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)

Busca heurística através de algoritmo genético e memético com construção de vocábulos para o problema de atribuição de localidades a anéis Sonet

Telecommunications play a key role in contemporary society. However, as new technologies are put into the market, it also grows the demanding for new products and services that depend on the offered infrastructure, making the problems of planning telecommunications networks, despite the advances in technology, increasingly larger and complex. However, many of these problems can be formulated as models of combinatorial optimization, and the use of heuristic algorithms can help solving these issues in the planning phase. In this project it was developed two pure metaheuristic implementations Genetic algorithm (GA) and Memetic Algorithm (MA) plus a third hybrid implementation Memetic Algorithm with Vocabulary Building (MA+VB) for a problem in telecommunications that is known in the literature as Problem SONET Ring Assignment Problem or SRAP. The SRAP arises during the planning stage of the physical network and it consists in the selection of connections between a number of locations (customers) in order to meet a series of restrictions on the lowest possible cost. This problem is NP-hard, so efficient exact algorithms (in polynomial complexity ) are not known and may, indeed, even exist

Algoritmo evolutivo paralelo para o problema de atribuição de localidades a anéis em redes sonet/sdh

The telecommunications play a fundamental role in the contemporary society, having as one of its main roles to give people the possibility to connect them and integrate them into society in which they operate and, therewith, accelerate development through knowledge. But as new technologies are introduced on the market, increases the demand for new products and services that depend on the infrastructure offered, making the problems of planning of telecommunication networks become increasingly large and complex. Many of these problems, however, can be formulated as combinatorial optimization models, and the use of heuristic algorithms can help solve these issues in the planning phase. This paper proposes the development of a Parallel Evolutionary Algorithm to be applied to telecommunications problem known in the literature as SONET Ring Assignment Problem SRAP. This problem is the class NP-hard and arises during the physical planning of a telecommunication network and consists of determining the connections between locations (customers), satisfying a series of constrains of the lowest possible cost. Experimental results illustrate the effectiveness of the Evolutionary Algorithm parallel, over other methods, to obtain solutions that are either optimal or very close to it

Otimização de superfícies seletivas de frequência com elementos pré-fractais utilizando rede neural MLP e algoritmos de busca populacional

This thesis describes design methodologies for frequency selective surfaces (FSSs) composed of periodic arrays of pre-fractals metallic patches on single-layer dielectrics (FR4, RT/duroid). Shapes presented by Sierpinski island and T fractal geometries are exploited to the simple design of efficient band-stop spatial filters with applications in the range of microwaves. Initial results are discussed in terms of the electromagnetic effect resulting from the variation of parameters such as, fractal iteration number (or fractal level), fractal iteration factor, and periodicity of FSS, depending on the used pre-fractal element (Sierpinski island or T fractal). The transmission properties of these proposed periodic arrays are investigated through simulations performed by Ansoft DesignerTM and Ansoft HFSSTM commercial softwares that run full-wave methods. To validate the employed methodology, FSS prototypes are selected for fabrication and measurement. The obtained results point to interesting features for FSS spatial filters: compactness, with high values of frequency compression factor; as well as stable frequency responses at oblique incidence of plane waves. This thesis also approaches, as it main focus, the application of an alternative electromagnetic (EM) optimization technique for analysis and synthesis of FSSs with fractal motifs. In application examples of this technique, Vicsek and Sierpinski pre-fractal elements are used in the optimal design of FSS structures. Based on computational intelligence tools, the proposed technique overcomes the high computational cost associated to the full-wave parametric analyzes. To this end, fast and accurate multilayer perceptron (MLP) neural network models are developed using different parameters as design input variables. These neural network models aim to calculate the cost function in the iterations of population-based search algorithms. Continuous genetic algorithm (GA), particle swarm optimization (PSO), and bees algorithm (BA) are used for FSSs optimization with specific resonant frequency and bandwidth. The performance of these algorithms is compared in terms of computational cost and numerical convergence. Consistent results can be verified by the excellent agreement obtained between simulations and measurements related to FSS prototypes built with a given fractal iteration

A dense GNSS meteorological network for observing deep convection in the Amazon

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

Assimilação do IWV-GPS no Brasil: otimização das estimativas do atraso zenital troposférico em tempo real

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.

Interior point algorithm for linear programming used in transmission network synthesis

This article presents a well-known interior point method (IPM) used to solve problems of linear programming that appear as sub-problems in the solution of the long-term transmission network expansion planning problem. The linear programming problem appears when the transportation model is used, and when there is the intention to solve the planning problem using a constructive heuristic algorithm (CHA), ora branch-and-bound algorithm. This paper shows the application of the IPM in a CHA. A good performance of the IPM was obtained, and then it can be used as tool inside algorithm, used to solve the planning problem. Illustrative tests are shown, using electrical systems known in the specialized literature. (C) 2005 Elsevier B.V. All rights reserved.

Detection and classification of voltage disturbances using a Fuzzy-ARTMAP-wavelet network

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

Efficient method for AC transmission network expansion planning

A combinatorial mathematical model in tandem with a metaheuristic technique for solving transmission network expansion planning (TNEP) using an AC model associated with reactive power planning (RPP) is presented in this paper. AC-TNEP is handled through a prior DC model while additional lines as well as VAr-plants are used as reinforcements to cope with real network requirements. The solution of the reinforcement stage can be obtained by assuming all reactive demands are supplied locally to achieve a solution for AC-TNEP and by neglecting the local reactive sources, a reactive power planning (RPP) will be managed to find the minimum required reactive power sources. Binary GA as well as a real genetic algorithm (RCA) are employed as metaheuristic optimization techniques for solving this combinatorial TNEP as well as the RPP problem. High quality results related with lower investment costs through case studies on test systems show the usefulness of the proposal when working directly with the AC model in transmission network expansion planning, instead of relaxed models. (C) 2010 Elsevier B.V. All rights reserved.

Evaluation of hybrid models for static and multistage transmission system planning

Neste trabalho é analisada a aplicação de algoritmos heurísticos para o Modelo Híbrido Linear - Hybrid Linear Model (HLM) - no problema de planejamento da expansão de sistemas de transmissão. O HLM é um modelo relaxado que ainda não foi suficientemente explorado. Assim, é realizada uma análise das características do modelo matemático e das técnicas de solução que podem ser usadas para resolver este tipo de modelo. O trabalho analisa em detalhes um algoritmo heurístico construtivo para o HLM e faz uma extensão da modelagem e da técnica de solução para o planejamento multi-estágio da expansão de sistemas de transmissão. Dentro deste contexto, também é realizada uma avaliação da qualidade das soluções encontradas pelo HLM e as possibilidades de aplicação deste modelo em planejamento de sistemas de transmissão. Finalmente, são apresentados testes com sistemas conhecidos na literatura especializada.

Sistema não-Intrusivo para Estimação da Direção do olhar utilizando redes neurais artificiais

The fundamental senses of the human body are: vision, hearing, touch, taste and smell. These senses are the functions that provide our relationship with the environment. The vision serves as a sensory receptor responsible for obtaining information from the outside world that will be sent to the brain. The gaze reflects its attention, intention and interest. Therefore, the estimation of gaze direction, using computer tools, provides a promising alternative to improve the capacity of human-computer interaction, mainly with respect to those people who suffer from motor deficiencies. Thus, the objective of this work is to present a non-intrusive system that basically uses a personal computer and a low cost webcam, combined with the use of digital image processing techniques, Wavelets transforms and pattern recognition, such as artificial neural network models, resulting in a complete system that performs since the image acquisition (including face detection and eye tracking) to the estimation of gaze direction. The obtained results show the feasibility of the proposed system, as well as several feature advantages.

Evaluation of economic impact of external eauivalent models used in reactive OPF studies for interconnected systems

Reactive-optimisation procedures are responsible for the minimisation of online power losses in interconnected systems. These procedures are performed separately at each control centre and involve external network representations. If total losses can be minimised by the implementation of calculated local control actions, the entire system benefits economically, but such control actions generally result in a certain degree of inaccuracy, owing to errors in the modelling of the external system. Since these errors are inevitable, they must at least be maintained within tolerable limits by external-modelling approaches. Care must be taken to avoid unrealistic loss minimisation, as the local-control actions adopted can lead the system to points of operation which will be less economical for the interconnected system as a whole. The evaluation of the economic impact of the external modelling during reactive-optimisation procedures in interconnected systems, in terms of both the amount of losses and constraint violations, becomes important in this context. In the paper, an analytical approach is proposed for such an evaluation. Case studies using data from the Brazilian South-Southeast system (810 buses) have been carried out to compare two different external-modelling approaches, both derived from the equivalent-optimal-power-flow (EOPF) model. Results obtained show that, depending on the external-model representation adopted, the loss representation can be flawed. Results also suggest some modelling features that should be adopted in the EOPF model to enhance the economy of the overall system.

Economic design of (X)over-bar and R charts under Weibull shock models

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