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.

Transactions and schema evolution in a persistent object-oriented programming system

Applications are subject of a continuous evolution process with a profound impact on their underlining data model, hence requiring frequent updates in the applications' class structure and database structure as well. This twofold problem, schema evolution and instance adaptation, usually known as database evolution, is addressed in this thesis. Additionally, we address concurrency and error recovery problems with a novel meta-model and its aspect-oriented implementation. Modern object-oriented databases provide features that help programmers deal with object persistence, as well as all related problems such as database evolution, concurrency and error handling. In most systems there are transparent mechanisms to address these problems, nonetheless the database evolution problem still requires some human intervention, which consumes much of programmers' and database administrators' work effort. Earlier research works have demonstrated that aspect-oriented programming (AOP) techniques enable the development of flexible and pluggable systems. In these earlier works, the schema evolution and the instance adaptation problems were addressed as database management concerns. However, none of this research was focused on orthogonal persistent systems. We argue that AOP techniques are well suited to address these problems in orthogonal persistent systems. Regarding the concurrency and error recovery, earlier research showed that only syntactic obliviousness between the base program and aspects is possible. Our meta-model and framework follow an aspect-oriented approach focused on the object-oriented orthogonal persistent context. The proposed meta-model is characterized by its simplicity in order to achieve efficient and transparent database evolution mechanisms. Our meta-model supports multiple versions of a class structure by applying a class versioning strategy. Thus, enabling bidirectional application compatibility among versions of each class structure. That is to say, the database structure can be updated because earlier applications continue to work, as well as later applications that have only known the updated class structure. The specific characteristics of orthogonal persistent systems, as well as a metadata enrichment strategy within the application's source code, complete the inception of the meta-model and have motivated our research work. To test the feasibility of the approach, a prototype was developed. Our prototype is a framework that mediates the interaction between applications and the database, providing them with orthogonal persistence mechanisms. These mechanisms are introduced into applications as an {\it aspect} in the aspect-oriented sense. Objects do not require the extension of any super class, the implementation of an interface nor contain a particular annotation. Parametric type classes are also correctly handled by our framework. However, classes that belong to the programming environment must not be handled as versionable due to restrictions imposed by the Java Virtual Machine. Regarding concurrency support, the framework provides the applications with a multithreaded environment which supports database transactions and error recovery. The framework keeps applications oblivious to the database evolution problem, as well as persistence. Programmers can update the applications' class structure because the framework will produce a new version for it at the database metadata layer. Using our XML based pointcut/advice constructs, the framework's instance adaptation mechanism is extended, hence keeping the framework also oblivious to this problem. The potential developing gains provided by the prototype were benchmarked. In our case study, the results confirm that mechanisms' transparency has positive repercussions on the programmer's productivity, simplifying the entire evolution process at application and database levels. The meta-model itself also was benchmarked in terms of complexity and agility. Compared with other meta-models, it requires less meta-object modifications in each schema evolution step. Other types of tests were carried out in order to validate prototype and meta-model robustness. In order to perform these tests, we used an OO7 small size database due to its data model complexity. Since the developed prototype offers some features that were not observed in other known systems, performance benchmarks were not possible. However, the developed benchmark is now available to perform future performance comparisons with equivalent systems. In order to test our approach in a real world scenario, we developed a proof-of-concept application. This application was developed without any persistence mechanisms. Using our framework and minor changes applied to the application's source code, we added these mechanisms. Furthermore, we tested the application in a schema evolution scenario. This real world experience using our framework showed that applications remains oblivious to persistence and database evolution. In this case study, our framework proved to be a useful tool for programmers and database administrators. Performance issues and the single Java Virtual Machine concurrent model are the major limitations found in the framework.

Towards a knowledge-based society: the need for a continuous lifelong

IRMA International Conference under the theme Managing Worldwide Operations and Communications with Information Technology, May 19-23, Vancouver, British Columbia, Canada

Addressing the facilities layout design problem through constraint logic programming

One of the most difficult problems that face researchers experimenting with complex systems in real world applications is the Facility Layout Design Problem. It relies with the design and location of production lines, machinery and equipment, inventory storage and shipping facilities. In this work it is intended to address this problem through the use of Constraint Logic Programming (CLP) technology. The use of Genetic Algorithms (GA) as optimisation technique in CLP environment is also an issue addressed. The approach aims the implementation of genetic algorithm operators following the CLP paradigm.

Hybrid fuzzy Monte Carlo and logic programming model for distribution network reconfiguration in the presence of outages

This paper presents a methodology for distribution networks reconfiguration in outage presence in order to choose the reconfiguration that presents the lower power losses. The methodology is based on statistical failure and repair data of the distribution power system components and uses fuzzy-probabilistic modelling for system component outage parameters. Fuzzy membership functions of system component outage parameters are obtained by statistical records. A hybrid method of fuzzy set and Monte Carlo simulation based on the fuzzy-probabilistic models allows catching both randomness and fuzziness of component outage parameters. Once obtained the system states by Monte Carlo simulation, a logical programming algorithm is applied to get all possible reconfigurations for every system state. In order to evaluate the line flows and bus voltages and to identify if there is any overloading, and/or voltage violation a distribution power flow has been applied to select the feasible reconfiguration with lower power losses. To illustrate the application of the proposed methodology to a practical case, the paper includes a case study that considers a real distribution network.

Logic programming and fuzzy Monte Carlo for distribution network reconfiguration

This paper present a methodology to choose the distribution networks reconfiguration that presents the lower power losses. The proposed methodology is based on statistical failure and repair data of the distribution power system components and uses fuzzy-probabilistic modeling for system component outage parameters. The proposed hybrid method using fuzzy sets and Monte Carlo simulation based on the fuzzyprobabilistic models allows catching both randomness and fuzziness of component outage parameters. A logic programming algorithm is applied, once obtained the system states by Monte Carlo Simulation, to get all possible reconfigurations for each system state. To evaluate the line flows and bus voltages and to identify if there is any overloading, and/or voltage violation an AC load flow has been applied to select the feasible reconfiguration with lower power losses. To illustrate the application of the proposed methodology, the paper includes a case study that considers a 115 buses distribution network.

Optimal scheduling of a renewable micro-grid in an isolated load area using mixed-integer linear programming

In the energy management of the isolated operation of small power system, the economic scheduling of the generation units is a crucial problem. Applying right timing can maximize the performance of the supply. The optimal operation of a wind turbine, a solar unit, a fuel cell and a storage battery is searched by a mixed-integer linear programming implemented in General Algebraic Modeling Systems (GAMS). A Virtual Power Producer (VPP) can optimal operate the generation units, assured the good functioning of equipment, including the maintenance, operation cost and the generation measurement and control. A central control at system allows a VPP to manage the optimal generation and their load control. The application of methodology to a real case study in Budapest Tech, demonstrates the effectiveness of this method to solve the optimal isolated dispatch of the DC micro-grid renewable energy park. The problem has been converged in 0.09 s and 30 iterations.

Ancillary services dispatch using linear programming and genetic algorithm approaches

Electricity market players operating in a liberalized environment requires access to an adequate decision support tool, allowing them to consider all the business opportunities and take strategic decisions. Ancillary services represent a good negotiation opportunity that must be considered by market players. For this, decision support tools must include ancillary market simulation. This paper proposes two different methods (Linear Programming and Genetic Algorithm approaches) for ancillary services dispatch. The methodologies are implemented in MASCEM, a multi-agent based electricity market simulator. A test case concerning the dispatch of Regulation Down, Regulation Up, Spinning Reserve and Non-Spinning Reserve services is included in this paper.

Optimização do corte de chapas

O presente trabalho visa denotar a importância de ferramentas e técnicas utilizadas como apoio à tomada de decisão. Foi proposto um problema de corte cujo objectivo primordial procura minimizar o desperdício gerado resultante do processo de obtenção de um produto, utilizando um caso representativo de um produto em chapa, fabricado por uma empresa que conta três décadas de laboração contínua, proposeram-se e realizaram-se estudos no sentido de solucionar recursos causadores de desperdício. Neste trabalho aplicou-se um problema de corte bi-dimensional a uma indústria que recorre ao fabrico de produtos em chapa, por forma a minimizar o desperdício relativo ao processo utilizado. Propôs-se quatro alternativas à solução actual realizada na empresa, que passa pela disposição e combinação de vários tipos de cortes-padrão que podem ser executados nas diferentes dimensões de matéria-prima disponibilizada. Estas alternativas têm como vantagem apresentar reduções que se traduzam significativas para os custos implícitos à realização do processo produtivo. Os estudos computacionais praticados mostraram que as soluções propostas como alternativa obtiveram melhores resultados que os obtidos pela empresa, excepto num caso.

Natural waste materials containing chitin as adsorbents for textile dyestuffs: batch and continuous studies

In this work three natural waste materials containing chitin were used as adsorbents for textile dyestuffs, namely the Anodonta (Anodonta cygnea) shell, the Sepia (Sepia officinalis) and the Squid (Loligo vulgaris) pens. The selected dyestuffs were the Cibacron green T3G-E (CI reactive green 12), and the Solophenyl green BLE 155% (CI direct green 26), both from CIBA, commonly used in cellulosic fibres dyeing, the most used fibres in the textile industry. Batch equilibrium studies showed that the materials’ adsorption capacities increase after a simple and inexpensive chemical treatment, which increases their porosity and chitin relative content. Kinetic studies suggested the existence of a high internal resistance in both systems. Fixed bed column experiments performed showed an improvement in adsorbents’ behaviour after chemical treatment. However, in the column experiments, the biodegradation was the main mechanism of dyestuff removal, allowing the materials’ bioregeneration. The adsorption was strongly reduced by the pore clogging effect of the biomass. The deproteinised Squid pen (grain size 0.500–1.41 mm) is the adsorbent with highest adsorption capacity (0.27 and 0.037 g/g, respectively, for the reactive and direct dyestuffs, at 20ºC), followed by the demineralised Sepia pen and Anodonta shell, behaving like pure chitin in all experiments, but showing inferior performances than the granular activated carbon tested in the column experiments.

On local fractional continuous wavelet transform

We introduce a new wavelet transform within the framework of the local fractional calculus. An illustrative example of local fractional wavelet transform is also presented.

New insights on integer-programming models for the kidney exchange problem

In recent years several countries have set up policies that allow exchange of kidneys between two or more incompatible patient–donor pairs. These policies lead to what is commonly known as kidney exchange programs. The underlying optimization problems can be formulated as integer programming models. Previously proposed models for kidney exchange programs have exponential numbers of constraints or variables, which makes them fairly difficult to solve when the problem size is large. In this work we propose two compact formulations for the problem, explain how these formulations can be adapted to address some problem variants, and provide results on the dominance of some models over others. Finally we present a systematic comparison between our models and two previously proposed ones via thorough computational analysis. Results show that compact formulations have advantages over non-compact ones when the problem size is large.

BabeLO : an extensible converter of programming exercises formats

In the last two decades, there was a proliferation of programming exercise formats that hinders interoperability in automatic assessment. In the lack of a widely accepted standard, a pragmatic solution is to convert content among the existing formats. BabeLO is a programming exercise converter providing services to a network of heterogeneous e-learning systems such as contest management systems, programming exercise authoring tools, evaluation engines and repositories of learning objects. Its main feature is the use of a pivotal format to achieve greater extensibility. This approach simplifies the extension to other formats, just requiring the conversion to and from the pivotal format. This paper starts with an analysis of programming exercise formats representative of the existing diversity. This analysis sets the context for the proposed approach to exercise conversion and to the description of the pivotal data format. The abstract service definition is the basis for the design of BabeLO, its components and web service interface. This paper includes a report on the use of BabeLO in two concrete scenarios: to relocate exercises to a different repository, and to use an evaluation engine in a network of heterogeneous systems.

A distributed system for learning programming on-line

Several Web-based on-line judges or on-line programming trainers have been developed in order to allow students to train their programming skills. However, their pedagogical functionalities in the learning of programming have not been clearly defined. EduJudge is a project which aims to integrate the “UVA On-line Judge”, an existing on-line programming trainer with an important number of problems and users, into an effective educational environment consisting of the e-learning platform Moodle and the competitive learning tool QUESTOURnament. The result is the EduJudge system which allows teachers to apply different pedagogical approaches using a proven e-learning platform, makes problems easy to search through an effective search engine, and provides an automated evaluation of the solutions submitted to these problems. The final objective is to provide new learning strategies to motivate students and present programming as an easy and attractive challenge. EduJudge has been tried and tested in three algorithms and programming courses in three different Engineering degrees. The students’ motivation and satisfaction levels were analysed alongside the effects of the EduJudge system on students’ academic outcomes. Results indicate that both students and teachers found that among other multiple benefits the EduJudge system facilitates the learning process. Furthermore, the experi- ment also showed an improvement in students’ academic outcomes. It must be noted that the students’ level of satisfaction did not depend on their computer skills or their gender.

CrimsonHex: a learning objects repository for programming exercises

A repository of learning objects is a system that stores electronic resources in a technology-mediated learning process. The need for this kind of repository is growing as more educators become eager to use digital educa- tional contents and more of it becomes available. The sharing and use of these resources relies on the use of content and communication standards as a means to describe and exchange educational resources, commonly known as learning objects. This paper presents the design and implementation of a service-oriented reposi- tory of learning objects called crimsonHex. This repository supports new definitions of learning objects for specialized domains and we illustrate this feature with the definition of programming exercises as learning objects and its validation by the repository. The repository is also fully compliant with existing commu- nication standards and we propose extensions by adding new functions, formalizing message interchange and providing a REST interface. To validate the interoperability features of the repository, we developed a repository plug-in for Moodle that is expected to be included in the next release of this popular learning management system.