5 resultados para mean reversion

em Repositório Científico do Instituto Politécnico de Lisboa - Portugal


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The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.

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We show photorheology in aqueous solutions of weakly entangled wormlike micelles prepared with cetyltrimethylammonium bromide (CTAB), salicylic acid (HSal), and dilute amounts of the photochromic multistate compound trans-2,4,4'-trihydroxychalcone (Ct). Different chemical species of Ct are associated with different colorations and propensities to reside within or outside CTAB micelles. A light-induced transfer between the intra- and intermicellar space is used to alter the mean length of wormlike micelles and hence the rheological properties of the fluid, studied in steady-state shear Bow and in dynamic rheological measurements. Light-induced changes of fluid rheology are reversible by a the relaxation process. at relaxation rates which depend on pH and which are consistent with photochromic reversion rates measured by UV-vis absorption spectroscopy. Parameterizing viscoelostic rheological states by their effective relaxation time tau(c) and corresponding response modulus G(c), we find the light and dark states of the system to fall onto a characteristic state curve defined by comparable experiments conducted without photosensitive components. These reference experiments were prepared with the same concentration of CTAB, but different concentrations of HSal or sodium salicylote (NaSal), and tested at different temperatures.

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When a mixture is confined, one of the phases can condense out. This condensate, which is otherwise metastable in the bulk, is stabilized by the presence of surfaces. In a sphere-plane geometry, routinely used in atomic force microscope and surface force apparatus, it, can form a bridge connecting the surfaces. The pressure drop in the bridge gives rise to additional long-range attractive forces between them. By minimizing the free energy of a binary mixture we obtain the force-distance curves as well as the structural phase diagram of the configuration with the bridge. Numerical results predict a discontinuous transition between the states with and without the bridge and linear force-distance curves with hysteresis. We also show that similar phenomenon can be observed in a number of different systems, e.g., liquid crystals and polymer mixtures. (C). 2004 American Institute of Physics.

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Electric vehicles (EVs) and plug-in hybrid electric vehicles (PHEVs), which obtain their fuel from the grid by charging a battery, are set to be introduced into the mass market and expected to contribute to oil consumption reduction. This research is concerned with studying the potential impacts on the electric utilities of large-scale adoption of plug-in electric vehicles from the perspective of electricity demand, fossil fuels use, CO2 emissions and energy costs. Simulations were applied to the Portuguese case study in order to analyze what would be the optimal recharge profile and EV penetration in an energy-oriented, an emissions-oriented and a cost-oriented objective. The objectives considered were: The leveling of load profiles, minimization of daily emissions and minimization of daily wholesale costs. Almost all solutions point to an off-peak recharge and a 50% reduction in daily wholesale costs can be verified from a peak recharge scenario to an off-peak recharge for a 2 million EVs in 2020. A 15% improvement in the daily total wholesale costs can be verified in the costs minimization objective when compared with the off-peak scenario result.

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Most of small islands around the world today, are dependent on imported fossil fuels for the majority of their energy needs especially for transport activities and electricity production. The use of locally renewable energy resources and the implementation of energy efficiency measures could make a significant contribution to their economic development by reducing fossil fuel imports. An electrification of vehicles has been suggested as a way to both reduce pollutant emissions and increase security of supply of the transportation sector by reducing the dependence on oil products imports and facilitate the accommodation of renewable electricity generation, such as wind and, in the case of volcanic islands like Sao Miguel (Azores) of the geothermal energy whose penetration has been limited by the valley electricity consumption level. In this research, three scenarios of EV penetration were studied and it was verified that, for a 15% LD fleet replacement by EVs with 90% of all energy needs occurring during the night, the accommodation of 10 MW of new geothermal capacity becomes viable. Under this scenario, reductions of 8% in electricity costs, 14% in energy, 23% in fossil fuels use and CO2 emissions for the transportation and electricity production sectors could be expected.