18 resultados para limit order book

em Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho"


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A lot sizing and scheduling problem prevalent in small market-driven foundries is studied. There are two related decision levels: (1) the furnace scheduling of metal alloy production, and (2) moulding machine planning which specifies the type and size of production lots. A mixed integer programming (MIP) formulation of the problem is proposed, but is impractical to solve in reasonable computing time for non-small instances. As a result, a faster relax-and-fix (RF) approach is developed that can also be used on a rolling horizon basis where only immediate-term schedules are implemented. As well as a MIP method to solve the basic RF approach, three variants of a local search method are also developed and tested using instances based on the literature. Finally, foundry-based tests with a real-order book resulted in a very substantial reduction of delivery delays and finished inventory, better use of capacity, and much faster schedule definition compared to the foundry's own practice. © 2006 Elsevier Ltd. All rights reserved.

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Electronic properties of disordered binary alloys are studied via the calculation of the average Density of States (DOS) in two and three dimensions. We propose a new approximate scheme that allows for the inclusion of local order effects in finite geometries and extrapolates the behavior of infinite systems following finite-size scaling ideas. We particularly investigate the limit of the Quantum Site Percolation regime described by a tight-binding Hamiltonian. This limit was chosen to probe the role of short range order (SRO) properties under extreme conditions. The method is numerically highly efficient and asymptotically exact in important limits, predicting the correct DOS structure as a function of the SRO parameters. Magnetic field effects can also be included in our model to study the interplay of local order and the shifted quantum interference driven by the field. The average DOS is highly sensitive to changes in the SRO properties and striking effects are observed when a magnetic field is applied near the segregated regime. The new effects observed are twofold: there is a reduction of the band width and the formation of a gap in the middle of the band, both as a consequence of destructive interference of electronic paths and the loss of coherence for particular values of the magnetic field. The above phenomena are periodic in the magnetic flux. For other limits that imply strong localization, the magnetic field produces minor changes in the structure of the average DOS. © World Scientific Publishing Company.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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The main target here is to determine the orbit of an artificial satellite, using signals of the GPS constellation and least squares algorithms implemented through sequential Givens rotations as a method of estimation, with the aim of improving the performance of the orbit estimation process and, at the same time, minimizing the computational procedure cost. Geopotential perturbations up to high order and direct solar radiation pressure were taken into account. It was also considered the position of the GPS antenna on the satellite body that, lately, consists of the influence of the satellite attitude motion in the orbit determination process. An application has been done, using real data from the Topex/Poseidon satellite, whose ephemeris is available at Internet. The best accuracy obtained in position was smaller than 5 meters for short period (2 hours) and smaller than 28 meters for long period (24 hours) orbit determination. In both cases, the perturbations mentioned before were taken into consideration and the analysis occurred without selective availability on the signals measurements.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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The usefulness of a scale-independent approach to identify Efimov states in three-body systems is shown by comparing such an approach with a realistic calculation in the case of three helium atoms. We show that the scaling limit is realized in practice in this case, and suggest its application to study other similar systems, including the case where two kinds of atoms are mixed. We also consider the observed large scattering length of the Rb-87 dimer to estimate the critical value of the ground-state energy of the corresponding trimer (greater than or equal to 1.5 mK), in order to allow for one Efimov state above the ground state.

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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In the 1980s D. Eisenbud and J. Harris posed the following question: What are the limits of Weierstrass points in families of curves degenerating to stable curves not of compact type? In the present article, we give a partial answer to this question. We consider the case where the limit curve has components intersecting at points in general position and where the degeneration occurs along a general direction. For this case we compute the limits of Weierstrass points of any order. However, for the usual Weierstrass points, of order one, we need to suppose that all of the components of the limit curve intersect each other.

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The photonic modes of Thue-Morse and Fibonacci lattices with generating layers A and B, of positive and negative indices of refraction, are calculated by the transfer-matrix technique. For Thue-Morse lattices, as well for periodic lattices with AB unit cell, the constructive interference of reflected waves, corresponding to the zero(th)-order gap, takes place when the optical paths in single layers A and B are commensurate. In contrast, for Fibonacci lattices of high order, the same phenomenon occurs when the ratio of those optical paths is close to the golden ratio. In the long wavelength limit, analytical expressions defining the edge frequencies of the zero(th) order gap are obtained for both quasi-periodic lattices. Furthermore, analytical expressions that define the gap edges around the zero(th) order gap are shown to correspond to the = 0 and = 0 conditions.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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By considering the long-wavelength limit of the regularized long wave (RLW) equation, we study its multiple-time higher-order evolution equations. As a first result, the equations of the Korteweg-de Vries hierarchy are shown to play a crucial role in providing a secularity-free perturbation theory in the specific case of a solitary-wave solution. Then, as a consequence, we show that the related perturbative series can be summed and gives exactly the solitary-wave solution of the RLW equation. Finally, some comments and considerations are made on the N-soliton solution, as well as on the limitations of applicability of the multiple-scale method in obtaining uniform perturbative series.

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The fixed-slope correlation between tetramer and trimer binding energies, observed by Tjon in the context of nuclear physics, is mainly a manifestation of the dominance of the two-nucleon force in the nuclear potential, which makes the four-body scale on the order of the three-body one. In a more general four-boson case, the correlation between tetramer and trimer binding energies has a non-fixed slope, which expresses the dependence on the new scale. The associated scaling function generates a family of Tjon lines. This conclusion relies on a recent study with weakly-bound four identical bosons, within a renormalized zero-range Faddeev-Yakubovsky formalism. © 2012 Springer-Verlag.

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Pós-graduação em Educação - IBRC