79 resultados para DYNAMIC PORTFOLIO SELECTION
Resumo:
This study presents a decision-making method for maintenance policy selection of power plants equipment. The method is based on risk analysis concepts. The method first step consists in identifying critical equipment both for power plant operational performance and availability based on risk concepts. The second step involves the proposal of a potential maintenance policy that could be applied to critical equipment in order to increase its availability. The costs associated with each potential maintenance policy must be estimated, including the maintenance costs and the cost of failure that measures the critical equipment failure consequences for the power plant operation. Once the failure probabilities and the costs of failures are estimated, a decision-making procedure is applied to select the best maintenance policy. The decision criterion is to minimize the equipment cost of failure, considering the costs and likelihood of occurrence of failure scenarios. The method is applied to the analysis of a lubrication oil system used in gas turbines journal bearings. The turbine has more than 150 MW nominal output, installed in an open cycle thermoelectric power plant. A design modification with the installation of a redundant oil pump is proposed for lubricating oil system availability improvement. (C) 2009 Elsevier Ltd. All rights reserved.
Resumo:
High-angle grain boundary migration is predicted during geometric dynamic recrystallization (GDRX) by two types of mathematical models. Both models consider the driving pressure due to curvature and a sinusoidal driving pressure owing to subgrain walls connected to the grain boundary. One model is based on the finite difference solution of a kinetic equation, and the other, on a numerical technique in which the boundary is subdivided into linear segments. The models show that an initially flat boundary becomes serrated, with the peak and valley migrating into both adjacent grains, as observed during GDRX. When the sinusoidal driving pressure amplitude is smaller than 2 pi, the boundary stops migrating, reaching an equilibrium shape. Otherwise, when the amplitude is larger than 2 pi, equilibrium is never reached and the boundary migrates indefinitely, which would cause the protrusions of two serrated parallel boundaries to impinge on each other, creating smaller equiaxed grains.
Resumo:
Dynamic experiments in a nonadiabatic packed bed were carried out to evaluate the response to disturbances in wall temperature and inlet airflow rate and temperature. A two-dimensional, pseudo-homogeneous, axially dispersed plug-flow model was numerically solved and used to interpret the results. The model parameters were fitted in distinct stages: effective radial thermal conductivity (K (r)) and wall heat transfer coefficient (h (w)) were estimated from steady-state data and the characteristic packed bed time constant (tau) from transient data. A new correlation for the K (r) in packed beds of cylindrical particles was proposed. It was experimentally proved that temperature measurements using radially inserted thermocouples and a ring-shaped sensor were not distorted by heat conduction across the thermocouple or by the thermal inertia effect of the temperature sensors.
Resumo:
This paper addresses the non-preemptive single machine scheduling problem to minimize total tardiness. We are interested in the online version of this problem, where orders arrive at the system at random times. Jobs have to be scheduled without knowledge of what jobs will come afterwards. The processing times and the due dates become known when the order is placed. The order release date occurs only at the beginning of periodic intervals. A customized approximate dynamic programming method is introduced for this problem. The authors also present numerical experiments that assess the reliability of the new approach and show that it performs better than a myopic policy.
Resumo:
The aim of this work was the development of miniaturized structures useful for retention and/or selection of particles and viscous substances from a liquid flow. The proposed low costs structures are similar to macroscopic wastewater treatment systems, named baffles, and allow disassemble. They were simulated using FEMLAB 3.2b package and manufactured in acrylic with conventional tools. Tests for retention or selection of particles in water or air and viscous fluids in water were carried out. Either in air or water particles with 50 mu m diameter will be retained but not with 13 mu m diameter. In aqueous flow, it is also possible the retention of viscous samples, such as silicone 350 cSt. The simulated results showed good agreement with experimental measurements. These miniaturized structures can be useful in sample pretreatment for chemical analysis and microorganism manipulation. (C) 2007 Elsevier B.V. All rights reserved.
Resumo:
In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.
Resumo:
Highly redundant or statically undetermined structures, such as a cable-stayed bridge, have been of particular concern to the engineering community nowadays because of the complex parameters that must be taken into account for healthy monitoring. The purpose of this study was to verify the reliability and practicability of using GPS to characterize dynamic oscillations of small span bridges. The test was carried out on a cable-stayed wood footbridge at Escola de Engenharia de Sao Carlos-Universidade de Sao Paulo, Brazil. Initially a static load trial was carried out to get an idea of the deck amplitude and oscillation frequency. After that, a calibration trial was carried out by applying a well known oscillation on the rover antenna to check the environment detectable limits for the method used. Finally, a dynamic load trial was carried out by using GPS and a displacement transducer to measure the deck oscillation. The displacement transducer was used just to confirm the results obtained by the GPS. The results have shown that the frequencies and amplitude displacements obtained by the GPS are in good agreement with the displacement transducer responses. GPS can be used as a reliable tool to characterize the dynamic behavior of large structures such as cable-stayed footbridges undergoing dynamic loads.
Resumo:
Vessel dynamic positioning (DP) systems are based on conventional PID-type controllers and an extended Kalman filter. However, they present a difficult tuning procedure, and the closed-loop performance varies with environmental or loading conditions since the dynamics of the vessel are eminently nonlinear. Gain scheduling is normally used to address the nonlinearity of the system. To overcome these problems, a sliding mode control was evaluated. This controller is robust to variations in environmental and loading conditions, it maintains performance and stability for a large range of conditions, and presents an easy tuning methodology. The performance of the controller was evaluated numerically and experimentally in order to address its effectiveness. The results are compared with those obtained from conventional PID controller. (c) 2010 Elsevier Ltd. All rights reserved.
Resumo:
Computer viruses are an important risk to computational systems endangering either corporations of all sizes or personal computers used for domestic applications. Here, classical epidemiological models for disease propagation are adapted to computer networks and, by using simple systems identification techniques a model called SAIC (Susceptible, Antidotal, Infectious, Contaminated) is developed. Real data about computer viruses are used to validate the model. (c) 2008 Elsevier Ltd. All rights reserved.
Resumo:
Saccharomyces cerevisiae hexokinase-less strains were produced to study the production of ethanol and fructose from sucrose. These strains do not have the hexokinases A and B. Twenty-three double-mutant strains were produced, and then, three were selected for presenting a smaller growth in yeast extract-peptone-fructose. In fermentations with a medium containing sucrose (180.3 g L-1) and with cell recycles, simulating industrial conditions, the capacity of these mutant yeasts in inverting sucrose and fermenting only glucose was well characterized. Besides that, we could also see their great tolerance to the stresses of fermentative recycles, where fructose production (until 90 g L-1) and ethanol production (until 42.3 g L-1) occurred in cycles of 12 h, in which hexokinase-less yeasts performed high growth (51.2% of wet biomass) and viability rates (77% of viable cells) after nine consecutive cycles.
Resumo:
The Piracicaba, Capivari, and Jundiai River Basins (RB-PCJ) are mainly located in the State of So Paulo, Brazil. Using a dynamics systems simulation model (WRM-PCJ) to assess water resources sustainability, five 50-year simulations were run. WRM-PCJ was developed as a tool to aid decision and policy makers on the RB-PCJ Watershed Committee. The model has 254 variables. The model was calibrated and validated using available information from the 80s. Falkenmark Water Stress Index went from 1,403 m(3) person (-aEuro parts per thousand 1) year (-aEuro parts per thousand 1) in 2004 to 734 m(3) P (-aEuro parts per thousand 1) year (-aEuro parts per thousand 1) in 2054, and Xu Sustainability Index from 0.44 to 0.20. In 2004, the Keller River Basin Development Phase was Conservation, and by 2054 was Augmentation. The three criteria used to evaluate water resources showed that the watershed is at crucial water resources management turning point. The WRM-PCJ performed well, and it proved to be an excellent tool for decision and policy makers at RB-PCJ.
Resumo:
Using a dynamic systems model specifically developed for Piracicaba, Capivari and Jundia River Water Basins (BH-PCJ) as a tool to help to analyze water resources management alternatives for policy makers and decision takers, five simulations for 50 years timeframe were performed. The model estimates water supply and demand, as well as wastewater generation from the consumers at BH-PCJ. A run was performed using mean precipitation value constant, and keeping the actual water supply and demand rates, the business as usual scenario. Under these considerations, it is expected an increment of about similar to 76% on water demand, that similar to 39% of available water volume will come from wastewater reuse, and that waste load increases to similar to 91%. Falkenmark Index will change from 1,403 m(3) person(-1) year(-1) in 2004, to 734 m(3) P(-1) year(-1) by 2054, and the Sustainability Index from 0.44 to 0.20. Another four simulations were performed by affecting the annual precipitation by 90 and 110%; considering an ecological flow equal to 30% of the mean daily flow; and keeping the same rates for all other factors except for ecological flow and household water consumption. All of them showed a tendency to a water crisis in the near future at BH-PCJ.
Resumo:
Maize (Zea mays L.) is a very important cereal to world-wide economy which is also true for Brazil, particularly in the South region. Grain yield and plant height have been chosen as important criteria by breeders and farmers from Santa Catarina State (SC), Brazil. The objective of this work was to estimate genetic-statistic parameters associated with genetic gain for grain yield and plant height, in the first cycle of convergent-divergent half-sib selection in a maize population (MPA1) cultivated by farmers within the municipality of Anchieta (SC). Three experiments were carried out in different small farms at Anchieta using low external agronomic inputs; each experiment represented independent samples of half-sib families, which were evaluated in randomized complete blocks with three replications per location. Significant differences among half-sib families were observed for both variables in all experiments. The expected responses to truncated selection of the 25% better families in each experiment were 5.1, 5.8 and 5.2% for reducing plant height and 3.9, 5.7 and 5.0% for increasing grain yield, respectively. The magnitudes of genetic-statistic parameters estimated evidenced that the composite population MPA1 exhibits enough genetic variability to be used in cyclical process of recurrent selection. There were evidences that the genetic structure of the base population MPA1, as indicated by its genetic variability, may lead to expressive changes in the traits under selection, even under low selection pressure.
Resumo:
Causal inference methods - mainly path analysis and structural equation modeling - offer plant physiologists information about cause-and-effect relationships among plant traits. Recently, an unusual approach to causal inference through stepwise variable selection has been proposed and used in various works on plant physiology. The approach should not be considered correct from a biological point of view. Here, it is explained why stepwise variable selection should not be used for causal inference, and shown what strange conclusions can be drawn based upon the former analysis when one aims to interpret cause-and-effect relationships among plant traits.
Resumo:
This article presents the results obtained from an experimental device designed for the accurate determination of wood/water relationship on microsamples. The moisture content of the sample is measured with a highly sensitive electronic microbalance and two dimensions of the sample are collected continuously without contact using high-speed laser scan micrometers. The whole device is placed in a climatic chamber. The microsamples investigated were prepared with a diamond wire saw. The unique ability of this device to work with small samples allowed normal, opposite, and reaction wood to be characterized separately. Experiments were carried out on three wood species (beech, spruce, and poplar). In the case of beech, a deviation from the linear relation between tangential shrinkage and moisture content between 40 and 20% is particularly noticeable for the first desorption. A localized collapse of ray cells could explain this result. Compared to normal wood, an important longitudinal shrinkage and a low tangential shrinkage were observed in compression wood of spruce. Both the tension wood and opposite wood of poplar exhibit a high longitudinal shrinkage, but no significant difference between the three types of wood is noticeable in the tangential direction.