followed by three strategies for its optimization. Significant theoretical improvement can be observed when comparing against available methods. Application of these strategies is also discussed, and similar performance enhancement can be expected if implemented in online GIS applications.
Resumo:
We investigate analytically the first and the second law characteristics of fully developed forced convection inside a porous-saturated duct of rectangular cross-section. The Darcy-Brinkman flow model is employed. Three different types of thermal boundary conditions are examined. Expressions for the Nusselt number, the Bejan number, and the dimensionless entropy generation rate are presented in terms of the system parameters. The conclusions of this analytical study will make it possible to compare, evaluate, and optimize alternative rectangular duct design options in terms of heat transfer, pressure drop, and entropy generation. (c) 2006 Elsevier Ltd. All rights reserved.
Resumo:
Market-based transmission expansion planning gives information to investors on where is the most cost efficient place to invest and brings benefits to those who invest in this grid. However, both market issue and power system adequacy problems are system planers’ concern. In this paper, a hybrid probabilistic criterion of Expected Economical Loss (EEL) is proposed as an index to evaluate the systems’ overall expected economical losses during system operation in a competitive market. It stands on both investors’ and planner’s point of view and will further improves the traditional reliability cost. By applying EEL, it is possible for system planners to obtain a clear idea regarding the transmission network’s bottleneck and the amount of losses arises from this weak point. Sequentially, it enables planners to assess the worth of providing reliable services. Also, the EEL will contain valuable information for moneymen to undertake their investment. This index could truly reflect the random behaviors of power systems and uncertainties from electricity market. The performance of the EEL index is enhanced by applying Normalized Coefficient of Probability (NCP), so it can be utilized in large real power systems. A numerical example is carried out on IEEE Reliability Test System (RTS), which will show how the EEL can predict the current system bottleneck under future operational conditions and how to use EEL as one of planning objectives to determine future optimal plans. A well-known simulation method, Monte Carlo simulation, is employed to achieve the probabilistic characteristic of electricity market and Genetic Algorithms (GAs) is used as a multi-objective optimization tool.
Resumo:
The deep-sea pearleye, Scopelarchus michaelsarsi (Scopelarchidae) is a mesopelagic teleost with asymmetric or tubular eyes. The main retina subtends a large dorsal binocular field, while the accessory retina subtends a restricted monocular field of lateral visual space. Ocular specializations to increase the lateral visual field include an oblique pupil and a corneal lens pad. A detailed morphological and topographic study of the photoreceptors and retinal ganglion cells reveals seven specializations: a centronasal region of the main retina with ungrouped rod-like photoreceptors overlying a retinal tapetum; a region of high ganglion cell density (area centralis of 56.1x10(3) cells per mm(2)) in the centrolateral region of the main retina; a centrotemporal region of the main retina with grouped rod-like photoreceptors; a region (area giganto cellularis) of large (32.2+/-5.6 mu m(2)), alpha-like ganglion cells arranged in a regular array (nearest neighbour distance 53.5+/-9.3 mu m with a conformity ratio of 5.8) in the temporal main retina; an accessory retina with grouped rod-like photoreceptors; a nasotemporal band of a mixture of rod-and cone-like photoreceptors restricted to the ventral accessory retina; and a retinal diverticulum comprised of a ventral region of differentiated accessory retina located medial to the optic nerve head. Retrograde labelling from the optic nerve with DiI shows that approximately 14% of the cells in the ganglion cell layer of the main retina are displaced amacrine cells at 1.5 mm eccentricity. Cryosectioning of the tubular eye confirms Matthiessen's ratio (2.59), and calculations of the spatial resolving power suggests that the function of the area centralis (7.4 cycles per degree/8.1 minutes of are) and the cohort of temporal alpha-like ganglion cells (0.85 cycles per degree/70.6 minutes of are) in the main retina may be different. Low summation ratios in these various retinal zones suggests that each zone may mediate distinct visual tasks in a certain region of the visual field by optimizing sensitivity and/or resolving power.
Resumo:
Power system small signal stability analysis aims to explore different small signal stability conditions and controls, namely: (1) exploring the power system security domains and boundaries in the space of power system parameters of interest, including load flow feasibility, saddle node and Hopf bifurcation ones; (2) finding the maximum and minimum damping conditions; and (3) determining control actions to provide and increase small signal stability. These problems are presented in this paper as different modifications of a general optimization to a minimum/maximum, depending on the initial guesses of variables and numerical methods used. In the considered problems, all the extreme points are of interest. Additionally, there are difficulties with finding the derivatives of the objective functions with respect to parameters. Numerical computations of derivatives in traditional optimization procedures are time consuming. In this paper, we propose a new black-box genetic optimization technique for comprehensive small signal stability analysis, which can effectively cope with highly nonlinear objective functions with multiple minima and maxima, and derivatives that can not be expressed analytically. The optimization result can then be used to provide such important information such as system optimal control decision making, assessment of the maximum network's transmission capacity, etc. (C) 1998 Elsevier Science S.A. All rights reserved.
Resumo:
A space-marching code for the simulation and optimization of inviscid supersonic flow in three dimensions is described. The now in a scramjet module with a relatively complex three-dimensional geometry is examined and wall-pressure estimates are compared with experimental data. Given that viscous effects are not presently included, the comparison is reasonable. The thermodynamic compromise of adding heat in a diverging combustor is also examined. The code is then used to optimize the shape of a thrust surface for a simpler (box-section) scramjet module in the presence of uniform and nonuniform heat distributions. The optimum two-dimensional profiles for the thrust surface are obtained via a perturbation procedure that requires about 30-50 now solutions. It is found that the final shapes are fairly insensitive to the details of the heat distribution.
Resumo:
Standard tools for the analysis of economic problems involving uncertainty, including risk premiums, certainty equivalents and the notions of absolute and relative risk aversion, are developed without making specific assumptions on functional form beyond the basic requirements of monotonicity, transitivity, continuity, and the presumption that individuals prefer certainty to risk. Individuals are not required to display probabilistic sophistication. The approach relies on the distance and benefit functions to characterize preferences relative to a given state-contingent vector of outcomes. The distance and benefit functions are used to derive absolute and relative risk premiums and to characterize preferences exhibiting constant absolute risk aversion (CARA) and constant relative risk aversion (CRRA). A generalization of the notion of Schur-concavity is presented. If preferences are generalized Schur concave, the absolute and relative risk premiums are generalized Schur convex, and the certainty equivalents are generalized Schur concave.
Resumo:
This paper presents a personal view of the interaction between the analysis of choice under uncertainty and the analysis of production under uncertainty. Interest in the foundations of the theory of choice under uncertainty was stimulated by applications of expected utility theory such as the Sandmo model of production under uncertainty. This interest led to the development of generalized models including rank-dependent expected utility theory. In turn, the development of generalized expected utility models raised the question of whether such models could be used in the analysis of applied problems such as those involving production under uncertainty. Finally, the revival of the state-contingent approach led to the recognition of a fundamental duality between choice problems and production problems.
Resumo:
In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion.
Resumo:
Renaturation of protein expressed as inclusion bodies within Escherichia coli is a key step in many bioprocesses. Operating conditions for the refolding step dramatically affect the amount of protein product recovered, and hence profoundly influence the process economics. The first systematic comparison of refolding conducted in batch, fed-batch and continuous stirred-tank reactors is provided Refolding is modeled as kinetic competition between first-order refolding (equilibrium reaction) and irreversible aggregation (second-order). Simulations presented allow direct comparison between different flowsheets and refolding schemes using a dimensionless economic objective. As expected from examination of the reaction kinetics, batch operation is the most inefficient merle. For the base process considered, the overall cost of fed-batch and continuous refolding is virtually identical (less than half that of the batch process). Reactor selection and optimization of refolding using overall economics are demonstrated to be vitally important.
Resumo:
Smoothing the potential energy surface for structure optimization is a general and commonly applied strategy. We propose a combination of soft-core potential energy functions and a variation of the diffusion equation method to smooth potential energy surfaces, which is applicable to complex systems such as protein structures; The performance of the method was demonstrated by comparison with simulated annealing using the refinement of the undecapeptide Cyclosporin A as a test case. Simulations were repeated many times using different initial conditions and structures since the methods are heuristic and results are only meaningful in a statistical sense.
Resumo:
The concept of parameter-space size adjustment is pn,posed in order to enable successful application of genetic algorithms to continuous optimization problems. Performance of genetic algorithms with six different combinations of selection and reproduction mechanisms, with and without parameter-space size adjustment, were severely tested on eleven multiminima test functions. An algorithm with the best performance was employed for the determination of the model parameters of the optical constants of Pt, Ni and Cr.