Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

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

An efficient Hopfield network to solve economic dispatch problems with transmission system representation

Economic dispatch (ED) problems have recently been solved by artificial neural network approaches. Systems based on artificial neural networks have high computational rates due to the use of a massive number of simple processing elements and the high degree of connectivity between these elements. The ability of neural networks to realize some complex non-linear function makes them attractive for system optimization. All ED models solved by neural approaches described in the literature fail to represent the transmission system. Therefore, such procedures may calculate dispatch policies, which do not take into account important active power constraints. Another drawback pointed out in the literature is that some of the neural approaches fail to converge efficiently toward feasible equilibrium points. A modified Hopfield approach designed to solve ED problems with transmission system representation is presented in this paper. The transmission system is represented through linear load flow equations and constraints on active power flows. The internal parameters of such modified Hopfield networks are computed using the valid-subspace technique. These parameters guarantee the network convergence to feasible equilibrium points, which represent the solution for the ED problem. Simulation results and a sensitivity analysis involving IEEE 14-bus test system are presented to illustrate efficiency of the proposed approach. (C) 2004 Elsevier Ltd. All rights reserved.

Design and analysis of an efficient neural network model for solving nonlinear optimization problems

This paper presents an efficient approach based on a recurrent neural network for solving constrained nonlinear optimization. More specifically, a modified Hopfield network is developed, and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the convergence of the network to the equilibrium points that represent an optimal feasible solution. The main advantage of the developed network is that it handles optimization and constraint terms in different stages with no interference from each other. Moreover, the proposed approach does not require specification for penalty and weighting parameters for its initialization. A study of the modified Hopfield model is also developed to analyse its stability and convergence. Simulation results are provided to demonstrate the performance of the proposed neural network.

Neural network based estimation of torque in induction motors for real-time applications

Induction motors are largely used in several industry sectors. The selection of an induction motor has still been inaccurate because in most of the cases the load behavior in its shaft is completely unknown. The proposal of this article is to use artificial neural networks for torque estimation with the purpose of best selecting the induction motors rather than conventional methods, which use classical identification techniques and mechanical load modeling. Since proposed approach estimates the torque behavior from the transient to the steady state, one of its main contributions is the potential to also be implemented in control schemes for real-time applications. Simulation results are also presented to validate the proposed approach.

Designing a modified Hopfield network to solve an Economic Dispatch problem with nonlinear cost function

Economic Dispatch (ED) problems have recently been solved by artificial neural networks approaches. In most of these dispatch models, the cost function must be linear or quadratic. Therefore, functions that have several minimum points represent a problem to the simulation since these approaches have not accepted nonlinear cost function. Another drawback pointed out in the literature is that some of these neural approaches fail to converge efficiently towards feasible equilibrium points. This paper discusses the application of a modified Hopfield architecture for solving ED problems defined by nonlinear cost function. The internal parameters of the neural network adopted here are computed using the valid-subspace technique, which guarantees convergence to equilibrium points that represent a solution for the ED problem. Simulation results and a comparative analysis involving a 3-bus test system are presented to illustrate efficiency of the proposed approach.

Modeling thermal conductivity, specific heat, and density of milk: A neural network approach

The accurate determination of thermophysical properties of milk is very important for design, simulation, optimization, and control of food processing such as evaporation, heat exchanging, spray drying, and so forth. Generally, polynomial methods are used for prediction of these properties based on empirical correlation to experimental data. Artificial neural networks are better Suited for processing noisy and extensive knowledge indexing. This article proposed the application of neural networks for prediction of specific heat, thermal conductivity, and density of milk with temperature ranged from 2.0 to 71.0degreesC, 72.0 to 92.0% of water content (w/w), and 1.350 to 7.822% of fat content (w/w). Artificial neural networks presented a better prediction capability of specific heat, thermal conductivity, and density of milk than polynomial modeling. It showed a reasonable alternative to empirical modeling for thermophysical properties of foods.

Smart structures health monitoring using artificial neural network

This paper presents a non-model based technique to detect and locate structural damage with the use of artificial neural networks. This method utilizes high frequency structural excitation (typically greater than 30 kHz) through a surface-bonded piezoelectric sensor/actuator to detect changes in structural point impedance due to the presence of damage. Two sets of artificial neural networks were developed in order to detect, locate and characterize structural damage by examining changes in the measured impedance curves. A simulation beam model was developed to verify the proposed method. An experiment was successfully performed in detecting damage on a 4-bay structure with bolted-joints, where the bolts were progressively released.

Recurrent neural network for induction motor speed estimation in industry applications

Many electronic drivers for the induction motor control are based on sensorless technologies. The proposal of this work Is to present an alternative approach of speed estimation, from transient to steady state, using artificial neural networks. The inputs of the network are the RMS voltage, current and speed estimated of the induction motor feedback to the input with a delay of n samples. Simulation results are also presented to validate the proposed approach. © 2006 IEEE.

Substitution-newton-Raphson method for the solution of electric network equations

The power flow problem, in transmission networks, has been well solved, for most cases, using Newton-Raphson method (NR) and its decoupled versions. Generally speaking, the solution of a non-linear system of equations refers to two methods: NR and Successive Substitution. The proposal of this paper is to evaluate the potential of the Substitution-Newton-Raphson Method (SNR), which combines both methods, on the solution of the power flow problem. Simulations were performed using a two-bus test network in order to observe the characteristics of these methods. It was verified that the NR is faster than SNR, in terms of convergence, considering non-stressed scenarios. For those cases where the power flow in the network is closed to the limits (stressed system), the SNR converges faster. This paper presents the power flow formulation of the SNR and describes its potential for its application in special cases such as stressed scenarios. © 2006 IEEE.

Environment mapping for mobile robots navigation using hierarchical neural network and omnivision

Autonomous robots must be able to learn and maintain models of their environments. In this context, the present work considers techniques for the classification and extraction of features from images in joined with artificial neural networks in order to use them in the system of mapping and localization of the mobile robot of Laboratory of Automation and Evolutive Computer (LACE). To do this, the robot uses a sensorial system composed for ultrasound sensors and a catadioptric vision system formed by a camera and a conical mirror. The mapping system is composed by three modules. Two of them will be presented in this paper: the classifier and the characterizer module. The first module uses a hierarchical neural network to do the classification; the second uses techiniques of extraction of attributes of images and recognition of invariant patterns extracted from the places images set. The neural network of the classifier module is structured in two layers, reason and intuition, and is trained to classify each place explored for the robot amongst four predefine classes. The final result of the exploration is the construction of a topological map of the explored environment. Results gotten through the simulation of the both modules of the mapping system will be presented in this paper. © 2008 IEEE.

Transmission network expansion planning considering phase-shifter transformers

This paper presents a novel mathematical model for the transmission network expansion planning problem. Main idea is to consider phase-shifter (PS) transformers as a new element of the transmission system expansion together with other traditional components such as transmission lines and conventional transformers. In this way, PS are added in order to redistribute active power flows in the system and, consequently, to diminish the total investment costs due to new transmission lines. Proposed mathematical model presents the structure of a mixed-integer nonlinear programming (MINLP) problem and is based on the standard DC model. In this paper, there is also applied a specialized genetic algorithm aimed at optimizing the allocation of candidate components in the network. Results obtained from computational simulations carried out with IEEE-24 bus system show an outstanding performance of the proposed methodology and model, indicating the technical viability of using these nonconventional devices during the planning process. Copyright © 2012 Celso T. Miasaki et al.

Artificial neural network model of discharge lamps in the power quality context

This paper presents a methodology for modeling high intensity discharge lamps based on artificial neural networks. The methodology provides a model which is able to represent the device operating in the frequency of distribution systems, facing events related to power quality. With the aid of a data acquisition system to monitor the laboratory experiment, and using $$\text{ MATLAB }^{\textregistered }$$ software, data was obtained for the training of two neural networks. These neural networks, working together, were able to represent with high fidelity the behavior of a discharge lamp. The excellent performance obtained by these models allowed the simulation of a group of lamps in a distribution system with shorter simulation time when compared to mathematical models. This fact justified the application of this family of loads in electric power systems. The representation of the device facing power quality disturbances also proved to be a useful tool for more complex studies in distribution systems. © 2013 Brazilian Society for Automatics - SBA.

Simulation in NS-2 of DNP3 protocol encapsulated over TCP/IP in smart grid applications

In dealing with computer networks, these allow the flow of information through the resources of various equipment's. This work describes the implementation through the encapsulation of Protocol DNP3, usually employed in Smart Grid communication, in a simulator of discrete events. The NS-2 is a simulator in open source of network events, that facilitate the development of communication networks scenarios considering the protocols involved, in wireless or wired technologies. The objective of this work is to develop the DNP3 protocol encapsulation over a TCP/IP in the in the discrete event Simulator NS-2, allowing an analysis of behavior of a middle or large network sized in Smart Grid applications. © 2013 IEEE.

A NS-2 simulation model for DNP3 protocol over IEEE 802.15.4 wireless protocol toward low cost simulation of Smart Grid applications

Faced with an imminent restructuring of the electric power system, over the past few years many countries have invested in a new paradigm known as Smart Grid. This paradigm targets optimization and automation of electric power network, using advanced information and communication technologies. Among the main communication protocols for Smart Grids we have the DNP3 protocol, which provides secure data transmission with moderate rates. The IEEE 802.15.4 is another communication protocol also widely used in Smart Grid, especially in the so-called Home Area Network (HAN). Thus, many applications of Smart Grid depends on the interaction of these two protocols. This paper proposes modeling, in the traditional network simulator NS-2, the integration of DNP3 protocol and the IEEE 802.15.4 wireless standard for low cost simulations of Smart Grid applications.