48 resultados para expected shortfall portfolio optimization


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In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

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In practical applications of optimization it is common to have several conflicting objective functions to optimize. Frequently, these functions are subject to noise or can be of black-box type, preventing the use of derivative-based techniques. We propose a novel multiobjective derivative-free methodology, calling it direct multisearch (DMS), which does not aggregate any of the objective functions. Our framework is inspired by the search/poll paradigm of direct-search methods of directional type and uses the concept of Pareto dominance to maintain a list of nondominated points (from which the new iterates or poll centers are chosen). The aim of our method is to generate as many points in the Pareto front as possible from the polling procedure itself, while keeping the whole framework general enough to accommodate other disseminating strategies, in particular, when using the (here also) optional search step. DMS generalizes to multiobjective optimization (MOO) all direct-search methods of directional type. We prove under the common assumptions used in direct search for single objective optimization that at least one limit point of the sequence of iterates generated by DMS lies in (a stationary form of) the Pareto front. However, extensive computational experience has shown that our methodology has an impressive capability of generating the whole Pareto front, even without using a search step. Two by-products of this paper are (i) the development of a collection of test problems for MOO and (ii) the extension of performance and data profiles to MOO, allowing a comparison of several solvers on a large set of test problems, in terms of their efficiency and robustness to determine Pareto fronts.

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Mestrado em Medicina Nuclear.

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In this paper a solution to an highly constrained and non-convex economical dispatch (ED) problem with a meta-heuristic technique named Sensing Cloud Optimization (SCO) is presented. The proposed meta-heuristic is based on a cloud of particles whose central point represents the objective function value and the remaining particles act as sensors "to fill" the search space and "guide" the central particle so it moves into the best direction. To demonstrate its performance, a case study with multi-fuel units and valve- point effects is presented.

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Tomar consciência do papel do educador de infância e do professor do 1º CEB manifesta-se uma tarefa essencial à prática, permitindo uma orientação da intervenção educativa, no sentido de ir ao encontro do que é esperado por parte destes profissionais. O trabalho espelha as experiências nos contextos de 1º Ciclo do Ensino Básico e de Educação Pré-Escolar, sendo que se encontram evidenciadas as especificidades, transversalidade e continuidade existentes em ambos os contextos. A abordagem do estudo apresenta um caráter misto. Isto é, por um lado um caráter qualitativo, na medida em que procuramos perceber mecanismos, comportamentos e atitudes, por outro lado um caráter quantitativo, na medida em que a informação, recolhida através dos questionários e entrevistas, pode espelhar uma perspetiva quantitativa. O trabalho, comum a ambas as valências, com vista a um incremento na melhoria da intervenção educativa, visa compreender as necessidades, motivações e comportamentos dos sujeitos de estudo. Este estudo tem caraterísticas próximas de uma investigação-ação que permitiram uma avaliação constante da intervenção com o objetivo de a tornar mais eficaz. Os instrumentos e técnicas de investigação utilizados foram a análise documental, as listas de verificação ou controlo, as grelhas de observação, a observação participante, os registos de observação, o inquérito por questionário, a entrevista, os instrumentos de avaliação das aprendizagens, o portfólio de criança, o registo de projeto lúdico e arede curricular. O conhecimento dos grupos de crianças permite atitudes adequadas, assim como uma planificação mais eficaz, na medida em que são promovidas atividades significativas e diferenciadas que vão de encontro às necessidades e interesses de cada um. Estes reguladores da prática educativa são instrumentos que permitem a reflexão, prática sine-qua-non para uma intervenção de qualidade, pois esta ação vai permitir uma avaliação dos acontecimentos e suas consequências e, ainda, a remodelação de práticas e atitudes.

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Conferência: 39th Annual Conference of the IEEE Industrial-Electronics-Society (IECON) - NOV 10-14, 2013

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Objective: A new protocol for fixation and slide preservation was evaluated in order to improve the quality of immunocytochemical reactions on cytology slides. Methods: The quality of immunoreactions was evaluated retrospectively on 186 cytology slides (130 direct smears, 56 cytospins) prepared from different cytology samples. Ninety-three of the slides were air dried, stored at -20 °C and fixed in acetone for 10 minutes (Protocol 1), whereas the other 93 were immediately fixed in methanol at -20 °C for at least 30 minutes, subsequently protected with polyethylene glycol (PEG) and stored at room temperature (Protocol 2). Immunocytochemical staining, with eight primary antibodies, was performed on a Ventana BenchMark Ultra instrument using an UltraView Universal DAB Detection Kit. The following parameters were evaluated for each immunoreaction: morphology preservation, intensity of specific staining, background and counterstain. The slides were blinded and independently scored by four observers with marks from 0 to 20. Results: The quality of immunoreactions was better on methanol-fixed slides protected with PEG than on air-dried slides stored in the freezer: X¯ = 14.44 ± 3.58 versus X¯ = 11.02 ± 3.86, respectively (P < 0.001). Conclusion: Immediate fixation of cytology slides in cold methanol with subsequent application of PEG is an easy and straightforward procedure that improves the quality of immunocytochemical reactions and allows the storage of the slides at room temperature.

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Mestrado em Controlo de Gestão e dos Negócios

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Trabalho Final de Mestrado para obtenção do grau de Mestre Em Engenharia Química e Biológica Ramo de processos Químicos

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This paper proposes a stochastic mixed-integer linear approach to deal with a short-term unit commitment problem with uncertainty on a deregulated electricity market that includes day-ahead bidding and bilateral contracts. The proposed approach considers the typically operation constraints on the thermal units and a spinning reserve. The uncertainty is due to the electricity prices, which are modeled by a scenario set, allowing an acceptable computation. Moreover, emission allowances are considered in a manner to allow for the consideration of environmental constraints. A case study to illustrate the usefulness of the proposed approach is presented and an assessment of the cost for the spinning reserve is obtained by a comparison between the situation with and without spinning reserve.

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The foot and the ankle are small structures commonly affected by disorders, and their complex anatomy represent significant diagnostic challenges. SPECT/CT Image fusion can provide missing anatomical and bone structure information to functional imaging, which is particularly useful to increase diagnosis certainty of bone pathology. However, due to SPECT acquisition duration, patient’s involuntary movements may lead to misalignment between SPECT and CT images. Patient motion can be reduced using a dedicated patient support. We aimed at designing an ankle and foot immobilizing device and measuring its efficacy at improving image fusion. Methods: We enrolled 20 patients undergoing distal lower-limb SPECT/CT of the ankle and the foot with and without a foot holder. The misalignment between SPECT and CT images was computed by manually measuring 14 fiducial markers chosen among anatomical landmarks also visible on bone scintigraphy. Analysis of variance was performed for statistical analysis. Results: The obtained absolute average difference without and with support was 5.1±5.2 mm (mean±SD) and 3.1±2.7 mm, respectively, which is significant (p<0.001). Conclusion: The introduction of the foot holder significantly decreases misalignment between SPECT and CT images, which may have clinical influence in the precise localization of foot and ankle pathology.

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With the increasing complexity of current networks, it became evident the need for Self-Organizing Networks (SON), which aims to automate most of the associated radio planning and optimization tasks. Within SON, this paper aims to optimize the Neighbour Cell List (NCL) for Long Term Evolution (LTE) evolved NodeBs (eNBs). An algorithm composed by three decisions were were developed: distance-based, Radio Frequency (RF) measurement-based and Handover (HO) stats-based. The distance-based decision, proposes a new NCL taking account the eNB location and interference tiers, based in the quadrants method. The last two algorithms consider signal strength measurements and HO statistics, respectively; they also define a ranking to each eNB and neighbour relation addition/removal based on user defined constraints. The algorithms were developed and implemented over an already existent radio network optimization professional tool. Several case studies were produced using real data from a Portuguese LTE mobile operator. © 2014 IEEE.

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The increasing integration of larger amounts of wind energy into power systems raises important operational issues, such as the balance between power generation and demand. The pumped storage hydro (PSH) units are one possible solution to mitigate this problem, once they can store the excess of energy in the periods of higher generation and lower demand. However, the behaviour of a PSH unit may differ considerably from the expected in terms of wind power integration when it operates in a liberalized electricity market under a price-maker context. In this regard, this paper models and computes the optimal PSH weekly scheduling in a price-taker and price-maker scenarios, either when the PSH unit operates in standalone and integrated in a portfolio of other generation assets. Results show that the price-maker standalone PSH will integrate less wind power in comparison with the price-taker situation. Moreover, when the PSH unit is integrated in a portfolio with a base load power plant, the role of the price elasticity of demand may completely change the operational profile of the PSH unit. (C) 2014 Elsevier Ltd. All rights reserved.

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This paper proposes a stochastic mixed-integer linear approach to deal with a short-term unit commitment problem with uncertainty on a deregulated electricity market that includes day-ahead bidding and bilateral contracts. The proposed approach considers the typically operation constraints on the thermal units and a spinning reserve. The uncertainty is due to the electricity prices, which are modeled by a scenario set, allowing an acceptable computation. Moreover, emission allowances are considered in a manner to allow for the consideration of environmental constraints. A case study to illustrate the usefulness of the proposed approach is presented and an assessment of the cost for the spinning reserve is obtained by a comparison between the situation with and without spinning reserve.