A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével = Modelling of the carbon dioxide emissions of a power plant, using real options

A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein-Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. ______ The carbon-dioxide emissions of an EU Emissions Trading System participant, gas-fuelled power generator are modelled by using real options for four underlying instruments (peak and off-peak electricity, gas, emission quota). This profit-maximizing power plant operates and emits pollution only if its profit (spread) on energy produced is positive. The future emissions can be estimated by a sum of European binary-spread options. Based on the real-option model, the expected value of emissions and its probability-density function can be deducted. Also calculable is the Value at Risk of emission quota position, which gives the cost of compliance at a given confidence level. To model the prices of the four underlying instruments, the geometric Ornstein-Uhlenbeck process is supposed and matched to public available price data from EEX. Based on the simulation model, the effects of various technological and market factors are analysed for the emissions level and the cost of compliance.

Experimental and Analytical Methodologies for Predicting Peak Loads on Building Envelopes and Roofing Systems

The performance of building envelopes and roofing systems significantly depends on accurate knowledge of wind loads and the response of envelope components under realistic wind conditions. Wind tunnel testing is a well-established practice to determine wind loads on structures. For small structures much larger model scales are needed than for large structures, to maintain modeling accuracy and minimize Reynolds number effects. In these circumstances the ability to obtain a large enough turbulence integral scale is usually compromised by the limited dimensions of the wind tunnel meaning that it is not possible to simulate the low frequency end of the turbulence spectrum. Such flows are called flows with Partial Turbulence Simulation. In this dissertation, the test procedure and scaling requirements for tests in partial turbulence simulation are discussed. A theoretical method is proposed for including the effects of low-frequency turbulences in the post-test analysis. In this theory the turbulence spectrum is divided into two distinct statistical processes, one at high frequencies which can be simulated in the wind tunnel, and one at low frequencies which can be treated in a quasi-steady manner. The joint probability of load resulting from the two processes is derived from which full-scale equivalent peak pressure coefficients can be obtained. The efficacy of the method is proved by comparing predicted data derived from tests on large-scale models of the Silsoe Cube and Texas-Tech University buildings in Wall of Wind facility at Florida International University with the available full-scale data. For multi-layer building envelopes such as rain-screen walls, roof pavers, and vented energy efficient walls not only peak wind loads but also their spatial gradients are important. Wind permeable roof claddings like roof pavers are not well dealt with in many existing building codes and standards. Large-scale experiments were carried out to investigate the wind loading on concrete pavers including wind blow-off tests and pressure measurements. Simplified guidelines were developed for design of loose-laid roof pavers against wind uplift. The guidelines are formatted so that use can be made of the existing information in codes and standards such as ASCE 7-10 on pressure coefficients on components and cladding.

Stochastic descriptors to study the fate and potential of naive T cell clonotypes in the periphery

The population of naive T cells in the periphery is best described by determining both its T cell receptor diversity, or number of clonotypes, and the sizes of its clonal subsets. In this paper, we make use of a previously introduced mathematical model of naive T cell homeostasis, to study the fate and potential of naive T cell clonotypes in the periphery. This is achieved by the introduction of several new stochastic descriptors for a given naive T cell clonotype, such as its maximum clonal size, the time to reach this maximum, the number of proliferation events required to reach this maximum, the rate of contraction of the clonotype during its way to extinction, as well as the time to a given number of proliferation events. Our results show that two fates can be identified for the dynamics of the clonotype: extinction in the short-term if the clonotype experiences too hostile a peripheral environment, or establishment in the periphery in the long-term. In this second case the probability mass function for the maximum clonal size is bimodal, with one mode near one and the other mode far away from it. Our model also indicates that the fate of a recent thymic emigrant (RTE) during its journey in the periphery has a clear stochastic component, where the probability of extinction cannot be neglected, even in a friendly but competitive environment. On the other hand, a greater deterministic behaviour can be expected in the potential size of the clonotype seeded by the RTE in the long-term, once it escapes extinction.

A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets

The aim of this paper is to suggest a simple methodology to be used by renewable power generators to bid in Spanish markets in order to minimize the cost of their imbalances. As it is known, the optimal bid depends on the probability distribution function of the energy to produce, of the probability distribution function of the future system imbalance and of its expected cost. We assume simple methods for estimating any of these parameters and, using actual data of 2014, we test the potential economic benefit for a wind generator from using our optimal bid instead of just the expected power generation. We find evidence that Spanish wind generators savings would be from 7% to 26%.

On the group delay statistics of few-mode fibres with intermediate linear mode coupling

We report an investigation on the statistics of group delay for few-mode fibres operating in the weak and strong linear coupling regimes as well as in the intermediate coupling regime. A single expression linking the standard deviation of the group delay spread to the fibre linear mode coupling is validated for any coupling regime, considering up to six linearly polarized guided modes. Furthermore, the study of the probability density function of the group delays allowed deriving and validating an analytical estimation for the maximum group delay spread as a function of linear mode coupling.

Bayesian Inference in Large-scale Problems

Many modern applications fall into the category of "large-scale" statistical problems, in which both the number of observations n and the number of features or parameters p may be large. Many existing methods focus on point estimation, despite the continued relevance of uncertainty quantification in the sciences, where the number of parameters to estimate often exceeds the sample size, despite huge increases in the value of n typically seen in many fields. Thus, the tendency in some areas of industry to dispense with traditional statistical analysis on the basis that "n=all" is of little relevance outside of certain narrow applications. The main result of the Big Data revolution in most fields has instead been to make computation much harder without reducing the importance of uncertainty quantification. Bayesian methods excel at uncertainty quantification, but often scale poorly relative to alternatives. This conflict between the statistical advantages of Bayesian procedures and their substantial computational disadvantages is perhaps the greatest challenge facing modern Bayesian statistics, and is the primary motivation for the work presented here.

Two general strategies for scaling Bayesian inference are considered. The first is the development of methods that lend themselves to faster computation, and the second is design and characterization of computational algorithms that scale better in n or p. In the first instance, the focus is on joint inference outside of the standard problem of multivariate continuous data that has been a major focus of previous theoretical work in this area. In the second area, we pursue strategies for improving the speed of Markov chain Monte Carlo algorithms, and characterizing their performance in large-scale settings. Throughout, the focus is on rigorous theoretical evaluation combined with empirical demonstrations of performance and concordance with the theory.

One topic we consider is modeling the joint distribution of multivariate categorical data, often summarized in a contingency table. Contingency table analysis routinely relies on log-linear models, with latent structure analysis providing a common alternative. Latent structure models lead to a reduced rank tensor factorization of the probability mass function for multivariate categorical data, while log-linear models achieve dimensionality reduction through sparsity. Little is known about the relationship between these notions of dimensionality reduction in the two paradigms. In Chapter 2, we derive several results relating the support of a log-linear model to nonnegative ranks of the associated probability tensor. Motivated by these findings, we propose a new collapsed Tucker class of tensor decompositions, which bridge existing PARAFAC and Tucker decompositions, providing a more flexible framework for parsimoniously characterizing multivariate categorical data. Taking a Bayesian approach to inference, we illustrate empirical advantages of the new decompositions.

Latent class models for the joint distribution of multivariate categorical, such as the PARAFAC decomposition, data play an important role in the analysis of population structure. In this context, the number of latent classes is interpreted as the number of genetically distinct subpopulations of an organism, an important factor in the analysis of evolutionary processes and conservation status. Existing methods focus on point estimates of the number of subpopulations, and lack robust uncertainty quantification. Moreover, whether the number of latent classes in these models is even an identified parameter is an open question. In Chapter 3, we show that when the model is properly specified, the correct number of subpopulations can be recovered almost surely. We then propose an alternative method for estimating the number of latent subpopulations that provides good quantification of uncertainty, and provide a simple procedure for verifying that the proposed method is consistent for the number of subpopulations. The performance of the model in estimating the number of subpopulations and other common population structure inference problems is assessed in simulations and a real data application.

In contingency table analysis, sparse data is frequently encountered for even modest numbers of variables, resulting in non-existence of maximum likelihood estimates. A common solution is to obtain regularized estimates of the parameters of a log-linear model. Bayesian methods provide a coherent approach to regularization, but are often computationally intensive. Conjugate priors ease computational demands, but the conjugate Diaconis--Ylvisaker priors for the parameters of log-linear models do not give rise to closed form credible regions, complicating posterior inference. In Chapter 4 we derive the optimal Gaussian approximation to the posterior for log-linear models with Diaconis--Ylvisaker priors, and provide convergence rate and finite-sample bounds for the Kullback-Leibler divergence between the exact posterior and the optimal Gaussian approximation. We demonstrate empirically in simulations and a real data application that the approximation is highly accurate, even in relatively small samples. The proposed approximation provides a computationally scalable and principled approach to regularized estimation and approximate Bayesian inference for log-linear models.

Another challenging and somewhat non-standard joint modeling problem is inference on tail dependence in stochastic processes. In applications where extreme dependence is of interest, data are almost always time-indexed. Existing methods for inference and modeling in this setting often cluster extreme events or choose window sizes with the goal of preserving temporal information. In Chapter 5, we propose an alternative paradigm for inference on tail dependence in stochastic processes with arbitrary temporal dependence structure in the extremes, based on the idea that the information on strength of tail dependence and the temporal structure in this dependence are both encoded in waiting times between exceedances of high thresholds. We construct a class of time-indexed stochastic processes with tail dependence obtained by endowing the support points in de Haan's spectral representation of max-stable processes with velocities and lifetimes. We extend Smith's model to these max-stable velocity processes and obtain the distribution of waiting times between extreme events at multiple locations. Motivated by this result, a new definition of tail dependence is proposed that is a function of the distribution of waiting times between threshold exceedances, and an inferential framework is constructed for estimating the strength of extremal dependence and quantifying uncertainty in this paradigm. The method is applied to climatological, financial, and electrophysiology data.

The remainder of this thesis focuses on posterior computation by Markov chain Monte Carlo. The Markov Chain Monte Carlo method is the dominant paradigm for posterior computation in Bayesian analysis. It has long been common to control computation time by making approximations to the Markov transition kernel. Comparatively little attention has been paid to convergence and estimation error in these approximating Markov Chains. In Chapter 6, we propose a framework for assessing when to use approximations in MCMC algorithms, and how much error in the transition kernel should be tolerated to obtain optimal estimation performance with respect to a specified loss function and computational budget. The results require only ergodicity of the exact kernel and control of the kernel approximation accuracy. The theoretical framework is applied to approximations based on random subsets of data, low-rank approximations of Gaussian processes, and a novel approximating Markov chain for discrete mixture models.

Data augmentation Gibbs samplers are arguably the most popular class of algorithm for approximately sampling from the posterior distribution for the parameters of generalized linear models. The truncated Normal and Polya-Gamma data augmentation samplers are standard examples for probit and logit links, respectively. Motivated by an important problem in quantitative advertising, in Chapter 7 we consider the application of these algorithms to modeling rare events. We show that when the sample size is large but the observed number of successes is small, these data augmentation samplers mix very slowly, with a spectral gap that converges to zero at a rate at least proportional to the reciprocal of the square root of the sample size up to a log factor. In simulation studies, moderate sample sizes result in high autocorrelations and small effective sample sizes. Similar empirical results are observed for related data augmentation samplers for multinomial logit and probit models. When applied to a real quantitative advertising dataset, the data augmentation samplers mix very poorly. Conversely, Hamiltonian Monte Carlo and a type of independence chain Metropolis algorithm show good mixing on the same dataset.

On Provable Algorithms for Determination of Continuous Protein Interdomain Motions from Residual Dipolar Couplings

Dynamics of biomolecules over various spatial and time scales are essential for biological functions such as molecular recognition, catalysis and signaling. However, reconstruction of biomolecular dynamics from experimental observables requires the determination of a conformational probability distribution. Unfortunately, these distributions cannot be fully constrained by the limited information from experiments, making the problem an ill-posed one in the terminology of Hadamard. The ill-posed nature of the problem comes from the fact that it has no unique solution. Multiple or even an infinite number of solutions may exist. To avoid the ill-posed nature, the problem needs to be regularized by making assumptions, which inevitably introduce biases into the result.

Here, I present two continuous probability density function approaches to solve an important inverse problem called the RDC trigonometric moment problem. By focusing on interdomain orientations we reduced the problem to determination of a distribution on the 3D rotational space from residual dipolar couplings (RDCs). We derived an analytical equation that relates alignment tensors of adjacent domains, which serves as the foundation of the two methods. In the first approach, the ill-posed nature of the problem was avoided by introducing a continuous distribution model, which enjoys a smoothness assumption. To find the optimal solution for the distribution, we also designed an efficient branch-and-bound algorithm that exploits the mathematical structure of the analytical solutions. The algorithm is guaranteed to find the distribution that best satisfies the analytical relationship. We observed good performance of the method when tested under various levels of experimental noise and when applied to two protein systems. The second approach avoids the use of any model by employing maximum entropy principles. This 'model-free' approach delivers the least biased result which presents our state of knowledge. In this approach, the solution is an exponential function of Lagrange multipliers. To determine the multipliers, a convex objective function is constructed. Consequently, the maximum entropy solution can be found easily by gradient descent methods. Both algorithms can be applied to biomolecular RDC data in general, including data from RNA and DNA molecules.

Numerical detection of the Gardner transition in a mean-field glass former.

Recent theoretical advances predict the existence, deep into the glass phase, of a novel phase transition, the so-called Gardner transition. This transition is associated with the emergence of a complex free energy landscape composed of many marginally stable sub-basins within a glass metabasin. In this study, we explore several methods to detect numerically the Gardner transition in a simple structural glass former, the infinite-range Mari-Kurchan model. The transition point is robustly located from three independent approaches: (i) the divergence of the characteristic relaxation time, (ii) the divergence of the caging susceptibility, and (iii) the abnormal tail in the probability distribution function of cage order parameters. We show that the numerical results are fully consistent with the theoretical expectation. The methods we propose may also be generalized to more realistic numerical models as well as to experimental systems.

An on-line application for ΔR calculation

A regional offset (ΔR) from the marine radiocarbon calibration curve is widely used in calibration software (eg CALIB, OxCal) but often is not calculated correctly. While relatively straightforward for known age samples, such as mollusks from museum collections or banded corals, it is more difficult to calculate ΔR and the uncertainty in ΔR for 14C dates on paired marine and terrestrial samples. Previous researchers have often utilized classical intercept methods (Reimer et al. 2002; Dewar et al. 2012, Russell et al. 2011) but this does not account for the full calibrated probability density function (PDF). We have developed an on-line application for performing these calculations for known age, paired marine and terrestrial 14C dates, or U-Th dated corals which is available at http://calib.qub.ac.uk/deltar

Time-resolved dosimetric verification of respiratory-gated radiotherapy exposures using a high-resolution 2D ionisation chamber array

The aim of this work was to track and verify the delivery of respiratory-gated irradiations, performed with three versions of TrueBeam linac, using a novel phantom arrangement that combined the OCTAVIUS® SRS 1000 array with a moving platform. The platform was programmed to generate sinusoidal motion of the array. This motion was tracked using the real-time position management (RPM) system and four amplitude gating options were employed to interrupt MV beam delivery when the platform was not located within set limits. Time-resolved spatial information extracted from analysis of x-ray fluences measured by the array was compared to the programmed motion of the platform and to the trace recorded by the RPM system during the delivery of the x-ray field. Temporal data recorded by the phantom and the RPM system were validated against trajectory log files, recorded by the linac during the irradiation, as well as oscilloscope waveforms recorded from the linac target signal. Gamma analysis was employed to compare time-integrated 2D x-ray dose fluences with theoretical fluences derived from the probability density function for each of the gating settings applied, where gamma criteria of 2%/2 mm, 1%/1 mm and 0.5%/0.5 mm were used to evaluate the limitations of the RPM system. Excellent agreement was observed in the analysis of spatial information extracted from the SRS 1000 array measurements. Comparisons of the average platform position with the expected position indicated absolute deviations of  <0.5 mm for all four gating settings. Differences were observed when comparing time-resolved beam-on data stored in the RPM files and trajectory logs to the true target signal waveforms. Trajectory log files underestimated the cycle time between consecutive beam-on windows by 10.0  ±  0.8 ms. All measured fluences achieved 100% pass-rates using gamma criteria of 2%/2 mm and 50% of the fluences achieved pass-rates  >90% when criteria of 0.5%/0.5 mm were used. Results using this novel phantom arrangement indicate that the RPM system is capable of accurately gating x-ray exposure during the delivery of a fixed-field treatment beam.

Modeling of Turbulent Natural Gas and Biogas Flames of the Delft Jet-in-Hot-Coflow Burner: Effects of Coflow Temperature, Fuel Temperature and Fuel Composition on the Flame Lift-Off Height

The structure of a turbulent non-premixed flame of a biogas fuel in a hot and diluted coflow mimicking moderate and intense low dilution (MILD) combustion is studied numerically. Biogas fuel is obtained by dilution of Dutch natural gas (DNG) with CO2. The results of biogas combustion are compared with those of DNG combustion in the Delft Jet-in-Hot-Coflow (DJHC) burner. New experimental measurements of lift-off height and of velocity and temperature statistics have been made to provide a database for evaluating the capability of numerical methods in predicting the flame structure. Compared to the lift-off height of the DNG flame, addition of 30 % carbon dioxide to the fuel increases the lift-off height by less than 15 %. Numerical simulations are conducted by solving the RANS equations using Reynolds stress model (RSM) as turbulence model in combination with EDC (Eddy Dissipation Concept) and transported probability density function (PDF) as turbulence-chemistry interaction models. The DRM19 reduced mechanism is used as chemical kinetics with the EDC model. A tabulated chemistry model based on the Flamelet Generated Manifold (FGM) is adopted in the PDF method. The table describes a non-adiabatic three stream mixing problem between fuel, coflow and ambient air based on igniting counterflow diffusion flamelets. The results show that the EDC/DRM19 and PDF/FGM models predict the experimentally observed decreasing trend of lift-off height with increase of the coflow temperature. Although more detailed chemistry is used with EDC, the temperature fluctuations at the coflow inlet (approximately 100K) cannot be included resulting in a significant overprediction of the flame temperature. Only the PDF modeling results with temperature fluctuations predict the correct mean temperature profiles of the biogas case and compare well with the experimental temperature distributions.

Conditional moment closure for chemical reactions in laminar chaotic flows

We implement conditional moment closure (CMC) for simulation of chemical reactions in laminar chaotic flows. The CMC approach predicts the expected concentration of reactive species, conditional upon the concentration of a corresponding nonreactive scalar. Closure is obtained by neglecting the difference between the local concentration of the reactive scalar and its conditional average. We first use a Monte Carlo method to calculate the evolution of the moments of a conserved scalar; we then reconstruct the corresponding probability density function and dissipation rate. Finally, the concentrations of the reactive scalars are determined. The results are compared (and show excellent agreement) with full numerical simulations of the reaction processes in a chaotic laminar flow. This is a preprint of an article published in AlChE Journal copyright (2007) American Institute of Chemical Engineers: http://www3.interscience.wiley.com/

Problems in number theory and hyperbolic geometry

In the first part of this thesis we generalize a theorem of Kiming and Olsson concerning the existence of Ramanujan-type congruences for a class of eta quotients. Specifically, we consider a class of generating functions analogous to the generating function of the partition function and establish a bound on the primes ℓ for which their coefficients c(n) obey congruences of the form c(ℓn + a) ≡ 0 (mod ℓ). We use this last result to answer a question of H.C. Chan. In the second part of this thesis [S2] we explore a natural analog of D. Calegari’s result that there are no hyperbolic once-punctured torus bundles over S^1 with trace field having a real place. We prove a contrasting theorem showing the existence of several infinite families of pairs (−χ, p) such that there exist hyperbolic surface bundles over S^1 with trace field of having a real place and with fiber having p punctures and Euler characteristic χ. This supports our conjecture that with finitely many known exceptions there exist such examples for each pair ( −χ, p).

Abordagem rítmica probabilística aplicada em análises de fluxo e estabilidade de taludes

Tese (doutorado)—Universidade de Brasília, Faculdade de Tecnologia, Programa de Pós-Graduação em Geotecnia, 2015.

Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations.

The present work proposes a Hypothesis Test to detect a shift in the variance of a series of independent normal observations using a statistic based on the p-values of the F distribution. Since the probability distribution function of this statistic is intractable, critical values were we estimated numerically through extensive simulation. A regression approach was used to simplify the quantile evaluation and extrapolation. The power of the test was simulated using Monte Carlo simulation, and the results were compared with the Chen test (1997) to prove its efficiency. Time series analysts might find the test useful to address homoscedasticity studies were at most one change might be involved.