Optimal performance fee and flow of funds in asset management contracts

This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and fees where e¤ort depends on the combination of implicit ( ow of funds) and explicit (performance fee) incentives. Two cases are considered. With full commitment, the investor s relevant trade-o¤ is to give up expected return in the second period vis-à-vis to induce e¤ort in the rst period. The more concerned the investor is with today s pay- o¤, the more willing he will be to give up expected return in the second period by penalizing negative excess return in the rst period. Without full commitment, the investor learns some symmetric and imperfect infor- mation about the ability of the manager to obtain positive excess return. In this case, observed returns reveal ability as well as e¤ort choices. We show that powerful implicit incentives may explain the ow-performance relationship with a numerical solution. Besides, risk aversion explains the complementarity between performance fee and ow of funds.

Enhancement of optical absorption by modulation of the oxygen flow of TiO2 films deposited by reactive sputtering

Oxygen-deficient TiO2 films with enhanced visible and near-infrared optical absorption have been deposited by reactive sputtering using a planar diode radio frequency magnetron configuration. It is observed that the increase in the absorption coefficient is more effective when the O-2 gas supply is periodically interrupted rather than by a decrease of the partial O-2 gas pressure in the deposition plasma. The optical absorption coefficient at 1.5 eV increases from about 1 x 10(2) cm(-1) to more than 4 x 10(3) cm(-1) as a result of the gas flow discontinuity. A red-shift of similar to 0.24 eV in the optical absorption edge is also observed. High resolution transmission electron microscopy with composition analysis shows that the films present a dense columnar morphology, with estimated mean column width of 40nm. Moreover, the interruptions of the O-2 gas flow do not produce detectable variations in the film composition along its growing direction. X-ray diffraction and micro-Raman experiments indicate the presence of the TiO2 anatase, rutile, and brookite phases. The anatase phase is dominant, with a slight increment of the rutile and brookite phases in films deposited under discontinued O-2 gas flow. The increase of optical absorption in the visible and near-infrared regions has been attributed to a high density of defects in the TiO2 films, which is consistent with density functional theory calculations that place oxygen-related vacancy states in the upper third of the optical bandgap. The electronic structure calculation results, along with the adopted deposition method and experimental data, have been used to propose a mechanism to explain the formation of the observed oxygen-related defects in TiO2 thin films. The observed increase in sub-bandgap absorption and the modeling of the corresponding changes in the electronic structure are potentially useful concerning the optimization of efficiency of the photocatalytic activity and the magnetic doping of TiO2 films. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4724334]

Reactive power dispatch and planning using a non-linear branch-and-bound algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Optimised placement of control and protective devices in electric distribution systems through reactive tabu search algorithm

Optimised placement of control and protective devices in distribution networks allows for a better operation and improvement of the reliability indices of the system. Control devices (used to reconfigure the feeders) are placed in distribution networks to obtain an optimal operation strategy to facilitate power supply restoration in the case of a contingency. Protective devices (used to isolate faults) are placed in distribution systems to improve the reliability and continuity of the power supply, significantly reducing the impacts that a fault can have in terms of customer outages, and the time needed for fault location and system restoration. This paper presents a novel technique to optimally place both control and protective devices in the same optimisation process on radial distribution feeders. The problem is modelled through mixed integer non-linear programming (MINLP) with real and binary variables. The reactive tabu search algorithm (RTS) is proposed to solve this problem. Results and optimised strategies for placing control and protective devices considering a practical feeder are presented. (c) 2007 Elsevier B.V. All rights reserved.

Primary power distribution systems planning taking into account reliability, operation and expansion costs

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Artificial neural networks for load flow and external equivalents studies

In this paper an artificial neural network (ANN) based methodology is proposed for (a) solving the basic load flow, (b) solving the load flow considering the reactive power limits of generation (PV) buses, (c) determining a good quality load flow starting point for ill-conditioned systems, and (d) computing static external equivalent circuits. An analysis of the input data required as well as the ANN architecture is presented. A multilayer perceptron trained with the Levenberg-Marquardt second order method is used. The proposed methodology was tested with the IEEE 30- and 57-bus, and an ill-conditioned 11-bus system. Normal operating conditions (base case) and several contingency situations including different load and generation scenarios have been considered. Simulation results show the excellent performance of the ANN for solving problems (a)-(d). (C) 2010 Elsevier B.V. All rights reserved.

A heuristic method for reactive power planning

An approach for solving reactive power planning problems is presented, which is based on binary search techniques and the use of a special heuristic to obtain a discrete solution. Two versions were developed, one to run on conventional (sequential) computers and the other to run on a distributed memory (hypercube) machine. This latter parallel processing version employs an asynchronous programming model. Once the set of candidate buses has been defined, the program gives the location and size of the reactive sources needed(if any) in keeping with operating and security constraints.

Optimal clone identifier based on dynamic rules and process algebra

The rule creation to clone selection in different projects is a hard task to perform by using traditional implementations to control all the processes of the system. The use of an algebraic language is an alternative approach to manage all of system flow in a flexible way. In order to increase the power of versatility and consistency in defining the rules for optimal clone selection, this paper presents the software OCI 2 in which uses process algebra in the flow behavior of the system. OCI 2, controlled by an algebraic approach was applied in the rules elaboration for clone selection containing unique genes in the partial genome of the bacterium Bradyrhizobium elkanii Semia 587 and in the whole genome of the bacterium Xanthomonas axonopodis pv. citri. Copyright© (2009) by the International Society for Research in Science and Technology.

Optimal phasor measurement units placement for fault location on overhead electric power distribution feeders

This paper proposes a new approach for optimal phasor measurement units placement for fault location on electric power distribution systems using Greedy Randomized Adaptive Search Procedure metaheuristic and Monte Carlo simulation. The optimized placement model herein proposed is a general methodology that can be used to place devices aiming to record the voltage sag magnitudes for any fault location algorithm that uses voltage information measured at a limited set of nodes along the feeder. An overhead, three-phase, three-wire, 13.8 kV, 134-node, real-life feeder model is used to evaluate the algorithm. Tests show that the results of the fault location methodology were improved thanks to the new optimized allocation of the meters pinpointed using this methodology. © 2011 IEEE.

Reactive power support pricing of distributed generators with primary energy source uncertainty

In this paper, a novel methodology to price the reactive power support ancillary service of Distributed Generators (DGs) with primary energy source uncertainty is shown. The proposed methodology provides the service pricing based on the Loss of Opportunity Costs (LOC) calculation. An algorithm is proposed to reduce the uncertainty present in these generators using Multiobjective Power Flows (MOPFs) implemented in multiple probabilistic scenarios through Monte Carlo Simulations (MCS), and modeling the time series associated with the generation of active power from DGs through Markov Chains (MC). © 2011 IEEE.

Optimal switch allocation for automatic load transfer in distribution substations

This work proposes a methodology for optimized allocation of switches for automatic load transfer in distribution systems in order to improve the reliability indexes by restoring such systems which present voltage classes of 23 to 35 kV and radial topology. The automatic switches must be allocated on the system in order to transfer load remotely among the sources at the substations. The problem of switch allocation is formulated as nonlinear constrained mixed integer programming model subject to a set of economical and physical constraints. A dedicated Tabu Search (TS) algorithm is proposed to solve this model. The proposed methodology is tested for a large real-life distribution system. © 2011 IEEE.

An application of CHA to concurrent short-term transmission expansion & reactive power planning

In this paper a heuristic technique for solving simultaneous short-term transmission network expansion and reactive power planning problem (TEPRPP) via an AC model is presented. A constructive heuristic algorithm (CHA) aimed to obtaining a significant quality solution for such problem is employed. An interior point method (IPM) is applied to solve TEPRPP as a nonlinear programming (NLP) during the solution steps of the algorithm. For each proposed network topology, an indicator is deployed to identify the weak buses for reactive power sources placement. The objective function of NLP includes the costs of new transmission lines, real power losses as well as reactive power sources. By allocating reactive power sources at load buses, the circuit capacity may increase while the cost of new lines can be decreased. The proposed methodology is tested on Garver's system and the obtained results shows its capability and the viability of using AC model for solving such non-convex optimization problem. © 2011 IEEE.

Distributed generators as providers of reactive power support - A market approach

Traditionally, ancillary services are supplied by large conventional generators. However, with the huge penetration of distributed generators (DGs) as a result of the growing interest in satisfying energy requirements, and considering the benefits that they can bring along to the electrical system and to the environment, it appears reasonable to assume that ancillary services could also be provided by DGs in an economical and efficient way. In this paper, a settlement procedure for a reactive power market for DGs in distribution systems is proposed. Attention is directed to wind turbines connected to the network through synchronous generators with permanent magnets and doubly-fed induction generators. The generation uncertainty of this kind of DG is reduced by running a multi-objective optimization algorithm in multiple probabilistic scenarios through the Monte Carlo method and by representing the active power generated by the DGs through Markov models. The objectives to be minimized are the payments of the distribution system operator to the DGs for reactive power, the curtailment of transactions committed in an active power market previously settled, the losses in the lines of the network, and a voltage profile index. The proposed methodology was tested using a modified IEEE 37-bus distribution test system. © 1969-2012 IEEE.

Metodologia para o despacho de potência reativa visando o controle de tensão baseado em algoritmos genéticos

Este trabalho tem como objetivo apresentar um aplicativo para auxiliar no planejamento de sistemas elétricos, através de uma metodologia para controle de tensão e minimização das perdas, através da otimização da injeção de reativos, mantendo a tensão nos barramentos dentro de limites pré estabelecidos. A metodologia desenvolvida é baseada em um sistema hibrido, que utiliza inteligência computacional baseada em um algoritmo genético acoplado a um programa de fluxo de carga (ANAREDE), que interagem para produzir uma solução ótima. Os resultados obtidos mostram que a técnica baseada no algoritmo genético é bem adequada ao tipo de problema ora tratado referente a minimização de perdas reativas e a melhoria do perfil da tensão em redes elétricas, sendo este atualmente um problema crítico em parte do Sistema Interligado Nacional (SIN).

A Multi-Stage Stochastic Non-Linear Model for Reactive Power Planning Under Contingencies

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