969 resultados para mean-variance portfolio optimization
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Competitive electricity markets have arisen as a result of power-sector restructuration and power-system deregulation. The players participating in competitive electricity markets must define strategies and make decisions using all the available information and business opportunities.
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This paper presents a modified Particle Swarm Optimization (PSO) methodology to solve the problem of energy resources management with high penetration of distributed generation and Electric Vehicles (EVs) with gridable capability (V2G). The objective of the day-ahead scheduling problem in this work is to minimize operation costs, namely energy costs, regarding he management of these resources in the smart grid context. The modifications applied to the PSO aimed to improve its adequacy to solve the mentioned problem. The proposed Application Specific Modified Particle Swarm Optimization (ASMPSO) includes an intelligent mechanism to adjust velocity limits during the search process, as well as self-parameterization of PSO parameters making it more user-independent. It presents better robustness and convergence characteristics compared with the tested PSO variants as well as better constraint handling. This enables its use for addressing real world large-scale problems in much shorter times than the deterministic methods, providing system operators with adequate decision support and achieving efficient resource scheduling, even when a significant number of alternative scenarios should be considered. The paper includes two realistic case studies with different penetration of gridable vehicles (1000 and 2000). The proposed methodology is about 2600 times faster than Mixed-Integer Non-Linear Programming (MINLP) reference technique, reducing the time required from 25 h to 36 s for the scenario with 2000 vehicles, with about one percent of difference in the objective function cost value.
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A dynamic scheduler that supports the coexistence of guaranteed and non-guaranteed bandwidth servers is proposed. Overloads are handled by an efficient reclaiming of residual capacities originated by early completions as well as by allowing reserved capacity stealing of non-guaranteed bandwidth servers. The proposed dynamic budget accounting mechanism ensures that at a particular time the currently executing server is using a residual capacity, its own capacity or is stealing some reserved capacity, eliminating the need of additional server states or unbounded queues. The server to which the budget accounting is going to be performed is dynamically determined at the time instant when a capacity is needed. This paper describes and evaluates the proposed scheduling algorithm, showing that it can efficiently reduce the mean tardiness of periodic jobs. The achieved results become even more significant when tasks’ computation times have a large variance.
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Mestrado em Radiações Aplicadas às Tecnologias da Saúde- Ramo de especialização: Terapia com Radiações
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Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia
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It is generally challenging to determine end-to-end delays of applications for maximizing the aggregate system utility subject to timing constraints. Many practical approaches suggest the use of intermediate deadline of tasks in order to control and upper-bound their end-to-end delays. This paper proposes a unified framework for different time-sensitive, global optimization problems, and solves them in a distributed manner using Lagrangian duality. The framework uses global viewpoints to assign intermediate deadlines, taking resource contention among tasks into consideration. For soft real-time tasks, the proposed framework effectively addresses the deadline assignment problem while maximizing the aggregate quality of service. For hard real-time tasks, we show that existing heuristic solutions to the deadline assignment problem can be incorporated into the proposed framework, enriching their mathematical interpretation.
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As operações de separação por adsorção têm vindo a ganhar importância nos últimos anos, especialmente com o desenvolvimento de técnicas de simulação de leitos móveis em colunas, tal como a cromatografia de Leito Móvel Simulado (Simulated Moving Bed, SMB). Esta tecnologia foi desenvolvida no início dos anos 60 como método alternativo ao processo de Leito Móvel Verdadeiro (True Moving Bed, TMB), de modo a resolver vários dos problemas associados ao movimento da fase sólida, usuais nestes métodos de separação cromatográficos de contracorrente. A tecnologia de SMB tem sido amplamente utilizada em escala industrial principalmente nas indústrias petroquímica e de transformação de açúcares e, mais recentemente, na indústria farmacêutica e de química fina. Nas últimas décadas, o crescente interesse na tecnologia de SMB, fruto do alto rendimento e eficiente consumo de solvente, levou à formulação de diferentes modos de operação, ditos não convencionais, que conseguem unidades mais flexíveis, capazes de aumentar o desempenho de separação e alargar ainda mais a gama de aplicação da tecnologia. Um dos exemplos mais estudados e implementados é o caso do processo Varicol, no qual se procede a um movimento assíncrono de portas. Neste âmbito, o presente trabalho foca-se na simulação, análise e avaliação da tecnologia de SMB para dois casos de separação distintos: a separação de uma mistura de frutose-glucose e a separação de uma mistura racémica de pindolol. Para ambos os casos foram considerados e comparados dois modos de operação da unidade de SMB: o modo convencional e o modo Varicol. Desta forma, foi realizada a implementação e simulação de ambos os casos de separação no simulador de processos Aspen Chromatography, mediante a utilização de duas unidades de SMB distintas (SMB convencional e SMB Varicol). Para a separação da mistura frutose-glucose, no quediz respeito à modelização da unidade de SMB convencional, foram utilizadas duas abordagens: a de um leito móvel verdadeiro (modelo TMB) e a de um leito móvel simulado real (modelo SMB). Para a separação da mistura racémica de pindolol foi considerada apenas a modelização pelo modelo SMB. No caso da separação da mistura frutose-glucose, procedeu-se ainda à otimização de ambas as unidades de SMB convencional e Varicol, com o intuito do aumento das suas produtividades. A otimização foi realizada mediante a aplicação de um procedimento de planeamento experimental, onde as experiências foram planeadas, conduzidas e posteriormente analisadas através da análise de variância (ANOVA). A análise estatística permitiu selecionar os níveis dos fatores de controlo de modo a obter melhores resultados para ambas as unidades de SMB.
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This paper proposes a stochastic mixed-integer linear approach to deal with a short-term unit commitment problem with uncertainty on a deregulated electricity market that includes day-ahead bidding and bilateral contracts. The proposed approach considers the typically operation constraints on the thermal units and a spinning reserve. The uncertainty is due to the electricity prices, which are modeled by a scenario set, allowing an acceptable computation. Moreover, emission allowances are considered in a manner to allow for the consideration of environmental constraints. A case study to illustrate the usefulness of the proposed approach is presented and an assessment of the cost for the spinning reserve is obtained by a comparison between the situation with and without spinning reserve.
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An approach for the analysis of uncertainty propagation in reliability-based design optimization of composite laminate structures is presented. Using the Uniform Design Method (UDM), a set of design points is generated over a domain centered on the mean reference values of the random variables. A methodology based on inverse optimal design of composite structures to achieve a specified reliability level is proposed, and the corresponding maximum load is outlined as a function of ply angle. Using the generated UDM design points as input/output patterns, an Artificial Neural Network (ANN) is developed based on an evolutionary learning process. Then, a Monte Carlo simulation using ANN development is performed to simulate the behavior of the critical Tsai number, structural reliability index, and their relative sensitivities as a function of the ply angle of laminates. The results are generated for uniformly distributed random variables on a domain centered on mean values. The statistical analysis of the results enables the study of the variability of the reliability index and its sensitivity relative to the ply angle. Numerical examples showing the utility of the approach for robust design of angle-ply laminates are presented.
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In distributed soft real-time systems, maximizing the aggregate quality-of-service (QoS) is a typical system-wide goal, and addressing the problem through distributed optimization is challenging. Subtasks are subject to unpredictable failures in many practical environments, and this makes the problem much harder. In this paper, we present a robust optimization framework for maximizing the aggregate QoS in the presence of random failures. We introduce the notion of K-failure to bound the effect of random failures on schedulability. Using this notion we define the concept of K-robustness that quantifies the degree of robustness on QoS guarantee in a probabilistic sense. The parameter K helps to tradeoff achievable QoS versus robustness. The proposed robust framework produces optimal solutions through distributed computations on the basis of Lagrangian duality, and we present some implementation techniques. Our simulation results show that the proposed framework can probabilistically guarantee sub-optimal QoS which remains feasible even in the presence of random failures.
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This paper proposes a dynamic scheduler that supports the coexistence of guaranteed and non-guaranteed bandwidth servers to efficiently handle soft-tasks’ overloads by making additional capacity available from two sources: (i) residual capacity allocated but unused when jobs complete in less than their budgeted execution time; (ii) stealing capacity from inactive non-isolated servers used to schedule best-effort jobs. The effectiveness of the proposed approach in reducing the mean tardiness of periodic jobs is demonstrated through extensive simulations. The achieved results become even more significant when tasks’ computation times have a large variance.
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OBJECTIVE To evaluate the cross-cultural validity of the Demand-Control Questionnaire, comparing the original Swedish questionnaire with the Brazilian version. METHODS We compared data from 362 Swedish and 399 Brazilian health workers. Confirmatory and exploratory factor analyses were performed to test structural validity, using the robust weighted least squares mean and variance-adjusted (WLSMV) estimator. Construct validity, using hypotheses testing, was evaluated through the inspection of the mean score distribution of the scale dimensions according to sociodemographic and social support at work variables. RESULTS The confirmatory and exploratory factor analyses supported the instrument in three dimensions (for Swedish and Brazilians): psychological demands, skill discretion and decision authority. The best-fit model was achieved by including an error correlation between work fast and work intensely (psychological demands) and removing the item repetitive work (skill discretion). Hypotheses testing showed that workers with university degree had higher scores on skill discretion and decision authority and those with high levels of Social Support at Work had lower scores on psychological demands and higher scores on decision authority. CONCLUSIONS The results supported the equivalent dimensional structures across the two culturally different work contexts. Skill discretion and decision authority formed two distinct dimensions and the item repetitive work should be removed.
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Penalty and Barrier methods are normally used to solve Nonlinear Optimization Problems constrained problems. The problems appear in areas such as engineering and are often characterised by the fact that involved functions (objective and constraints) are non-smooth and/or their derivatives are not know. This means that optimization methods based on derivatives cannot net used. A Java based API was implemented, including only derivative-free optimizationmethods, to solve both constrained and unconstrained problems, which includes Penalty and Barriers methods. In this work a new penalty function, based on Fuzzy Logic, is presented. This function imposes a progressive penalization to solutions that violate the constraints. This means that the function imposes a low penalization when the violation of the constraints is low and a heavy penalisation when the violation is high. The value of the penalization is not known in beforehand, it is the outcome of a fuzzy inference engine. Numerical results comparing the proposed function with two of the classic penalty/barrier functions are presented. Regarding the presented results one can conclude that the prosed penalty function besides being very robust also exhibits a very good performance.
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Search Optimization methods are needed to solve optimization problems where the objective function and/or constraints functions might be non differentiable, non convex or might not be possible to determine its analytical expressions either due to its complexity or its cost (monetary, computational, time,...). Many optimization problems in engineering and other fields have these characteristics, because functions values can result from experimental or simulation processes, can be modelled by functions with complex expressions or by noise functions and it is impossible or very difficult to calculate their derivatives. Direct Search Optimization methods only use function values and do not need any derivatives or approximations of them. In this work we present a Java API that including several methods and algorithms, that do not use derivatives, to solve constrained and unconstrained optimization problems. Traditional API access, by installing it on the developer and/or user computer, and remote API access to it, using Web Services, are also presented. Remote access to the API has the advantage of always allow the access to the latest version of the API. For users that simply want to have a tool to solve Nonlinear Optimization Problems and do not want to integrate these methods in applications, also two applications were developed. One is a standalone Java application and the other a Web-based application, both using the developed API.
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Constraints nonlinear optimization problems can be solved using penalty or barrier functions. This strategy, based on solving the problems without constraints obtained from the original problem, have shown to be e ective, particularly when used with direct search methods. An alternative to solve the previous problems is the lters method. The lters method introduced by Fletcher and Ley er in 2002, , has been widely used to solve problems of the type mentioned above. These methods use a strategy di erent from the barrier or penalty functions. The previous functions de ne a new one that combine the objective function and the constraints, while the lters method treat optimization problems as a bi-objective problems that minimize the objective function and a function that aggregates the constraints. Motivated by the work of Audet and Dennis in 2004, using lters method with derivative-free algorithms, the authors developed works where other direct search meth- ods were used, combining their potential with the lters method. More recently. In a new variant of these methods was presented, where it some alternative aggregation restrictions for the construction of lters were proposed. This paper presents a variant of the lters method, more robust than the previous ones, that has been implemented with a safeguard procedure where values of the function and constraints are interlinked and not treated completely independently.