Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

Optimal design for active damping in sandwich structures using the Direct MultiSearch method

This paper addresses the problem of optimal positioning of surface bonded piezoelectric patches in sandwich plates with viscoelastic core and laminated face layers. The objective is to maximize a set of modal loss factors for a given frequency range using multiobjective topology optimization. Active damping is introduced through co-located negative velocity feedback control. The multiobjective topology optimization problem is solved using the Direct MultiSearch Method. An application to a simply supported sandwich plate is presented with results for the maximization of the first six modal loss factors. The influence of the finite element mesh is analyzed and the results are, to some extent, compared with those obtained using alternative single objective optimization.

Maximização da valorização energética em aterros sanitários recorrendo a equipamentos baseados no Ciclo Orgânico de Rankine (ORC)

Atualmente, os aterros sanitários representam uma solução para a gestão e tratamento dos resíduos sólidos urbanos. Da deposição, ocorrem duas formas de emissões ao longo do tempo, a produção de biogás e de lixiviados, que resultam sobretudo da decomposição da matéria orgânica. Um dos principais constituintes do biogás é o metano, o qual tem elevado poder calorífico. O presente trabalho aborda, a maximização da valorização energética em aterros sanitários, recorrendo a equipamentos baseados no Ciclo Orgânico de Rankine (ORC) para a produção de eletricidade. É apresentado como caso de estudo a central de valorização energética da Suldouro, em Sermonde, que produz eletricidade a partir do biogás resultante da decomposição da matéria orgânica depositada em aterro. O biogás é utilizado como combustível para os motogeradores utilizados para o seu aproveitamento energético, sendo que apenas cerca de 40% do potencial energético contido no biogás é transformado em eletricidade, registando-se perdas sobretudo nas emissões dos gases de exaustão e na água de arrefecimento dos motores. Para avaliação do potencial da recuperação energética dos gases de escape é avaliado o desempenho termodinâmico do ciclo ORC. Para tal foi desenvolvida uma ferramenta em MATLAB utilizando como modelo a configuração do ORC com recuperador de calor. O cálculo das propriedades termodinâmicas dos fluidos foi obtido através da criação de uma sub-rotina que chama o programa CoolProp. Este programa restitui propriedades como a entalpia, entropia, pressões e temperaturas em cada ponto do ciclo, permitindo assim ao utilizador otimizar o tempo na obtenção de resultados. A avaliação económica é fundamental na tomada de decisões por parte do investidor e dos financiadores do projeto. É então apresentada a análise económica e efetuada uma análise de sensibilidade, onde foram efetuadas variações nos vetores mais importantes de forma a poder avaliar-se o impacto em termos da sua rentabilidade. A ferramenta desenvolvida permite obter de forma prática, os três indicadores económicos extremamente influentes no que se refere à tomada de decisão. A utilização dos sistemas ORC e os seus benefícios não se esgotam na maximização dos aproveitamentos da valorização energética em aterros sanitários. Também a recuperação de calor para a produção de energia elétrica pode ter um impacto importante em muitos setores intensivos de energia, contribuindo significativamente para a redução do consumo e aumentando a eficiência de todo o processo de produção.

Gestão integrada de ativos num contexto real

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Manutenção

Aplicação do princípio das ondas de Elliott à bolsa portuguesa

Tese para a obtenção do grau de Doutor em Economia, especialidade de Economia da Empresa

Design of New Materials for Passive Vibration Control

The objective of this contribution is to extend the models of cellular/composite material design to nonlinear material behaviour and apply them for design of materials for passive vibration control. As a first step a computational tool allowing determination of optimised one-dimensional isolator behaviour was developed. This model can serve as a representation for idealised macroscopic behaviour. Optimal isolator behaviour to a given set of loads is obtained by generic probabilistic metaalgorithm, simulated annealing. Cost functional involves minimization of maximum response amplitude in a set of predefined time intervals and maximization of total energy absorbed in the first loop. Dependence of the global optimum on several combinations of leading parameters of the simulated annealing procedure, like neighbourhood definition and annealing schedule, is also studied and analyzed. Obtained results facilitate the design of elastomeric cellular materials with improved behaviour in terms of dynamic stiffness for passive vibration control.

A hierarquia dos determinantes da estrutura de capital em empresas portuguesas

Dissertação de Mestrado apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Contabilidade e Finanças, sob orientação de Adalmiro Álvaro Malheiro de Castro Andrade Pereira

Dificuldades encontradas no processo de internacionalização: estudo nas PME de mobiliário nos concelhos de Paços de Ferreira e Paredes

Dissertação de Mestrado apresentada ao Instituto Superior de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria, sob orientação do Mestre Adalmiro Álvaro Malheiro de Castro Andrade Pereira

Negotiation mechanism for self-organized scheduling system with collective intelligence

Current Manufacturing Systems challenges due to international economic crisis, market globalization and e-business trends, incites the development of intelligent systems to support decision making, which allows managers to concentrate on high-level tasks management while improving decision response and effectiveness towards manufacturing agility. This paper presents a novel negotiation mechanism for dynamic scheduling based on social and collective intelligence. Under the proposed negotiation mechanism, agents must interact and collaborate in order to improve the global schedule. Swarm Intelligence (SI) is considered a general aggregation term for several computational techniques, which use ideas and inspiration from the social behaviors of insects and other biological systems. This work is primarily concerned with negotiation, where multiple self-interested agents can reach agreement over the exchange of operations on competitive resources. Experimental analysis was performed in order to validate the influence of negotiation mechanism in the system performance and the SI technique. Empirical results and statistical evidence illustrate that the negotiation mechanism influence significantly the overall system performance and the effectiveness of Artificial Bee Colony for makespan minimization and on the machine occupation maximization.

Otimização de placas compósitas laminadas utilizando redes neuronais e enxames de partículas

Trabalho Final de mestrado para obtenção do grau de Mestre em engenharia Mecância

Multiobjective optimization of viscoelastic laminated sandwich structures using the Direct MultiSearch method

A multiobjective approach for optimization of passive damping for vibration reduction in sandwich structures is presented in this paper. Constrained optimization is conducted for maximization of modal loss factors and minimization of weight of sandwich beams and plates with elastic laminated constraining layers and a viscoelastic core, with layer thickness and material and laminate layer ply orientation angles as design variables. The problem is solved using the Direct MultiSearch (DMS) solver for derivative-free multiobjective optimization and solutions are compared with alternative ones obtained using genetic algorithms.

Strap repairs using embedded patches: numerical analysis and experimental results

Adhesively bonded repairs offer an attractive option for repair of aluminium structures, compared to more traditional methods such as fastening or welding. The single-strap (SS) and double-strap (DS) repairs are very straightforward to execute but stresses in the adhesive layer peak at the overlap ends. The DS repair requires both sides of the damaged structures to be reachable for repair, which is often not possible. In strap repairs, with the patches bonded at the outer surfaces, some limitations emerge such as the weight, aerodynamics and aesthetics. To minimize these effects, SS and DS repairs with embedded patches were evaluated in this work, such that the patches are flush with the adherends. For this purpose, in this work standard SS and DS repairs, and also with the patches embedded in the adherends, were tested under tension to allow the optimization of some repair variables such as the overlap length (LO) and type of adhesive, thus allowing the maximization of the repair strength. The effect of embedding the patch/patches on the fracture modes and failure loads was compared with finite elements (FE) analysis. The FE analysis was performed in ABAQUS® and cohesive zone modelling was used for the simulation of damage onset and growth in the adhesive layer. The comparison with the test data revealed an accurate prediction for all kinds of joints and provided some principles regarding this technique.

Effect of Adherend Recessing on the Tensile Strength of Single Lap Joints

Bonded joints are gaining importance in many fields of manufacturing owing to a significant number of advantages to the traditional methods. The single lap joint (SLJ) is the most commonly used method. The use of material or geometric changes in SLJ reduces peel and shear peak stresses at the damage initiation sites. In this work, the effect of adherend recessing at the overlap edges on the tensile strength of SLJ, bonded with a brittle adhesive, was experimentally and numerically studied. The recess dimensions (length and depth) were optimized for different values of overlap length (LO), thus allowing the maximization of the joint’s strength by the reduction of peak stresses at the overlap edges. The effect of recessing was also investigated by a finite element (FE) analysis and cohesive zone modelling (CZM), which allowed characterizing the entire fracture process and provided joint strength predictions. For this purpose, a static FE analysis was performed in ABAQUS1 considering geometric nonlinearities. In the end, the experimental and FE results revealed the accuracy of the FE analysis in predicting the strength and also provided some design principles for the strength improvement of SLJ using a relatively simple and straightforward technique.

Feature Discretization with Relevance and Mutual Information Criteria

Feature discretization (FD) techniques often yield adequate and compact representations of the data, suitable for machine learning and pattern recognition problems. These representations usually decrease the training time, yielding higher classification accuracy while allowing for humans to better understand and visualize the data, as compared to the use of the original features. This paper proposes two new FD techniques. The first one is based on the well-known Linde-Buzo-Gray quantization algorithm, coupled with a relevance criterion, being able perform unsupervised, supervised, or semi-supervised discretization. The second technique works in supervised mode, being based on the maximization of the mutual information between each discrete feature and the class label. Our experimental results on standard benchmark datasets show that these techniques scale up to high-dimensional data, attaining in many cases better accuracy than existing unsupervised and supervised FD approaches, while using fewer discretization intervals.

Conceção e implementação do método das secções homogéneas numa empresa industrial de metalomecânica

Trabalho de projeto apresentado ao Instituto Superior de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Contabilidade e Finanças, sob a orientação do Mestre Paulino Manuel Leite da Silva