Competição inter familiar: exchange traded funds e fundos de investimentos passivos

Com o ETF passando a ser utilizado por investidores mais sofisticados e com a possibilidade de passar a ganhar representatividade, seja para uma estratégia passiva ou para uma estratégia combinada com ativos de maior risco e mais especializados, este paper busca explicar e justificar a coexistência destes veículos, que tem objetivos semelhantes, mas com estruturas diferentes. Com este objetivo, o estudo busca analisar o comportamento e a eficácia dos produtos passivos de investimentos - fundos classificados como ETF´s (sigla para Exchange-Traded Fund) e Fundos Mútuos Passivos no mercado brasileiro. Buscamos avaliar comparativamente, demonstrando diferenciações dos produtos do ponto de vista técnico, validando o comportamento dos gestores em relação a gestão passiva e de produto para os investidores finais. Apesar de literatura acadêmica recente sobre a comparatividade, o estudo busca elucidar possíveis oportunidades e aspectos relevantes para os investidores. Não é objetivo deste trabalho fazer relação comparativa entre produtos ativos de ações e os ETF´s no Brasil, apenas detalharemos o retorno obtido nos últimos períodos. O trabalho demonstra, com exemplos númericos, que o ETF torna-se um instrumento atrativo aos investidores na medida do aproveitamento de suas potencialidades, fato este com evolução relevante nos mercados da Europa e Estados Unidos, principalmente.

Controle Adaptativo Robusto para Filtros Ativos de Potência Paralelo

Conventional control strategies used in shunt active power filters (SAPF) employs real-time instantaneous harmonic detection schemes which is usually implements with digital filters. This increase the number of current sensors on the filter structure which results in high costs. Furthermore, these detection schemes introduce time delays which can deteriorate the harmonic compensation performance. Differently from the conventional control schemes, this paper proposes a non-standard control strategy which indirectly regulates the phase currents of the power mains. The reference currents of system are generated by the dc-link voltage controller and is based on the active power balance of SAPF system. The reference currents are aligned to the phase angle of the power mains voltage vector which is obtained by using a dq phase locked loop (PLL) system. The current control strategy is implemented by an adaptive pole placement control strategy integrated to a variable structure control scheme (VS-APPC). In the VS-APPC, the internal model principle (IMP) of reference currents is used for achieving the zero steady state tracking error of the power system currents. This forces the phase current of the system mains to be sinusoidal with low harmonics content. Moreover, the current controllers are implemented on the stationary reference frame to avoid transformations to the mains voltage vector reference coordinates. This proposed current control strategy enhance the performance of SAPF with fast transient response and robustness to parametric uncertainties. Experimental results are showing for determining the effectiveness of SAPF proposed control system

Estratégia de controle robusto para filtro ativo paralelo sem detecção de harmônicos de correntes

Conventional control strategies used in shunt active power filters (SAPF) employs real-time instantaneous harmonic detection schemes which is usually implements with digital filters. This increase the number of current sensors on the filter structure which results in high costs. Furthermore, these detection schemes introduce time delays which can deteriorate the harmonic compensation performance. Differently from the conventional control schemes, this paper proposes a non-standard control strategy which indirectly regulates the phase currents of the power mains. The reference currents of system are generated by the dc-link voltage controller and is based on the active power balance of SAPF system. The reference currents are aligned to the phase angle of the power mains voltage vector which is obtained by using a dq phase locked loop (PLL) system. The current control strategy is implemented by an adaptive pole placement control strategy integrated to a variable structure control scheme (VS¡APPC). In the VS¡APPC, the internal model principle (IMP) of reference currents is used for achieving the zero steady state tracking error of the power system currents. This forces the phase current of the system mains to be sinusoidal with low harmonics content. Moreover, the current controllers are implemented on the stationary reference frame to avoid transformations to the mains voltage vector reference coordinates. This proposed current control strategy enhance the performance of SAPF with fast transient response and robustness to parametric uncertainties. Experimental results are showing for determining the effectiveness of SAPF proposed control system

Metodologia para rastreamento com modificação dos zeros e rejeição de distúrbio aplicada a sistemas incertos

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

Controle ótimo H∞ de sistemas não-lineares com modelos fuzzy takagi-sugeno

Neste trabalho é proposta uma metodologia de rastreamento de sinais e rejeição de distúrbios aplicada a sistemas não-lineares. Para o projeto do sistema de rastreamento, projeta-se os controladores fuzzy M(a) e N(a) que minimizam o limitante superior da norma H∞ entre o sinal de referência r(t) e o sinal de erro de rastreamento e(t), sendo e(t) a diferença entre a entrada de referência e a saída do sistema z(t). No método de rejeição de distúrbio utiliza-se a realimentação dinâmica da saída através de um controlador fuzzy Kc(a) que minimiza o limitante superior da norma H∞ entre o sinal de entrada exógena w(t) e o sinal de saída z(t). O procedimento de projeto proposto considera as não-linearidades da planta através dos modelos fuzzy Takagi-Sugeno. Os métodos são equacionados utilizando-se inequações matriciais lineares (LMIs), que quando factíveis, podem ser facilmente solucionados por algoritmos de convergência polinomial. Por fim, um exemplo ilustra a viabilidade da metodologia proposta.

Dynamic analysis of a new piezoelectric flextensional actuator using the J1-J4 optical interferometric method

Piezoelectric actuators are widely used in positioning systems which demand high resolution such as scanning microscopy, fast mirror scanners, vibration cancellation, cell manipulation, etc. In this work a piezoelectric flextensional actuator (PFA), designed with the topology optimization method, is experimentally characterized by the measurement of its nanometric displacements using a Michelson interferometer. Because this detection process is non-linear, adequate techniques must be applied to obtain a linear relationship between an output electrical signal and the induced optical phase shift. Ideally, the bias phase shift in the interferometer should remain constant, but in practice it suffers from fading. The J1-J4 spectral analysis method provides a linear and direct measurement of dynamic phase shift in a no-feedback and no-phase bias optical homodyne interferometer. PFA application such as micromanipulation in biotechnology demands fast and precise movements. So, in order to operate with arbitrary control signals the PFA must have frequency bandwidth of several kHz. However as the natural frequencies of the PFA are low, unwanted dynamics of the structure are often a problem, especially for scanning motion, but also if trajectories have to be followed with high velocities, because of the tracking error phenomenon. So the PFA must be designed in such a manner that the first mechanical resonance occurs far beyond this band. Thus it is important to know all the PFA resonance frequencies. In this work the linearity and frequency response of the PFA are evaluated up to 50 kHz using optical interferometry and the J1-J4 method.

Necessary and sufficient condition for generalized passivity, passification and application to multivariable adaptive systems

Recently, a generalized passivity concept for linear multivariable systems was obtained which allows circumventing the restrictiveness of the usual passivity concept. The latter is associated with the classical SPR (Strictly Positive Real) condition whereas the new concept of passivity is associated with the so called WSPR condition and its advantage in multivariable systems is that it does not require a restrictive symmetry condition of SPR systems. As a result, it allows the design of multivariable adaptive control that, unlike some existing factorization approaches, does not imply in additional overparameterization of the adaptive controller. In this paper, we complete a previously established WSPR sufficient condition and prove that it is also necessary. We also propose some methods of passification by either premultiplying the system output tracking error vector or the system input vector by an adequate passifying matrix multiplier, so that the resulting input/output transfer function becomes WSPR. The efficiency of our proposals are illustrated by simulation utilizing a well known robotics adaptive visual servoing problem. © 2011 IFAC.

Sensor em fibra óptica aplicado à caracterização de atuadores piezoelétricos flextensionais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Design and Optimization of Four-dimensional Cone-beam Computed Tomography in Image-guided Radiation Therapy

The influence of respiratory motion on patient anatomy poses a challenge to accurate radiation therapy, especially in lung cancer treatment. Modern radiation therapy planning uses models of tumor respiratory motion to account for target motion in targeting. The tumor motion model can be verified on a per-treatment session basis with four-dimensional cone-beam computed tomography (4D-CBCT), which acquires an image set of the dynamic target throughout the respiratory cycle during the therapy session. 4D-CBCT is undersampled if the scan time is too short. However, short scan time is desirable in clinical practice to reduce patient setup time. This dissertation presents the design and optimization of 4D-CBCT to reduce the impact of undersampling artifacts with short scan times. This work measures the impact of undersampling artifacts on the accuracy of target motion measurement under different sampling conditions and for various object sizes and motions. The results provide a minimum scan time such that the target tracking error is less than a specified tolerance. This work also presents new image reconstruction algorithms for reducing undersampling artifacts in undersampled datasets by taking advantage of the assumption that the relevant motion of interest is contained within a volume-of-interest (VOI). It is shown that the VOI-based reconstruction provides more accurate image intensity than standard reconstruction. The VOI-based reconstruction produced 43% fewer least-squares error inside the VOI and 84% fewer error throughout the image in a study designed to simulate target motion. The VOI-based reconstruction approach can reduce acquisition time and improve image quality in 4D-CBCT.

Uma formulação por média-variância multi-período para o erro de rastreamento em carteiras de investimento.

Neste trabalho, deriva-se uma política de escolha ótima baseada na análise de média-variância para o Erro de Rastreamento no cenário Multi-período - ERM -. Referindo-se ao ERM como a diferença entre o capital acumulado pela carteira escolhida e o acumulado pela carteira de um benchmark. Assim, foi aplicada a metodologia abordada por Li-Ng em [24] para a solução analítica, obtendo-se dessa maneira uma generalização do caso uniperíodo introduzido por Roll em [38]. Em seguida, selecionou-se um portfólio do mercado de ações brasileiro baseado no fator de orrelação, e adotou-se como benchmark o índice da bolsa de valores do estado de São Paulo IBOVESPA, além da taxa básica de juros SELIC como ativo de renda fixa. Dois casos foram abordados: carteira composta somente de ativos de risco, caso I, e carteira com um ativo sem risco indexado à SELIC - e ativos do caso I (caso II).

Improved joint control using a genetic algorithm for a humanoid robot

This paper describes experiments conducted in order to simultaneously tune 15 joints of a humanoid robot. Two Genetic Algorithm (GA) based tuning methods were developed and compared against a hand-tuned solution. The system was tuned in order to minimise tracking error while at the same time achieve smooth joint motion. Joint smoothness is crucial for the accurate calculation of online ZMP estimation, a prerequisite for a closedloop dynamically stable humanoid walking gait. Results in both simulation and on a real robot are presented, demonstrating the superior smoothness performance of the GA based methods.

Simulation of robot manipulator control strategies

The high capital cost of robots prohibit their economic application. One method of making their application more economic is to increase their operating speed. This can be done in a number of ways e.g. redesign of robot geometry, improving actuators and improving control system design. In this thesis the control system design is considered. It is identified in the literature review that two aspects in relation to robot control system design have not been addressed in any great detail by previous researchers. These are: how significant are the coupling terms in the dynamic equations of the robot and what is the effect of the coupling terms on the performance of a number of typical independent axis control schemes?. The work in this thesis addresses these two questions in detail. A program was designed to automatically calculate the path and trajectory and to calculate the significance of the coupling terms in an example application of a robot manipulator tracking a part on a moving conveyor. The inertial and velocity coupling terms have been shown to be of significance when the manipulator was considered to be directly driven. A simulation of the robot manipulator following the planned trajectory has been established in order to assess the performance of the independent axis control strategies. The inertial coupling was shown to reinforce the control torque at the corner points of the trajectory, where there was an abrupt demand in acceleration in each axis but of opposite sign. This reduced the tracking error however, this effect was not controllable. A second effect was due to the velocity coupling terms. At high trajectory speeds it was shown, by means of a root locus analysis, that the velocity coupling terms caused the system to become unstable.

A learning feed-forward current controller for linear reciprocating vapor compressors

Direct-drive linear reciprocating compressors offer numerous advantages over conventional counterparts which are usually driven by a rotary induction motor via a crank shaft. However, to ensure efficient and reliable operation under all conditions, it is essential that motor current of a linear compressor follows a sinusoidal current command with a frequency which matches the system resonant frequency. The design of a high-performance current controller for linear compressor drive presents a challenge since the system is highly nonlinear, and an effective solution must be low cost. In this paper, a learning feed-forward current controller for the linear compressors is proposed. It comprises a conventional feedback proportional-integral controller and a feed-forward B-spline neural network (BSNN). The feed-forward BSNN is trained online and in real time in order to minimize the current tracking error. Extensive simulation and experiment results with a prototype linear compressor show that the proposed current controller exhibits high steady state and transient performance. © 2009 IEEE.

A hybrid current controller for linear reciprocating vapor compressors

Direct-drive linear reciprocating compressors offer numerous advantages over conventional counterparts which are usually driven by a rotary induction motor via crank shaft However, to ensure efficient and reliable operation under all conditions, it is essential that the motor current of the linear compressor follows a sinusoidal command profile with a frequency which matches the system resonant frequency. This paper describes a hybrid current controller for the linear compressors. It comprises a conventional proportional-integral (PI) controller, and a B-spline neural network compensator which is trained on-line and in real-time in order to minimize the current tracking error under all conditions with uncertain disturbances. It has been shown that the hybrid current controller has a superior steady-state and transient performance over the conventional carrier based PI controller. The performance of the proposed hybrid controller has been demonstrated by extensive simulations and experiments. It has also been shown that the linear compressor operates stably under the current feedback control and the piston stroke can be adjusted by varying the amplitude of the current command. © 2007 IEEE.

A probabilistic indirect adaptive control for systems with input-dependent noise

A probabilistic indirect adaptive controller is proposed for the general nonlinear multivariate class of discrete time system. The proposed probabilistic framework incorporates input–dependent noise prediction parameters in the derivation of the optimal control law. Moreover, because noise can be nonstationary in practice, the proposed adaptive control algorithm provides an elegant method for estimating and tracking the noise. For illustration purposes, the developed method is applied to the affine class of nonlinear multivariate discrete time systems and the desired result is obtained: the optimal control law is determined by solving a cubic equation and the distribution of the tracking error is shown to be Gaussian with zero mean. The efficiency of the proposed scheme is demonstrated numerically through the simulation of an affine nonlinear system.