Alocação de carteiras de ações através da utilização de modelos de lógica Fuzzy

Este trabalho tem por objetivo propor uma carteira composta por posições compradas e vendidas de ações que supere os principais Índices de mercado. O resultado é obtido através de um modelo de Lógica Fuzzy, que é um modelo de inteligência artificial que trata os dados de maneira lógica, ou seja, sem relacionar as variáveis através de modelos matemáticos convencionais. Para esse estudo utilizamos como variáveis de entrada os múltiplos Preço/Lucro Esperado e Preço/Valor Patrimonial da Empresa de cada ação considerada. Foram estudadas as ações do mercado americano pertencentes ao índice S&P 500, do ano de 2000 até 2007. Com o intuito de comparar a eficiência do Modelo de Lógica Fuzzy, utilizamos o modelo de Regressão Linear Multivariada e os índices de mercado S&P 500 e o S&P 500 com uma modificação para se adequar aos dados escolhidos para o estudo. O modelo proposto produziu resultados satisfatórios. Para quase todos os anos estudados o retorno da carteira obtida foi muito superior ao dos Índices de mercado e do modelo linear convencional. Através de testes adequados comprovamos estatisticamente a eficiência do modelo em comparação aos Índices de mercado e ao modelo linear convencional.

Low cost BIST techniques for linear and non-linear analog circuits

With the ever increasing demands for high complexity consumer electronic products, market pressures demand faster product development and lower cost. SoCbased design can provide the required design flexibility and speed by allowing the use of IP cores. However, testing costs in the SoC environment can reach a substantial percent of the total production cost. Analog testing costs may dominate the total test cost, as testing of analog circuits usually require functional verification of the circuit and special testing procedures. For RF analog circuits commonly used in wireless applications, testing is further complicated because of the high frequencies involved. In summary, reducing analog test cost is of major importance in the electronic industry today. BIST techniques for analog circuits, though potentially able to solve the analog test cost problem, have some limitations. Some techniques are circuit dependent, requiring reconfiguration of the circuit being tested, and are generally not usable in RF circuits. In the SoC environment, as processing and memory resources are available, they could be used in the test. However, the overhead for adding additional AD and DA converters may be too costly for most systems, and analog routing of signals may not be feasible and may introduce signal distortion. In this work a simple and low cost digitizer is used instead of an ADC in order to enable analog testing strategies to be implemented in a SoC environment. Thanks to the low analog area overhead of the converter, multiple analog test points can be observed and specific analog test strategies can be enabled. As the digitizer is always connected to the analog test point, it is not necessary to include muxes and switches that would degrade the signal path. For RF analog circuits, this is specially useful, as the circuit impedance is fixed and the influence of the digitizer can be accounted for in the design phase. Thanks to the simplicity of the converter, it is able to reach higher frequencies, and enables the implementation of low cost RF test strategies. The digitizer has been applied successfully in the testing of both low frequency and RF analog circuits. Also, as testing is based on frequency-domain characteristics, nonlinear characteristics like intermodulation products can also be evaluated. Specifically, practical results were obtained for prototyped base band filters and a 100MHz mixer. The application of the converter for noise figure evaluation was also addressed, and experimental results for low frequency amplifiers using conventional opamps were obtained. The proposed method is able to enhance the testability of current mixed-signal designs, being suitable for the SoC environment used in many industrial products nowadays.

Novel catalyst systems based on Ni(II), Ti(IV), and Cr(III) complexes for oligo-and polymerization of ethylene

The complex of Brookhart Ni(α-diimine)Cl2 (1) (α-diimine = 1,4-bis(2,6- diisopropylphenyl)-acenaphthenediimine) has been characterized after impregnation on silica (S1) and MAO-modified silicas (4.0, 8.0 and 23.0 wts.% Al/SiO2 called S2, S3 and S4, respectively). The treatment of these heterogeneous systems with MAO produces some active catalysts for the polymerization of the ethylene. A high catalytic activity has been gotten while using the system supported 1/S3 (196 kg of PE/mol[Ni].h.atm; toluene, Al/Ni = 1000, 30ºC, 60 min and atmospheric pressure of ethylene). The effects of polymerization conditions have been tested with the catalyst supported in S2 and the best catalytic activity has been gotten with solvent hexane, MAO as cocatalyst, molar ratio Al/Ni of 1000 and to the temperature of 30°C (285 kg of PE/mol[Ni].h.atm). When the reaction has been driven according to the in situ methodology, the activity practically doubled and polymers showed some similar properties. Polymers products by the supported catalysts showed the absence of melting fusion, results similar to those gotten with the homogeneous systems by DSC analysis. But then, polymers gotten with the transplanted system present according to the GPC’s curves the polydispersity (MwD) varies between 1.7 and 7.0. A polyethylene blend (BPE/LPE) was prepared using the complex Ni(α-diimine)Cl2 (1) (α-diimine = 1,4-bis(2,6-diisopropylphenyl)-acenaphthenediimine) and {TpMs*}TiCl3 (2) (TpMs* = hydridobis(3-mesitylpyrazol-1-yl)(5-mesitylpyrazol-1-yl)) supported in situ on MAO-modified silica (4.0 wts. -% Al/SiO2, S2). Reactions of polymerization of ethylene have been executed in the toluene in two different temperatures (0 and 30°C), varying the molars fraction of nickel (xNi), and using MAO as external cocatalyst. To all temperatures, the activities show a linear variation tendency with xNi and indicate the absence of the effect synergic between the species of nickel and the titanium. The maximum of activity have been found at 0°C. The melting temperature for the blends of polyethylene produced at 0 °C decrease whereas xNi increases indicating a good compatibility between phases of the polyethylene gotten with the two catalysts. The melting temperature for the blends of polyethylene showed be depend on the order according to which catalysts have been supported on the MAO-modified silica. The initial immobilization of 1 on the support (2/1/S2) product of polymers with a melting temperature (Tm) lower to the one of the polymer gotten when the titanium has been supported inicially (1/2/S2). The observation of polyethylenes gotten with the two systems (2/1/S2 and 1/2/S2) by scanning electron microscopy (SEM) showed the spherical polymer formation showing that the spherical morphology of the support to been reproduced. Are described the synthesis, the characterization and the catalytic properties for the oligomerization of the ethylene of four organometallics compounds of CrIII with ligands ([bis[2-(3,5-dimethyl-1-pyrazolyl)ethyl]amine] chromium (III) chloride (3a), [bis[2-(3,5- dimethyl-l-pyrazolyl)ethyl]benzylamine] chromium (III) chloride (3b), [bis[2-(3,5-dimethyl-lpyrazolyl) ethyl]ether] chromiun(III)chloride (3c), [bis[2-(3-phenyl-lpyrazolyl) ethyl]ether]chromiun(III)chloride (3d)). In relation of the oligomerization, at exception made of the compounds 3a, all complex of the chromium showed be active after activation with MAO and the TOF gotten have one effect differentiated to those formed with CrCl3(thf)3. The coordination of a tridentate ligand on the metallic center doesn't provoke any considerable changes on the formation of the C4 and C6, but the amount of C8 are decrease and the C10 and C12+ have increased. The Polymers produced by the catalyst 3a to 3 and 20 bar of ethylene have, according to analyses by DSC, the temperatures of fusion of 133,8 and 136ºC respectively. It indicates that in the two cases the production of high density polyethylene. The molar mass, gotten by GPC, is 46647 g/mols with MwD = 2,4 (3 bar). The system 3c/MAO showed values of TOF, activity and selectivity to different α-olefins according to the pressure of ethylene uses. Himself that shown a big sensibility to the concentration of ethylene solubilized.

A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate short horizon forecasts. We find that both long and short rates respond to disequilibria in the spread in certain circumstances, which would not be evident from linear representations or from single-equation analyses of the short-term interest rate.

An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

Ambiente para avaliação de controladores fuzzy aplicados ao método de elevação artificial por bombeio centrífugo submerso

From their early days, Electrical Submergible Pumping (ESP) units have excelled in lifting much greater liquid rates than most of the other types of artificial lift and developed by good performance in wells with high BSW, in onshore and offshore environments. For all artificial lift system, the lifetime and frequency of interventions are of paramount importance, given the high costs of rigs and equipment, plus the losses coming from a halt in production. In search of a better life of the system comes the need to work with the same efficiency and security within the limits of their equipment, this implies the need for periodic adjustments, monitoring and control. How is increasing the prospect of minimizing direct human actions, these adjustments should be made increasingly via automation. The automated system not only provides a longer life, but also greater control over the production of the well. The controller is the brain of most automation systems, it is inserted the logic and strategies in the work process in order to get you to work efficiently. So great is the importance of controlling for any automation system is expected that, with better understanding of ESP system and the development of research, many controllers will be proposed for this method of artificial lift. Once a controller is proposed, it must be tested and validated before they take it as efficient and functional. The use of a producing well or a test well could favor the completion of testing, but with the serious risk that flaws in the design of the controller were to cause damage to oil well equipment, many of them expensive. Given this reality, the main objective of the present work is to present an environment for evaluation of fuzzy controllers for wells equipped with ESP system, using a computer simulator representing a virtual oil well, a software design fuzzy controllers and a PLC. The use of the proposed environment will enable a reduction in time required for testing and adjustments to the controller and evaluated a rapid diagnosis of their efficiency and effectiveness. The control algorithms are implemented in both high-level language, through the controller design software, such as specific language for programming PLCs, Ladder Diagram language.

Fuzzy modeling to predict chicken egg hatchability in commercial hatchery

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

Controle preditivo não linear baseado no modelo de Hammerstein com prova de estabilidade

The Predictive Controller has been receiving plenty attention in the last decades, because the need to understand, to analyze, to predict and to control real systems has been quickly growing with the technological and industrial progress. The objective of this thesis is to present a contribution for the development and implementation of Nonlinear Predictive Controllers based on Hammerstein model, as well as to its make properties evaluation. In this case, in the Nonlinear Predictive Controller development the time-step linearization method is used and a compensation term is introduced in order to improve the controller performance. The main motivation of this thesis is the study and stability guarantee for the Nonlinear Predictive Controller based on Hammerstein model. In this case, was used the concepts of sections and Popov Theorem. Simulation results with literature models shows that the proposed approaches are able to control with good performance and to guarantee the systems stability

Arquitetura inteligente fuzzy para monitoramento de sinais vitais de pacientes: um estudo de caso em UTI

The area of the hospital automation has been the subject a lot of research, addressing relevant issues which can be automated, such as: management and control (electronic medical records, scheduling appointments, hospitalization, among others); communication (tracking patients, staff and materials), development of medical, hospital and laboratory equipment; monitoring (patients, staff and materials); and aid to medical diagnosis (according to each speciality). This thesis presents an architecture for a patient monitoring and alert systems. This architecture is based on intelligent systems techniques and is applied in hospital automation, specifically in the Intensive Care Unit (ICU) for the patient monitoring in hospital environment. The main goal of this architecture is to transform the multiparameter monitor data into useful information, through the knowledge of specialists and normal parameters of vital signs based on fuzzy logic that allows to extract information about the clinical condition of ICU patients and give a pre-diagnosis. Finally, alerts are dispatched to medical professionals in case any abnormality is found during monitoring. After the validation of the architecture, the fuzzy logic inferences were applied to the trainning and validation of an Artificial Neural Network for classification of the cases that were validated a priori with the fuzzy system

Análise comparativa do desempenho de um Controlador Fuzzy acoplado a um PID Neural sintonizado por um Algoritmo Genético com Controladores Inteligentes Convencionais

On this paper, it is made a comparative analysis among a controller fuzzy coupled to a PID neural adjusted by an AGwith several traditional control techniques, all of them applied in a system of tanks (I model of 2nd order non lineal). With the objective of making possible the techniques involved in the comparative analysis and to validate the control to be compared, simulations were accomplished of some control techniques (conventional PID adjusted by GA, Neural PID (PIDN) adjusted by GA, Fuzzy PI, two Fuzzy attached to a PID Neural adjusted by GA and Fuzzy MISO (3 inputs) attached to a PIDN adjusted by GA) to have some comparative effects with the considered controller. After doing, all the tests, some control structures were elected from all the tested techniques on the simulating stage (conventional PID adjusted by GA, Fuzzy PI, two Fuzzy attached to a PIDN adjusted by GA and Fuzzy MISO (3 inputs) attached to a PIDN adjusted by GA), to be implemented at the real system of tanks. These two kinds of operation, both the simulated and the real, were very important to achieve a solid basement in order to establish the comparisons and the possible validations show by the results

Comparison of non-linear growth models to describe the growth curve in West African Dwarf sheep

The objectives of this study were to compare the goodness of fit of four non-linear growth models, i.e. Brody, Gompertz, Logistic and Von Bertalanffy, in West African Dwarf (WAD) sheep. A total of 5274 monthly weight records from birth up to 180 days of age from 889 lambs, collected during 2001 to 2004 in Betecoucou breeding farm in Benin were used. In the preliminary analysis, the General Linear Model Procedure of the Statistical Analysis Systems Institute was applied to the dataset to identify the significant effects of the sex of lamb (male and female), type of birth (single and twin), season of birth (rainy season and dry season), parity of dam (1, 2 and 3) and year of birth (2001, 2002, 2003 and 2004) on the observed birth weight and monthly weight up to 6 months of age. The models parameters (A, B and k), coefficient of determination (112), mean square error (MSE) were calculated using language of technical computing package Matlab(R), 2006. The mean values of A, B and k were substituted into each model to calculate the corresponding Akaike's Information Criterion (AIC). Among the four growth functions, the Brody model has been selected for its accuracy of fit according to the higher R(2), lower MSE and A/C Finally, the parameters A, B and k were adjusted in Matlab(R) 2006 for the sex of lamb, year of birth, season of birth, birth type and the parity of ewe, providing a specific slope of the Brody growth curve. The results of this study suggest that Brody model can be useful for WAD sheep breeding in Betecoucou farm conditions through growth monitoring.

Prediction of intake and average daily gain by different feeding systems for goats

A main purpose of a mathematical nutrition model (a.k.a., feeding systems) is to provide a mathematical approach for determining the amount and composition of the diet necessary for a certain level of animal productive performance. Therefore, feeding systems should be able to predict voluntary feed intake and to partition nutrients into different productive functions and performances. In the last decades, several feeding systems for goats have been developed. The objective of this paper is to compare and evaluate the main goat feeding systems (AFRC, CSIRO, NRC, and SRNS), using data of individual growing goat kids from seven studies conducted in Brazil. The feeding systems were evaluated by regressing the residuals (observed minus predicted) on the predicted values centered on their means. The comparisons showed that these systems differ in their approach for estimating dry matter intake (DMI) and energy requirements for growing goats. The AFRC system was the most accurate for predicting DMI (mean bias = 91 g/d, P < 0.001; linear bias 0.874). The average ADG accounted for a large part of the bias in the prediction of DMI by CSIRO, NRC, and, mainly, AFRC systems. The CSIRO model gave the most accurate predictions of ADG when observed DMI was used as input in the models (mean bias 12 g/d, P < 0.001; linear bias -0.229). while the AFRC was the most accurate when predicted DMI was used (mean bias 8g/d. P > 0.1; linear bias -0.347). (C) 2011 Elsevier B.V. All rights reserved.

Automação da detecção de fraudes em sistemas de medição de energia elétrica utilizando lógica fuzzy em ambiente SCADA

This works presents a proposal to make automatic the identification of energy thefts in the meter systems through Fuzzy Logic and supervisory like SCADA. The solution we find by to collect datas from meters at customers units: voltage, current, power demand, angles conditions of phasors diagrams of voltages and currents, and taking these datas by fuzzy logic with expert knowledge into a fuzzy system. The parameters collected are computed by fuzzy logic, in engineering alghorithm, and the output shows to user if the customer researched may be consuming electrical energy without to pay for it, and these feedbacks have its own membership grades. The value of this solution is a need for reduce the losses that already sets more than twenty per cent. In such a way that it is an expert system that looks for decision make with assertivity, and it looks forward to find which problems there are on site and then it wont happen problems of relationship among the utility and the customer unit. The database of an electrical company was utilized and the datas from it were worked by the fuzzy proposal and algorithm developed and the result was confirmed

Lógica Fuzzy para Controle de pH em um Processo Petrolífero

This work proposes the design, the performance evaluation and a methodology for tuning the initial MFs parameters of output of a function based Takagi-Sugeno-Kang Fuzzy-PI controller to neutralize the pH in a stirred-tank reactor. The controller is designed to perform pH neutralization of industrial plants, mainly in units found in oil refineries where it is strongly required to mitigate uncertainties and nonlinearities. In addition, it adjusts the changes in pH regulating process, avoiding or reducing the need for retuning to maintain the desired performance. Based on the Hammerstein model, the system emulates a real plant that fits the changes in pH neutralization process of avoiding or reducing the need to retune. The controller performance is evaluated by overshoots, stabilization times, indices Integral of the Absolute Error (IAE) and Integral of the Absolute Value of the Error-weighted Time (ITAE), and using a metric developed by that takes into account both the error information and the control signal. The Fuzzy-PI controller is compared with PI and gain schedule PI controllers previously used in the testing plant, whose results can be found in the literature.

Estratégia de escalonamento de controladores PID baseado em regras Fuzzy para redes industriais foundation fieldbus usando blocos padrões

The main objective of work is to show procedures to implement intelligent control strategies. This strategies are based on fuzzy scheduling of PID controllers, by using only standard function blocks of this technology. Then, the standardization of Foundation Fieldbus is kept. It was developed an environment to do the necessary tests, it validates the propose. This environment is hybrid, it has a real module (the fieldbus) and a simulated module (the process), although the control signals and measurement are real. Then, it is possible to develop controllers projects. In this work, a fuzzy supervisor was developed to schedule a network of PID controller for a non-linear plant. Analyzing its performance results to the control and regulation problem