A one-dimensional prescribed curvature equation modeling the corneal shape

We prove existence, uniqueness, and stability of solutions of the prescribed curvature problem (u'/root 1 + u'(2))' = au - b/root 1 + u'(2) in [0, 1], u'(0) = u(1) = 0, for any given a > 0 and b > 0. We also develop a linear monotone iterative scheme for approximating the solution. This equation has been proposed as a model of the corneal shape in the recent paper (Okrasinski and Plociniczak in Nonlinear Anal., Real World Appl. 13:1498-1505, 2012), where a simplified version obtained by partial linearization has been investigated.

Cluster de volatilidade no mercado de taxas de câmbio USD/GBP

Mestrado em Controlo de Gestão e dos Negócios

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

Principal components and generalized linear modeling in the correlation between hospital admissions and air pollution

OBJECTIVE To analyze the association between concentrations of air pollutants and admissions for respiratory causes in children. METHODS Ecological time series study. Daily figures for hospital admissions of children aged < 6, and daily concentrations of air pollutants (PM10, SO2, NO2, O3 and CO) were analyzed in the Região da Grande Vitória, ES, Southeastern Brazil, from January 2005 to December 2010. For statistical analysis, two techniques were combined: Poisson regression with generalized additive models and principal model component analysis. Those analysis techniques complemented each other and provided more significant estimates in the estimation of relative risk. The models were adjusted for temporal trend, seasonality, day of the week, meteorological factors and autocorrelation. In the final adjustment of the model, it was necessary to include models of the Autoregressive Moving Average Models (p, q) type in the residuals in order to eliminate the autocorrelation structures present in the components. RESULTS For every 10:49 μg/m3 increase (interquartile range) in levels of the pollutant PM10 there was a 3.0% increase in the relative risk estimated using the generalized additive model analysis of main components-seasonal autoregressive – while in the usual generalized additive model, the estimate was 2.0%. CONCLUSIONS Compared to the usual generalized additive model, in general, the proposed aspect of generalized additive model − principal component analysis, showed better results in estimating relative risk and quality of fit.

Correlation modeling for a distributed scalable video codec based on the HEVC standard

The growing heterogeneity of networks, devices and consumption conditions asks for flexible and adaptive video coding solutions. The compression power of the HEVC standard and the benefits of the distributed video coding paradigm allow designing novel scalable coding solutions with improved error robustness and low encoding complexity while still achieving competitive compression efficiency. In this context, this paper proposes a novel scalable video coding scheme using a HEVC Intra compliant base layer and a distributed coding approach in the enhancement layers (EL). This design inherits the HEVC compression efficiency while providing low encoding complexity at the enhancement layers. The temporal correlation is exploited at the decoder to create the EL side information (SI) residue, an estimation of the original residue. The EL encoder sends only the data that cannot be inferred at the decoder, thus exploiting the correlation between the original and SI residues; however, this correlation must be characterized with an accurate correlation model to obtain coding efficiency improvements. Therefore, this paper proposes a correlation modeling solution to be used at both encoder and decoder, without requiring a feedback channel. Experiments results confirm that the proposed scalable coding scheme has lower encoding complexity and provides BD-Rate savings up to 3.43% in comparison with the HEVC Intra scalable extension under development. © 2014 IEEE.

Modeling and worst-case dimensioning of cluster-tree wireless sensor networks

Time-sensitive Wireless Sensor Network (WSN) applications require finite delay bounds in critical situations. This paper provides a methodology for the modeling and the worst-case dimensioning of cluster-tree WSNs. We provide a fine model of the worst-case cluster-tree topology characterized by its depth, the maximum number of child routers and the maximum number of child nodes for each parent router. Using Network Calculus, we derive “plug-and-play” expressions for the endto- end delay bounds, buffering and bandwidth requirements as a function of the WSN cluster-tree characteristics and traffic specifications. The cluster-tree topology has been adopted by many cluster-based solutions for WSNs. We demonstrate how to apply our general results for dimensioning IEEE 802.15.4/Zigbee cluster-tree WSNs. We believe that this paper shows the fundamental performance limits of cluster-tree wireless sensor networks by the provision of a simple and effective methodology for the design of such WSNs.

Modeling and control of a dragonfly-like robot

Dragonflies demonstrate unique and superior flight performances than most of the other insect species and birds. They are equipped with two pairs of independently controlled wings granting an unmatchable flying performance and robustness. In this paper, the dynamics of a dragonfly-inspired robot is studied. The system performance is analyzed in terms of time response and robustness. The development of computational simulation based on the dynamics of the robotic dragonfly allows the test of different control algorithms. We study different movements, the dynamics, and the level of dexterity in wing motion of the dragonfly. The results are positive for the construction of flying platforms that effectively mimic the kinematics and dynamics of dragonflies and potentially exhibit superior flight performance than existing flying platforms.

A trader portfolio optimization of bilateral contracts in electricity retail markets

Electricity markets are systems for effecting the purchase and sale of electricity using supply and demand to set energy prices. Two major market models are often distinguished: pools and bilateral contracts. Pool prices tend to change quickly and variations are usually highly unpredictable. In this way, market participants often enter into bilateral contracts to hedge against pool price volatility. This article addresses the challenge of optimizing the portfolio of clients managed by trader agents. Typically, traders buy energy in day-ahead markets and sell it to a set of target clients, by negotiating bilateral contracts involving three-rate tariffs. Traders sell energy by considering the prices of a reference week and five different types of clients. They analyze several tariffs and determine the best share of customers, i.e., the share that maximizes profit. © 2014 IEEE.

Impact of a price-maker pumped storage hydro unit on the integration of wind energy in power systems

The increasing integration of larger amounts of wind energy into power systems raises important operational issues, such as the balance between power generation and demand. The pumped storage hydro (PSH) units are one possible solution to mitigate this problem, once they can store the excess of energy in the periods of higher generation and lower demand. However, the behaviour of a PSH unit may differ considerably from the expected in terms of wind power integration when it operates in a liberalized electricity market under a price-maker context. In this regard, this paper models and computes the optimal PSH weekly scheduling in a price-taker and price-maker scenarios, either when the PSH unit operates in standalone and integrated in a portfolio of other generation assets. Results show that the price-maker standalone PSH will integrate less wind power in comparison with the price-taker situation. Moreover, when the PSH unit is integrated in a portfolio with a base load power plant, the role of the price elasticity of demand may completely change the operational profile of the PSH unit. (C) 2014 Elsevier Ltd. All rights reserved.

Modeling of the lung impedance using a fractional order ladder network with constant phase elements

The self similar branching arrangement of the airways makes the respiratory system an ideal candidate for the application of fractional calculus theory. The fractal geometry is typically characterized by a recurrent structure. This study investigates the identification of a model for the respiratory tree by means of its electrical equivalent based on intrinsic morphology. Measurements were obtained from seven volunteers, in terms of their respiratory impedance by means of its complex representation for frequencies below 5 Hz. A parametric modeling is then applied to the complex valued data points. Since at low-frequency range the inertance is negligible, each airway branch is modeled by using gamma cell resistance and capacitance, the latter having a fractional-order constant phase element (CPE), which is identified from measurements. In addition, the complex impedance is also approximated by means of a model consisting of a lumped series resistance and a lumped fractional-order capacitance. The results reveal that both models characterize the data well, whereas the averaged CPE values are supraunitary and subunitary for the ladder network and the lumped model, respectively.

Investment focused strategies in electricity markets using the ITEM-game simulator

This paper presents a methodology to establish investment and trading strategies of a power generation company. These strategies are integrated in the ITEM-Game simulator in order to test their results when played against defined strategies used by other players. The developed strategies are focused on investment decisions, although trading strategies are also implemented to obtain base case results. Two cases are studied considering three players with the same trading strategy. In case 1, all players also have the same investment strategy driven by a market target share. In case 2, player 1 has an improved investment strategy with a target share twice of the target of players 2 and 3. Results put in evidence the influence of the CO2 and fuel prices in the company investment decision. It is also observed the influence of the budget constraint which might prevent the player to take the desired investment decision.

Modeling for control design of a multi-reach water canal

This article addresses the problem of obtaining reduced complexity models of multi-reach water delivery canals that are suitable for robust and linear parameter varying (LPV) control design. In the first stage, by applying a method known from the literature, a finite dimensional rational transfer function of a priori defined order is obtained for each canal reach by linearizing the Saint-Venant equations. Then, by using block diagrams algebra, these different models are combined with linearized gate models in order to obtain the overall canal model. In what concerns the control design objectives, this approach has the advantages of providing a model with prescribed order and to quantify the high frequency uncertainty due to model approximation. A case study with a 3-reach canal is presented, and the resulting model is compared with experimental data. © 2014 IEEE.

Multi-agent simulation of bilateral contracting in competitive electricity markets

Traditional vertically integrated power utilities around the world have evolved from monopoly structures to open markets that promote competition among suppliers and provide consumers with a choice of services. Market forces drive the price of electricity and reduce the net cost through increased competition. Electricity can be traded in both organized markets or using forward bilateral contracts. This article focuses on bilateral contracts and describes some important features of an agent-based system for bilateral trading in competitive markets. Special attention is devoted to the negotiation process, demand response in bilateral contracting, and risk management. The article also presents a case study on forward bilateral contracting: a retailer agent and a customer agent negotiate a 24h-rate tariff. © 2014 IEEE.

PV system modeling by five parameters and in Situ test

This paper focuses on a novel formalization for assessing the five parameter modeling of a photovoltaic cell. An optimization procedure is used as a feasibility problem to find the parameters tuned at the open circuit, maximum power, and short circuit points in order to assess the data needed for plotting the I-V curve. A comparison with experimental results is presented for two monocrystalline PV modules.

Solid-State bipolar Marx modulator modeling

A mathematical model that simulates the operation of a solid-state bipolar Marx modulator topology, including the influence of parasitic capacitances is presented and discussed as a tool to analyze the circuit behavior and to assist the design engineer to select the semiconductor components and to enhance the operating performance. Simulations show good agreement with experimental results, considering a four stage circuit assembled with 1200 V isolated gate bipolar transistors and diodes, operating at 1000 V dc input voltage and 1-kHz frequency, giving 4 kV and 10-mu s output pulses into several resistive loads. Results show that parasitic capacitances between Marx cells to ground can significantly load the solid-state switches, adding new operating circuit conditions.