Optimal trading of wind power in the short term market

The energy reform, which is happening all over the world, is caused by the common concern of the future of the humankind in our shared planet. In order to keep the effects of the global warming inside of a certain limit, the use of fossil fuels must be reduced. The marginal costs of the renewable sources, RES are quite high, since they are new technology. In order to induce the implementation of RES to the power grid and lower the marginal costs, subsidies were developed in order to make the use of RES more profitable. From the RES perspective the current market is developed to favor conventional generation, which mainly uses fossil fuels. Intermittent generation, like wind power, is penalized in the electricity market since it is intermittent and thus diffi-cult to control. Therefore, the need of regulation and thus the regulation costs to the producer differ, depending on what kind of generation market participant owns. In this thesis it is studied if there is a way for market participant, who has wind power to use the special characteristics of electricity market Nord Pool and thus reach the gap between conventional generation and the intermittent generation only by placing bids to the market. Thus, an optimal bid is introduced, which purpose is to minimize the regulation costs and thus lower the marginal costs of wind power. In order to make real life simulations in Nord Pool, a wind power forecast model was created. The simulations were done in years 2009 and 2010 by using a real wind power data provided by Hyötytuuli, market data from Nord Pool and wind forecast data provided by Finnish Meteorological Institute. The optimal bid needs probability intervals and therefore the methodology to create probability distributions is introduced in this thesis. In the end of the thesis it is shown that the optimal bidding improves the position of wind power producer in the electricity market.

Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

A simulation model of the optimal maintenance strategy: conceptual agent-based approach

In this Master’s thesis agent-based modeling has been used to analyze maintenance strategy related phenomena. The main research question that has been answered was: what does the agent-based model made for this study tell us about how different maintenance strategy decisions affect profitability of equipment owners and maintenance service providers? Thus, the main outcome of this study is an analysis of how profitability can be increased in industrial maintenance context. To answer that question, first, a literature review of maintenance strategy, agent-based modeling and maintenance modeling and optimization was conducted. This review provided the basis for making the agent-based model. Making the model followed a standard simulation modeling procedure. With the simulation results from the agent-based model the research question was answered. Specifically, the results of the modeling and this study are: (1) optimizing the point in which a machine is maintained increases profitability for the owner of the machine and also the maintainer with certain conditions; (2) time-based pricing of maintenance services leads to a zero-sum game between the parties; (3) value-based pricing of maintenance services leads to a win-win game between the parties, if the owners of the machines share a substantial amount of their value to the maintainers; and (4) error in machine condition measurement is a critical parameter to optimizing maintenance strategy, and there is real systemic value in having more accurate machine condition measurement systems.

Towards optimal fractionation of lignocellulosic biomass using switchable ionic liquids

En ny familj av reversibla (switchable) joniska vätskor (SIL) innehållande 1,8-diazobicyklo-[5.4.0]-undek-7-en (DBU), en molekyl innehållande en eller flera hydroxyl- grupper (t.ex. glycerol) och en sur gas (CO2, SO2) syntetiserades via en enkel procedur samt karakteriserades. [DBU][karbonat] eller [sulfonat] bildades ur en respektive icke-jonisk blandning av en molekylär, organisk polyol (eller ennan molekyl innehållande en OH-grupp) och en amidinbas under bubblandet av en sur gas. Därtill kunde den joniska vätskan omvandlas tillbaka till sina beståndsdelar med hjälp av att upphetta och/eller bubbla en inert gas såsom kväve genom vätskan. SIL- strukturerna kartlades med bl.a. NMR- och FTIR- spektroskopi. Omvandlingen från lågpolära (molekylära) vätskor till högpolära joniska vätskor (SIL) bekräftades även genom att observera förändringar i deras fysikaliska egenskaper, såsom viskositet och färg. Nedbrytningstemperaturerna hos SILs bestämdes med hjälp av termogravimetrisk analys (TGA) som antydde att nedbrytningstemperaturen hos de syntetiserade föreningarna log mellan 50 och 200oC. De nya joniska vätskorna uppvisade högre nedbrytningstemperaturer jämfört med i litteraturen tidigare förekommande exempel och kunde därför tillämpas på flera ändamål. Därtill, reversibla (switchable) joniska vätskor uppbyggda av bl.a. alkoholer, antingen hexanol eller butanol, och CO2 samt en amidin (DBU) användes vid upplösning och fraktionering av ved. Joniska vätskor syntetiserade ur glycerol och sura gaser tillsammans med amidiner användes även för fraktionering av andra lignocellulosor såsom färsk björk (Betula pendula). Björkflis utsattes för behandling, för en period på en till fem dagar vid 100oC och under atmosfäriskt tryck. Alla syntetiserade joniska vätskor visade sig vara relativt neutrala i avseende på upplösning och avlägsnandet av lignin. Slutligen, optimala fraktioneringprocessbetingelser för ved med reversibla joniska vätskor kartlades. Fraktionering av vedbiomassa med dessa joniska vätskor uppvisade sig att vara en selektiv och effektiv metod för extraktion av olika komponenter från lignocellulosa. Den olösta fraktionen hos en vedflis, närmast cellulosa, fibrillerades. -------------------------------------------------------------------------------------------------------------------- Tässä työssä kehitettiin perhe uuden tyyppisiä, reversiibeleitä (switchable) ioninesteitä ( SIL ) joka koostuvat orgaanisesta super-emäksestä kuten 1,8- diatsabisyklo [ 5.4.0] undek- 7-eeni (DBU ) ja yhden tai useampia hydroksyyliryhmiä sisältältävästä molekyylistä (esim. glyseroli) ja happamasta kaasusta (CO2 , SO2) yksinkertaisen menetelmän avulla. [DBU] [ karbonaatti] tai [sulfonaatti] syntetisoitiin kunkin lähtöaineen seoksista kuplittamalla seosta happamalla kaasulla jolloin eksoterminen reaktio tapahtui ja ioninen neste syntyi. Ioniset nesteet voitiin palauttaa takaisin lähtöaineseokseksi kuumentamalla ja/tai kuplittamalla neutraalia kaasua (esim. typpi) seoksen läpi. SIL rakenteet määritettiin ja niiden ominaisuudet kartoitettiin eri menetelmillä, mukaan lukien NMR- ja FTIR -spektroskopia. Ionisen, korkeapoläärisen nesteen syntyminen todennettiin myös viskositeettimittauksilla ja värinmuutoksilla käyttäen hyväksi polariteetti-indikaattoria (Nile red). Myös hajoamislämpötilat määritettiin termogravimetrisellä analyysillä (TGA) ja todettiin että syntetisoitujen yhdisteiden hajoamislämpötila oli välillä 50 ja 200oC . Näiden uusien reversiibeleiden ioninesteiden hajoamisämpötilat olivat korkeammat verrattuna kirjallisuudessa aikaisemmin mainittuihin esimerkkeihin joten niitä voidaan soveltaa useisiin tarkoituksiin. Myös ioninesteitä jotka sisälsivät primäärejä alkoholeja rakennusaineina syntetisoitiin ja hyödynnettiin puun fraktioinnissa. Männyn ja kuusen lisäksi tuoreita koivulastuja onnistuttiin fraktioimaan miedoissa olosuhteissa. Kaikkien syntetisoitujen ioninesteiden todettiin olevan suhteellisen neutraaleja ligniinin liuotuksen suhteen. Vielä, optimaaliset fraktiointiolosuhteet määritettiin ryhmälle reversiibeleitä ioninesteitä ja näiden uudenlaisten ioninesteiden todettiin olevan tehokkaita puun ja muiden lignoselluloosien eri fraktioiden liuotuksessa. Liukenematon osa puulastua joka oli lähinnä selluloosaa fibrilloitui.

Excessive functions, Appell polynomials and optimal stopping

The main topic of the thesis is optimal stopping. This is treated in two research articles. In the first article we introduce a new approach to optimal stopping of general strong Markov processes. The approach is based on the representation of excessive functions as expected suprema. We present a variety of examples, in particular, the Novikov-Shiryaev problem for Lévy processes. In the second article on optimal stopping we focus on differentiability of excessive functions of diffusions and apply these results to study the validity of the principle of smooth fit. As an example we discuss optimal stopping of sticky Brownian motion. The third research article offers a survey like discussion on Appell polynomials. The crucial role of Appell polynomials in optimal stopping of Lévy processes was noticed by Novikov and Shiryaev. They described the optimal rule in a large class of problems via these polynomials. We exploit the probabilistic approach to Appell polynomials and show that many classical results are obtained with ease in this framework. In the fourth article we derive a new relationship between the generalized Bernoulli polynomials and the generalized Euler polynomials.

Mathematical modeling and optimal control of malaria

Malaria continues to infect millions and kill hundreds of thousands of people worldwide each year, despite over a century of research and attempts to control and eliminate this infectious disease. Challenges such as the development and spread of drug resistant malaria parasites, insecticide resistance to mosquitoes, climate change, the presence of individuals with subpatent malaria infections which normally are asymptomatic and behavioral plasticity in the mosquito hinder the prospects of malaria control and elimination. In this thesis, mathematical models of malaria transmission and control that address the role of drug resistance, immunity, iron supplementation and anemia, immigration and visitation, and the presence of asymptomatic carriers in malaria transmission are developed. A within-host mathematical model of severe Plasmodium falciparum malaria is also developed. First, a deterministic mathematical model for transmission of antimalarial drug resistance parasites with superinfection is developed and analyzed. The possibility of increase in the risk of superinfection due to iron supplementation and fortification in malaria endemic areas is discussed. The model results calls upon stakeholders to weigh the pros and cons of iron supplementation to individuals living in malaria endemic regions. Second, a deterministic model of transmission of drug resistant malaria parasites, including the inflow of infective immigrants, is presented and analyzed. The optimal control theory is applied to this model to study the impact of various malaria and vector control strategies, such as screening of immigrants, treatment of drug-sensitive infections, treatment of drug-resistant infections, and the use of insecticide-treated bed nets and indoor spraying of mosquitoes. The results of the model emphasize the importance of using a combination of all four controls tools for effective malaria intervention. Next, a two-age-class mathematical model for malaria transmission with asymptomatic carriers is developed and analyzed. In development of this model, four possible control measures are analyzed: the use of long-lasting treated mosquito nets, indoor residual spraying, screening and treatment of symptomatic, and screening and treatment of asymptomatic individuals. The numerical results show that a disease-free equilibrium can be attained if all four control measures are used. A common pitfall for most epidemiological models is the absence of real data; model-based conclusions have to be drawn based on uncertain parameter values. In this thesis, an approach to study the robustness of optimal control solutions under such parameter uncertainty is presented. Numerical analysis of the optimal control problem in the presence of parameter uncertainty demonstrate the robustness of the optimal control approach that: when a comprehensive control strategy is used the main conclusions of the optimal control remain unchanged, even if inevitable variability remains in the control profiles. The results provide a promising framework for the design of cost-effective strategies for disease control with multiple interventions, even under considerable uncertainty of model parameters. Finally, a separate work modeling the within-host Plasmodium falciparum infection in humans is presented. The developed model allows re-infection of already-infected red blood cells. The model hypothesizes that in severe malaria due to parasite quest for survival and rapid multiplication, the Plasmodium falciparum can be absorbed in the already-infected red blood cells which accelerates the rupture rate and consequently cause anemia. Analysis of the model and parameter identifiability using Markov chain Monte Carlo methods is presented.

Optimal processing chain for waste power plant

This study is done to examine waste power plant’s optimal processing chain and it is important to consider from several points of view on why one option is better than the other. This is to insure that the right decision is made. Incineration of waste has devel-oped to be one decent option for waste disposal. There are several legislation matters and technical options to consider when starting up a waste power plant. From the tech-niques pretreatment, burner and flue gas cleaning are the biggest ones to consider. The treatment of incineration residues is important since it can be very harmful for the envi-ronment. The actual energy production from waste is not highly efficient and there are several harmful compounds emitted. Recycling of waste before incineration is not very typical and there are not many recycling options for materials that cannot be easily re-cycled to same product. Life cycle assessment is a good option for studying the envi-ronmental effect of the system. It has four phases that are part of the iterative study process. In this study the case environment is a waste power plant. The modeling of the plant is done with GaBi 6 software and the scope is from gate-to-grave. There are three different scenarios, from which the first and second are compared to each other to reach conclusions. Zero scenario is part of the study to demonstrate situation without the power plant. The power plant in this study is recycling some materials in scenario one and in scenario two even more materials and utilize the bottom ash more ways than one. The model has the substitutive processes for the materials when they are not recycled in the plant. The global warming potential results show that scenario one is the best option. The variable costs that have been considered tell the same result. The conclusion is that the waste power plant should not recycle more and utilize bottom ash in a number of ways. The area is not ready for that kind of utilization and production from recycled materials.