Dynamic programming for a Markov-switching jump–diffusion

We consider an optimal control problem with a deterministic finite horizon and state variable dynamics given by a Markov-switching jump–diffusion stochastic differential equation. Our main results extend the dynamic programming technique to this larger family of stochastic optimal control problems. More specifically, we provide a detailed proof of Bellman’s optimality principle (or dynamic programming principle) and obtain the corresponding Hamilton–Jacobi–Belman equation, which turns out to be a partial integro-differential equation due to the extra terms arising from the Lévy process and the Markov process. As an application of our results, we study a finite horizon consumption– investment problem for a jump–diffusion financial market consisting of one risk-free asset and one risky asset whose coefficients are assumed to depend on the state of a continuous time finite state Markov process. We provide a detailed study of the optimal strategies for this problem, for the economically relevant families of power utilities and logarithmic utilities.

Optimization of antioxidants extraction from coffee silverskin, aroasting by-product, having in view a sustainable process

Coffee silverskin is a major roasting by-product that could be valued as a source of antioxidant compounds. The effect of the major variables (solvent polarity, temperature and extraction time) affecting the extraction yields of bioactive compounds and antioxidant activity of silverskin extracts was evaluated. The extracts composition varied significantly with the extraction conditions used. A factorial experimental design showed that the use of a hydroalcoholic solvent (50%:50%) at 40 °C for 60 min is a sustainable option to maximize the extraction yield of bioactive compounds and the antioxidant capacity of extracts. Using this set of conditions it was possible to obtain extracts containing total phenolics (302.5 ± 7.1 mg GAE/L), tannins (0.43 ± 0.06 mg TAE/L), and flavonoids (83.0 ± 1.4 mg ECE/L), exhibiting DPPHradical dot scavenging activity (326.0 ± 5.7 mg TE/L) and ferric reducing antioxidant power (1791.9 ± 126.3 mg SFE/L). These conditions allowed, in comparison with other “more effective” for some individual parameters, a cost reduction, saving time and energy.

Analysis of diffusion process in fractured reservoirs using fractional derivative approach

The fractal geometry is used to model of a naturally fractured reservoir and the concept of fractional derivative is applied to the diffusion equation to incorporate the history of fluid flow in naturally fractured reservoirs. The resulting fractally fractional diffusion (FFD) equation is solved analytically in the Laplace space for three outer boundary conditions. The analytical solutions are used to analyze the response of a naturally fractured reservoir considering the anomalous behavior of oil production. Several synthetic examples are provided to illustrate the methodology proposed in this work and to explain the diffusion process in fractally fractured systems.

Optimal scheduling of aircrafts’ engines repair process

We address a real world scheduling problem concerning the repair process of aircrafts’ engines by TAP - Maintenance & Engineering (TAP-ME). TAP-ME is the maintenance, repair and overhaul organization of TAP Portugal, Portugal’s leading airline, which employs about 4000 persons to provide maintenance and engineering services in aircraft, engines and components. TAP-ME is aiming to optimize its maintenance services, focusing on the reduction of the engines repair turnaround time.

Scheduling aircraft’s engines repair process: a mathematical model

In this talk, we discuss a scheduling problem that originated at TAP - Maintenance & Engineering - the maintenance, repair and overhaul organization of Portugal’s leading airline. In the repair process of aircrafts’ engines, the operations to be scheduled may be executed on a certain workstation by any processor of a given set, and the objective is to minimize the total weighted tardiness. A mixed integer linear programming formulation, based on the flexible job shop scheduling, is presented here, along with computational experiment on a real instance, provided by TAP-ME, from a regular working week. The model was also tested using benchmarking instances available in literature.

Stochastic Framework for Strategic Decision-making of Load-serving Entities for Day-ahead Market

The deregulation of electricity markets has diversified the range of financial transaction modes between independent system operator (ISO), generation companies (GENCO) and load-serving entities (LSE) as the main interacting players of a day-ahead market (DAM). LSEs sell electricity to end-users and retail customers. The LSE that owns distributed generation (DG) or energy storage units can supply part of its serving loads when the nodal price of electricity rises. This opportunity stimulates them to have storage or generation facilities at the buses with higher locational marginal prices (LMP). The short-term advantage of this model is reducing the risk of financial losses for LSEs in DAMs and its long-term benefit for the LSEs and the whole system is market power mitigation by virtually increasing the price elasticity of demand. This model also enables the LSEs to manage the financial risks with a stochastic programming framework.

Stochastic Short-term Incentive-based Demand Response Scheduling of Load-serving Entities

In competitive electricity markets it is necessary for a profit-seeking load-serving entity (LSE) to optimally adjust the financial incentives offering the end users that buy electricity at regulated rates to reduce the consumption during high market prices. The LSE in this model manages the demand response (DR) by offering financial incentives to retail customers, in order to maximize its expected profit and reduce the risk of market power experience. The stochastic formulation is implemented into a test system where a number of loads are supplied through LSEs.

Análise de desempenho de algoritmos de otimização para extração de parâmetros em modelos semicondutores de potência

Apresenta-se nesta tese uma revisão da literatura sobre a modelação de semicondutores de potência baseada na física e posterior análise de desempenho de dois métodos estocásticos, Particle Swarm Optimizaton (PSO) e Simulated Annealing (SA), quando utilizado para identificação eficiente de parâmetros de modelos de dispositivos semicondutores de potência, baseado na física. O conhecimento dos valores destes parâmetros, para cada dispositivo, é fundamental para uma simulação precisa do comportamento dinâmico do semicondutor. Os parâmetros são extraídos passo-a-passo durante simulação transiente e desempenham um papel relevante. Uma outra abordagem interessante nesta tese relaciona-se com o facto de que nos últimos anos, os métodos de modelação para dispositivos de potência têm emergido, com alta precisão e baixo tempo de execução baseado na Equação de Difusão Ambipolar (EDA) para díodos de potência e implementação no MATLAB numa estratégia de optimização formal. A equação da EDA é resolvida numericamente sob várias condições de injeções e o modelo é desenvolvido e implementado como um subcircuito no simulador IsSpice. Larguras de camada de depleção, área total do dispositivo, nível de dopagem, entre outras, são alguns dos parâmetros extraídos do modelo. Extração de parâmetros é uma parte importante de desenvolvimento de modelo. O objectivo de extração de parâmetros e otimização é determinar tais valores de parâmetros de modelo de dispositivo que minimiza as diferenças entre um conjunto de características medidas e resultados obtidos pela simulação de modelo de dispositivo. Este processo de minimização é frequentemente chamado de ajuste de características de modelos para dados de medição. O algoritmo implementado, PSO é uma técnica de heurística de otimização promissora, eficiente e recentemente proposta por Kennedy e Eberhart, baseado no comportamento social. As técnicas propostas são encontradas para serem robustas e capazes de alcançar uma solução que é caracterizada para ser precisa e global. Comparada com algoritmo SA já realizada, o desempenho da técnica proposta tem sido testado utilizando dados experimentais para extrair parâmetros de dispositivos reais das características I-V medidas. Para validar o modelo, comparação entre resultados de modelo desenvolvido com um outro modelo já desenvolvido são apresentados.

Eficiência e concentração na indústria bancária

O objectivo deste trabalho é a análise da eficiência produtiva e dos efeitos da concentração sobre os custos bancários, tendo por base a indústria bancária portuguesa. O carácter multiproduto da empresa bancária sugere a necessidade de se adoptar formas multiproduto da função custo (tipo Fourier). Introduzimos variáveis de homogeneidade e de estrutura que permitem o recurso a formas funcionais uniproduto (Cobb-Douglas) à banca. A amostra corresponde a 22 bancos que operavam em Portugal entre 1995-2001, base não consolidada e dados em painel. Para o estudo da ineficiência recorreu-se ao modelo estocástico da curva fronteira (SFA), para as duas especificações. Na análise da concentração, introduziram-se variáveis binárias que pretendem captar os efeitos durante quatro anos após a concentração. Tanto no caso da SFA como no da concentração, os resultados encontrados são sensíveis à especificação funcional adoptada. Concluindo, o processo de concentração bancário parece justificar-se pela possibilidade da diminuição da ineficiência-X.

Sustainability Improvement of a composite materials’ industry through recycling and re-engineering process approaches

Recent Advances in Mechanics and Materials in Design

A comparison between thin film solar cells made from co-evaporated CuIn1-xGaxSe2using a one-stage process versus a three-stage process

Until this day, the most efficient Cu(In,Ga)Se2 thin film solar cells have been prepared using a rather complex growth process often referred to as three-stage or multistage. This family of processes is mainly characterized by a first step deposited with only In, Ga and Se flux to form a first layer. Cu is added in a second step until the film becomes slightly Cu-rich, where-after the film is converted to its final Cu-poor composition by a third stage, again with no or very little addition of Cu. In this paper, a comparison between solar cells prepared with the three-stage process and a one-stage/in-line process with the same composition, thickness, and solar cell stack is made. The one-stage process is easier to be used in an industrial scale and do not have Cu-rich transitions. The samples were analyzed using glow discharge optical emission spectroscopy, scanning electron microscopy, X-ray diffraction, current–voltage-temperature, capacitance-voltage, external quantum efficiency, transmission/reflection, and photoluminescence. It was concluded that in spite of differences in the texturing, morphology and Ga gradient, the electrical performance of the two types of samples is quite similar as demonstrated by the similar J–V behavior, quantum spectral response, and the estimated recombination losses.