A comparison of electricity spot prices simulation using ARMA-GARCH and mean-reverting models

The aim of this work is to compare two families of mathematical models for their respective capability to capture the statistical properties of real electricity spot market time series. The first model family is ARMA-GARCH models and the second model family is mean-reverting Ornstein-Uhlenbeck models. These two models have been applied to two price series of Nordic Nord Pool spot market for electricity namely to the System prices and to the DenmarkW prices. The parameters of both models were calibrated from the real time series. After carrying out simulation with optimal models from both families we conclude that neither ARMA-GARCH models, nor conventional mean-reverting Ornstein-Uhlenbeck models, even when calibrated optimally with real electricity spot market price or return series, capture the statistical characteristics of the real series. But in the case of less spiky behavior (System prices), the mean-reverting Ornstein-Uhlenbeck model could be seen to partially succeeded in this task.

Some advances in mathematical models for preference relations

Preference relations, and their modeling, have played a crucial role in both social sciences and applied mathematics. A special category of preference relations is represented by cardinal preference relations, which are nothing other than relations which can also take into account the degree of relation. Preference relations play a pivotal role in most of multi criteria decision making methods and in the operational research. This thesis aims at showing some recent advances in their methodology. Actually, there are a number of open issues in this field and the contributions presented in this thesis can be grouped accordingly. The first issue regards the estimation of a weight vector given a preference relation. A new and efficient algorithm for estimating the priority vector of a reciprocal relation, i.e. a special type of preference relation, is going to be presented. The same section contains the proof that twenty methods already proposed in literature lead to unsatisfactory results as they employ a conflicting constraint in their optimization model. The second area of interest concerns consistency evaluation and it is possibly the kernel of the thesis. This thesis contains the proofs that some indices are equivalent and that therefore, some seemingly different formulae, end up leading to the very same result. Moreover, some numerical simulations are presented. The section ends with some consideration of a new method for fairly evaluating consistency. The third matter regards incomplete relations and how to estimate missing comparisons. This section reports a numerical study of the methods already proposed in literature and analyzes their behavior in different situations. The fourth, and last, topic, proposes a way to deal with group decision making by means of connecting preference relations with social network analysis.

Three mathematical models for bucking-to-order

Abstract

Map of the United States and territories showing the extent of public surveys and military reservations, land grant R.R., rail roads, canals, and other details ...

Kartta kuuluu A. E. Nordenskiöldin kokoelmaan

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.

Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

CFD simulation of complex phenomena containing suspensions and flow throughporous media

There is an increasing reliance on computers to solve complex engineering problems. This is because computers, in addition to supporting the development and implementation of adequate and clear models, can especially minimize the financial support required. The ability of computers to perform complex calculations at high speed has enabled the creation of highly complex systems to model real-world phenomena. The complexity of the fluid dynamics problem makes it difficult or impossible to solve equations of an object in a flow exactly. Approximate solutions can be obtained by construction and measurement of prototypes placed in a flow, or by use of a numerical simulation. Since usage of prototypes can be prohibitively time-consuming and expensive, many have turned to simulations to provide insight during the engineering process. In this case the simulation setup and parameters can be altered much more easily than one could with a real-world experiment. The objective of this research work is to develop numerical models for different suspensions (fiber suspensions, blood flow through microvessels and branching geometries, and magnetic fluids), and also fluid flow through porous media. The models will have merit as a scientific tool and will also have practical application in industries. Most of the numerical simulations were done by the commercial software, Fluent, and user defined functions were added to apply a multiscale method and magnetic field. The results from simulation of fiber suspension can elucidate the physics behind the break up of a fiber floc, opening the possibility for developing a meaningful numerical model of the fiber flow. The simulation of blood movement from an arteriole through a venule via a capillary showed that the model based on VOF can successfully predict the deformation and flow of RBCs in an arteriole. Furthermore, the result corresponds to the experimental observation illustrates that the RBC is deformed during the movement. The concluding remarks presented, provide a correct methodology and a mathematical and numerical framework for the simulation of blood flows in branching. Analysis of ferrofluids simulations indicate that the magnetic Soret effect can be even higher than the conventional one and its strength depends on the strength of magnetic field, confirmed experimentally by Völker and Odenbach. It was also shown that when a magnetic field is perpendicular to the temperature gradient, there will be additional increase in the heat transfer compared to the cases where the magnetic field is parallel to the temperature gradient. In addition, the statistical evaluation (Taguchi technique) on magnetic fluids showed that the temperature and initial concentration of the magnetic phase exert the maximum and minimum contribution to the thermodiffusion, respectively. In the simulation of flow through porous media, dimensionless pressure drop was studied at different Reynolds numbers, based on pore permeability and interstitial fluid velocity. The obtained results agreed well with the correlation of Macdonald et al. (1979) for the range of actual flow Reynolds studied. Furthermore, calculated results for the dispersion coefficients in the cylinder geometry were found to be in agreement with those of Seymour and Callaghan.

Mechanistic population Models in Biology: Model Derivation and Application

In general, models of ecological systems can be broadly categorized as ’top-down’ or ’bottom-up’ models, based on the hierarchical level that the model processes are formulated on. The structure of a top-down, also known as phenomenological, population model can be interpreted in terms of population characteristics, but it typically lacks an interpretation on a more basic level. In contrast, bottom-up, also known as mechanistic, population models are derived from assumptions and processes on a more basic level, which allows interpretation of the model parameters in terms of individual behavior. Both approaches, phenomenological and mechanistic modelling, can have their advantages and disadvantages in different situations. However, mechanistically derived models might be better at capturing the properties of the system at hand, and thus give more accurate predictions. In particular, when models are used for evolutionary studies, mechanistic models are more appropriate, since natural selection takes place on the individual level, and in mechanistic models the direct connection between model parameters and individual properties has already been established. The purpose of this thesis is twofold. Firstly, a systematical way to derive mechanistic discrete-time population models is presented. The derivation is based on combining explicitly modelled, continuous processes on the individual level within a reproductive period with a discrete-time maturation process between reproductive periods. Secondly, as an example of how evolutionary studies can be carried out in mechanistic models, the evolution of the timing of reproduction is investigated. Thus, these two lines of research, derivation of mechanistic population models and evolutionary studies, are complementary to each other.

Parallel-Operating Three-Phase Voltage Source Inverters – Circulating CurrentModeling, Analysis and Mitigation

The maximum realizable power throughput of power electronic converters may be limited or constrained by technical or economical considerations. One solution to this problemis to connect several power converter units in parallel. The parallel connection can be used to increase the current carrying capacity of the overall system beyond the ratings of individual power converter units. Thus, it is possible to use several lower-power converter units, produced in large quantities, as building blocks to construct high-power converters in a modular manner. High-power converters realized by using parallel connection are needed for example in multimegawatt wind power generation systems. Parallel connection of power converter units is also required in emerging applications such as photovoltaic and fuel cell power conversion. The parallel operation of power converter units is not, however, problem free. This is because parallel-operating units are subject to overcurrent stresses, which are caused by unequal load current sharing or currents that flow between the units. Commonly, the term ’circulatingcurrent’ is used to describe both the unequal load current sharing and the currents flowing between the units. Circulating currents, again, are caused by component tolerances and asynchronous operation of the parallel units. Parallel-operating units are also subject to stresses caused by unequal thermal stress distribution. Both of these problemscan, nevertheless, be handled with a proper circulating current control. To design an effective circulating current control system, we need information about circulating current dynamics. The dynamics of the circulating currents can be investigated by developing appropriate mathematical models. In this dissertation, circulating current models aredeveloped for two different types of parallel two-level three-phase inverter configurations. Themodels, which are developed for an arbitrary number of parallel units, provide a framework for analyzing circulating current generation mechanisms and developing circulating current control systems. In addition to developing circulating current models, modulation of parallel inverters is considered. It is illustrated that depending on the parallel inverter configuration and the modulation method applied, common-mode circulating currents may be excited as a consequence of the differential-mode circulating current control. To prevent the common-mode circulating currents that are caused by the modulation, a dual modulator method is introduced. The dual modulator basically consists of two independently operating modulators, the outputs of which eventually constitute the switching commands of the inverter. The two independently operating modulators are referred to as primary and secondary modulators. In its intended usage, the same voltage vector is fed to the primary modulators of each parallel unit, and the inputs of the secondary modulators are obtained from the circulating current controllers. To ensure that voltage commands obtained from the circulating current controllers are realizable, it must be guaranteed that the inverter is not driven into saturation by the primary modulator. The inverter saturation can be prevented by limiting the inputs of the primary and secondary modulators. Because of this, also a limitation algorithm is proposed. The operation of both the proposed dual modulator and the limitation algorithm is verified experimentally.

Bayesian methods for estimation, optimization and experimental design

Mathematical models often contain parameters that need to be calibrated from measured data. The emergence of efficient Markov Chain Monte Carlo (MCMC) methods has made the Bayesian approach a standard tool in quantifying the uncertainty in the parameters. With MCMC, the parameter estimation problem can be solved in a fully statistical manner, and the whole distribution of the parameters can be explored, instead of obtaining point estimates and using, e.g., Gaussian approximations. In this thesis, MCMC methods are applied to parameter estimation problems in chemical reaction engineering, population ecology, and climate modeling. Motivated by the climate model experiments, the methods are developed further to make them more suitable for problems where the model is computationally intensive. After the parameters are estimated, one can start to use the model for various tasks. Two such tasks are studied in this thesis: optimal design of experiments, where the task is to design the next measurements so that the parameter uncertainty is minimized, and model-based optimization, where a model-based quantity, such as the product yield in a chemical reaction model, is optimized. In this thesis, novel ways to perform these tasks are developed, based on the output of MCMC parameter estimation. A separate topic is dynamical state estimation, where the task is to estimate the dynamically changing model state, instead of static parameters. For example, in numerical weather prediction, an estimate of the state of the atmosphere must constantly be updated based on the recently obtained measurements. In this thesis, a novel hybrid state estimation method is developed, which combines elements from deterministic and random sampling methods.

Simulation and optimization tools in paper machine concept design

The last decade has shown that the global paper industry needs new processes and products in order to reassert its position in the industry. As the paper markets in Western Europe and North America have stabilized, the competition has tightened. Along with the development of more cost-effective processes and products, new process design methods are also required to break the old molds and create new ideas. This thesis discusses the development of a process design methodology based on simulation and optimization methods. A bi-level optimization problem and a solution procedure for it are formulated and illustrated. Computational models and simulation are used to illustrate the phenomena inside a real process and mathematical optimization is exploited to find out the best process structures and control principles for the process. Dynamic process models are used inside the bi-level optimization problem, which is assumed to be dynamic and multiobjective due to the nature of papermaking processes. The numerical experiments show that the bi-level optimization approach is useful for different kinds of problems related to process design and optimization. Here, the design methodology is applied to a constrained process area of a papermaking line. However, the same methodology is applicable to all types of industrial processes, e.g., the design of biorefiners, because the methodology is totally generalized and can be easily modified.

Linguistic models for decision support

Linguistic modelling is a rather new branch of mathematics that is still undergoing rapid development. It is closely related to fuzzy set theory and fuzzy logic, but knowledge and experience from other fields of mathematics, as well as other fields of science including linguistics and behavioral sciences, is also necessary to build appropriate mathematical models. This topic has received considerable attention as it provides tools for mathematical representation of the most common means of human communication - natural language. Adding a natural language level to mathematical models can provide an interface between the mathematical representation of the modelled system and the user of the model - one that is sufficiently easy to use and understand, but yet conveys all the information necessary to avoid misinterpretations. It is, however, not a trivial task and the link between the linguistic and computational level of such models has to be established and maintained properly during the whole modelling process. In this thesis, we focus on the relationship between the linguistic and the mathematical level of decision support models. We discuss several important issues concerning the mathematical representation of meaning of linguistic expressions, their transformation into the language of mathematics and the retranslation of mathematical outputs back into natural language. In the first part of the thesis, our view of the linguistic modelling for decision support is presented and the main guidelines for building linguistic models for real-life decision support that are the basis of our modeling methodology are outlined. From the theoretical point of view, the issues of representation of meaning of linguistic terms, computations with these representations and the retranslation process back into the linguistic level (linguistic approximation) are studied in this part of the thesis. We focus on the reasonability of operations with the meanings of linguistic terms, the correspondence of the linguistic and mathematical level of the models and on proper presentation of appropriate outputs. We also discuss several issues concerning the ethical aspects of decision support - particularly the loss of meaning due to the transformation of mathematical outputs into natural language and the issue or responsibility for the final decisions. In the second part several case studies of real-life problems are presented. These provide background and necessary context and motivation for the mathematical results and models presented in this part. A linguistic decision support model for disaster management is presented here – formulated as a fuzzy linear programming problem and a heuristic solution to it is proposed. Uncertainty of outputs, expert knowledge concerning disaster response practice and the necessity of obtaining outputs that are easy to interpret (and available in very short time) are reflected in the design of the model. Saaty’s analytic hierarchy process (AHP) is considered in two case studies - first in the context of the evaluation of works of art, where a weak consistency condition is introduced and an adaptation of AHP for large matrices of preference intensities is presented. The second AHP case-study deals with the fuzzified version of AHP and its use for evaluation purposes – particularly the integration of peer-review into the evaluation of R&D outputs is considered. In the context of HR management, we present a fuzzy rule based evaluation model (academic faculty evaluation is considered) constructed to provide outputs that do not require linguistic approximation and are easily transformed into graphical information. This is achieved by designing a specific form of fuzzy inference. Finally the last case study is from the area of humanities - psychological diagnostics is considered and a linguistic fuzzy model for the interpretation of outputs of multidimensional questionnaires is suggested. The issue of the quality of data in mathematical classification models is also studied here. A modification of the receiver operating characteristics (ROC) method is presented to reflect variable quality of data instances in the validation set during classifier performance assessment. Twelve publications on which the author participated are appended as a third part of this thesis. These summarize the mathematical results and provide a closer insight into the issues of the practicalapplications that are considered in the second part of the thesis.

Students’ Self-Report of Motivational Orientation and Teacher Evaluation on Coping and Motivational Orientation Related to Elementary Students’ Mathematical Problem Solving and Reading Comprehension

The present study examined the correlations between motivational orientation and students’ academic performance in mathematical problem solving and reading comprehension. The main purpose is to see if students’ intrinsic motivation is related to their actual performance in different subject areas, math and reading. In addition, two different informants, students and teachers, were adopted to check whether the correlation is different by different informants. Pearson’s correlational analysis was a major method, coupled with regression analysis. The result confirmed the significant positive correlation between students’ academic performance and students’ self-report and teacher evaluation on their motivational orientation respectively. Teacher evaluation turned out with more predictive value for the academic achievement in math and reading. Between the subjects, mathematical problem solving showed higher correlation with most of the motivational subscales than reading comprehension did. The highest correlation was found between teacher evaluation on task orientation and students’ mathematical problem solving. The positive relationship between intrinsic motivation and academic achievement was proved. The disparity between students ’ self-report and teacher evaluation on motivational orientation was also addressed with the need of further examination.