The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

An optimal scheduling problem in distribution networks considering V2G

This paper addresses the problem of energy resource scheduling. An aggregator will manage all distributed resources connected to its distribution network, including distributed generation based on renewable energy resources, demand response, storage systems, and electrical gridable vehicles. The use of gridable vehicles will have a significant impact on power systems management, especially in distribution networks. Therefore, the inclusion of vehicles in the optimal scheduling problem will be very important in future network management. The proposed particle swarm optimization approach is compared with a reference methodology based on mixed integer non-linear programming, implemented in GAMS, to evaluate the effectiveness of the proposed methodology. The paper includes a case study that consider a 32 bus distribution network with 66 distributed generators, 32 loads and 50 electric vehicles.

Distribution network short term scheduling in Smart Grid context

The large increase of Distributed Generation (DG) in Power Systems (PS) and specially in distribution networks makes the management of distribution generation resources an increasingly important issue. Beyond DG, other resources such as storage systems and demand response must be managed in order to obtain more efficient and “green” operation of PS. More players, such as aggregators or Virtual Power Players (VPP), that operate these kinds of resources will be appearing. This paper proposes a new methodology to solve the distribution network short term scheduling problem in the Smart Grid context. This methodology is based on a Genetic Algorithms (GA) approach for energy resource scheduling optimization and on PSCAD software to obtain realistic results for power system simulation. The paper includes a case study with 99 distributed generators, 208 loads and 27 storage units. The GA results for the determination of the economic dispatch considering the generation forecast, storage management and load curtailment in each period (one hour) are compared with the ones obtained with a Mixed Integer Non-Linear Programming (MINLP) approach.

Optimal scheduling of a renewable micro-grid in an isolated load area using mixed-integer linear programming

In the energy management of the isolated operation of small power system, the economic scheduling of the generation units is a crucial problem. Applying right timing can maximize the performance of the supply. The optimal operation of a wind turbine, a solar unit, a fuel cell and a storage battery is searched by a mixed-integer linear programming implemented in General Algebraic Modeling Systems (GAMS). A Virtual Power Producer (VPP) can optimal operate the generation units, assured the good functioning of equipment, including the maintenance, operation cost and the generation measurement and control. A central control at system allows a VPP to manage the optimal generation and their load control. The application of methodology to a real case study in Budapest Tech, demonstrates the effectiveness of this method to solve the optimal isolated dispatch of the DC micro-grid renewable energy park. The problem has been converged in 0.09 s and 30 iterations.

Hardware and software in smart decision rooms

Since the last decade research in Group Decision Making area have been focus in the building of meeting rooms that could support the decision making task and improve the quality of those decisions. However the emergence of Ambient Intelligence concept contributes with a new perspective, a different way of viewing traditional decision rooms. In this paper we will present an overview of Smart Decision Rooms providing Intelligence to the meeting environment, and we will also present LAID, an Ambient Intelligence Environment oriented to support Group Decision Making and some of the software tools that we already have installed in this environment.

Solving MPCC problem with the hyperbolic penalty function

The main goal of this work is to solve mathematical program with complementarity constraints (MPCC) using nonlinear programming techniques (NLP). An hyperbolic penalty function is used to solve MPCC problems by including the complementarity constraints in the penalty term. This penalty function [1] is twice continuously differentiable and combines features of both exterior and interior penalty methods. A set of AMPL problems from MacMPEC [2] are tested and a comparative study is performed.

Solving a signalized traffic intersection problem with an hyperbolic penalty function

Mathematical Program with Complementarity Constraints (MPCC) finds many applications in fields such as engineering design, economic equilibrium and mathematical programming theory itself. A queueing system model resulting from a single signalized intersection regulated by pre-timed control in traffic network is considered. The model is formulated as an MPCC problem. A MATLAB implementation based on an hyperbolic penalty function is used to solve this practical problem, computing the total average waiting time of the vehicles in all queues and the green split allocation. The problem was codified in AMPL.

Open-source software in operations research in engineering teaching

ENEGI 2013: Atas do 2º Encontro Nacional de Engenharia e Gestão Industrial, Universidade de Aveiro, 17 e 18 de maio de 2013, Aveiro, Portugal.

Software de apoio à implementação de sistemas híbridos de produção de energia eléctrica baseados em energias renováveis

O aumento da população Mundial, particularmente em Países emergentes como é o caso da China e da Índia, tem-se relevado um problema adicional no que confere às dificuldades associadas ao consumo mundial de energia, pois esta situação limita inequivocamente o acesso destes milhões de pessoas à energia eléctrica para os bens básicos de sobrevivência. Uma das muitas formas de se extinguir esta necessidade, começa a ser desenvolvida recorrendo ao uso de recursos renováveis como fontes de energia. Independentemente do local do mundo onde nos encontremos, essas fontes de energia são abundantes, inesgotáveis e gratuitas. O problema reside na forma como esses recursos renováveis são geridos em função das solicitações de carga que as instalações necessitam. Sistemas híbridos podem ser usados para produzir energia em qualquer parte do mundo. Historicamente este tipo de sistemas eram aplicados em locais isolados, mas nos dias que correm podem ser usados directamente conectados à rede, permitindo que se realize a venda de energia. Foi neste contexto que esta tese foi desenvolvida, com o objectivo de disponibilizar uma ferramenta informática capaz de calcular a rentabilidade de um sistema híbrido ligado à rede ou isolado. Contudo, a complexidade deste problema é muito elevada, pois existe uma extensa panóplia de características e distintos equipamentos que se pode adoptar. Assim, a aplicação informática desenvolvida teve de ser limitada e restringida aos dados disponíveis de forma a poder tornar-se genérica, mas ao mesmo tempo permitir ter uma aplicabilidade prática. O objectivo da ferramenta informática desenvolvida é apresentar de forma imediata os custos da implementação que um sistema híbrido pode acarretar, dependendo apenas de três variáveis distintas. A primeira variável terá de ter em consideração o local de instalação do sistema. Em segundo lugar é o tipo de ligação (isolado ou ligado à rede) e, por fim, o custo dos equipamentos (eólico, solar e restantes componentes) que serão introduzidos. Após a inserção destes dados a aplicação informática apresenta valores estimados de Payback e VAL.

Controlador Boundary-Scan

A crescente complexidade dos sistemas electrónicos associada a um desenvolvimento nas tecnologias de encapsulamento levou à miniaturização dos circuitos integrados, provocando dificuldades e limitações no diagnóstico e detecção de falhas, diminuindo drasticamente a aplicabilidade dos equipamentos ICT. Como forma de lidar com este problema surgiu a infra-estrutura Boundary Scan descrita na norma IEEE1149.1 “Test Access Port and Boundary-Scan Architecture”, aprovada em 1990. Sendo esta solução tecnicamente viável e interessante economicamente para o diagnóstico de defeitos, efectua também outras aplicações. O SVF surgiu do desejo de incutir e fazer com que os fornecedores independentes incluíssem a norma IEEE 1149.1, é desenvolvido num formato ASCII, com o objectivo de enviar sinais, aguardar pela sua resposta, segundo a máscara de dados baseada na norma IEEE1149.1. Actualmente a incorporação do Boundary Scan nos circuitos integrados está em grande expansão e consequentemente usufrui de uma forte implementação no mercado. Neste contexto o objectivo da dissertação é o desenvolvimento de um controlador boundary scan que implemente uma interface com o PC e possibilite o controlo e monitorização da aplicação de teste ao PCB. A arquitectura do controlador desenvolvido contém um módulo de Memória de entrada, um Controlador TAP e uma Memória de saída. A implementação do controlador foi feita através da utilização de uma FPGA, é um dispositivo lógico reconfiguráveis constituído por blocos lógicos e por uma rede de interligações, ambos configuráveis, que permitem ao utilizador implementar as mais variadas funções digitais. A utilização de uma FPGA tem a vantagem de permitir a versatilidade do controlador, facilidade na alteração do seu código e possibilidade de inserir mais controladores dentro da FPGA. Foi desenvolvido o protocolo de comunicação e sincronização entre os vários módulos, permitindo o controlo e monitorização dos estímulos enviados e recebidos ao PCB, executados automaticamente através do software do Controlador TAP e de acordo com a norma IEEE 1149.1. A solução proposta foi validada por simulação utilizando o simulador da Xilinx. Foram analisados todos os sinais que constituem o controlador e verificado o correcto funcionamento de todos os seus módulos. Esta solução executa todas as sequências pretendidas e necessárias (envio de estímulos) à realização dos testes ao PCB. Recebe e armazena os dados obtidos, enviando-os posteriormente para a memória de saída. A execução do trabalho permitiu concluir que os projectos de componentes electrónicos tenderão a ser descritos num nível de abstracção mais elevado, recorrendo cada vez mais ao uso de linguagens de hardware, no qual o VHDL é uma excelente ferramenta de programação. O controlador desenvolvido será uma ferramenta bastante útil e versátil para o teste de PCBs e outras funcionalidades disponibilizadas pelas infra-estruturas BS.

Orchestration of e-learning services for automatic evaluation of programming exercises

Managing programming exercises require several heterogeneous systems such as evaluation engines, learning objects repositories and exercise resolution environments. The coordination of networks of such disparate systems is rather complex. These tools would be too specific to incorporate in an e-Learning platform. Even if they could be provided as pluggable components, the burden of maintaining them would be prohibitive to institutions with few courses in those domains. This work presents a standard based approach for the coordination of a network of e-Learning systems participating on the automatic evaluation of programming exercises. The proposed approach uses a pivot component to orchestrate the interaction among all the systems using communication standards. This approach was validated through its effective use on classroom and we present some preliminary results.

Sistema de reconhecimento de impressões digitais baseado em FPGA

Trabalho de Projeto para obtenção do grau de Mestre em Engenharia de Eletrónica e Telecomunicações

Specification of software architecture reconfiguration

In the past years, Software Architecture has attracted increased attention by academia and industry as the unifying concept to structure the design of complex systems. One particular research area deals with the possibility of reconfiguring architectures to adapt the systems they describe to new requirements. Reconfiguration amounts to adding and removing components and connections, and may have to occur without stopping the execution of the system being reconfigured. This work contributes to the formal description of such a process. Taking as a premise that a single formalism hardly ever satisfies all requirements in every situation, we present three approaches, each one with its own assumptions about the systems it can be applied to and with different advantages and disadvantages. Each approach is based on work of other researchers and has the aesthetic concern of changing as little as possible the original formalism, keeping its spirit. The first approach shows how a given reconfiguration can be specified in the same manner as the system it is applied to and in a way to be efficiently executed. The second approach explores the Chemical Abstract Machine, a formalism for rewriting multisets of terms, to describe architectures, computations, and reconfigurations in a uniform way. The last approach uses a UNITY-like parallel programming design language to describe computations, represents architectures by diagrams in the sense of Category Theory, and specifies reconfigurations by graph transformation rules.

A framework for the development of parallel and distributed real-time embedded systems

Embedded real-time applications increasingly present high computation requirements, which need to be completed within specific deadlines, but that present highly variable patterns, depending on the set of data available in a determined instant. The current trend to provide parallel processing in the embedded domain allows providing higher processing power; however, it does not address the variability in the processing pattern. Dimensioning each device for its worst-case scenario implies lower average utilization, and increased available, but unusable, processing in the overall system. A solution for this problem is to extend the parallel execution of the applications, allowing networked nodes to distribute the workload, on peak situations, to neighbour nodes. In this context, this report proposes a framework to develop parallel and distributed real-time embedded applications, transparently using OpenMP and Message Passing Interface (MPI), within a programming model based on OpenMP. The technical report also devises an integrated timing model, which enables the structured reasoning on the timing behaviour of these hybrid architectures.

EMMON - EMbedded MONitoring

Despite the steady increase in experimental deployments, most of research work on WSNs has focused only on communication protocols and algorithms, with a clear lack of effective, feasible and usable system architectures, integrated in a modular platform able to address both functional and non–functional requirements. In this paper, we outline EMMON [1], a full WSN-based system architecture for large–scale, dense and real–time embedded monitoring [3] applications. EMMON provides a hierarchical communication architecture together with integrated middleware and command and control software. Then, EM-Set, the EMMON engineering toolset will be presented. EM-Set includes a network deployment planning, worst–case analysis and dimensioning, protocol simulation and automatic remote programming and hardware testing tools. This toolset was crucial for the development of EMMON which was designed to use standard commercially available technologies, while maintaining as much flexibility as possible to meet specific applications requirements. Finally, the EMMON architecture has been validated through extensive simulation and experimental evaluation, including a 300+ nodes testbed.