Forecasting Electricity Prices and their volatilities using Unobserved Components.

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term. Thus, there is a need of providing methodology that is able to deal with the most important features of electricity price series, which are well known for presenting not only structure in conditional mean but also time-varying conditional variances. In this work we propose a new model, which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices. These common factors are jointly estimated as well as their relationship with the original vector of series, and the dynamics affecting both their conditional mean and variance. The estimation of the model is carried out under the state-space formulation. The new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the Spanish zone of the Iberian Market. Several simplified/alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power.

Proposal for the Management of temporal and semantic components of Geographic Information

This poster raises the issue of a research work oriented to the storage, retrieval, representation and analysis of dynamic GI, taking into account the semantic, the temporal and the spatiotemporal components. We intend to define a set of methods, rules and restrictions for the adequate integration of these components into the primary elements of the GI: theme, location, time [1]. We intend to establish and incorporate three new structures (layers) into the core of data storage by using mark-up languages: a semantictemporal structure, a geosemantic structure, and an incremental spatiotemporal structure. The ultimate objective is the modelling and representation of the dynamic nature of geographic features, establishing mechanisms to store geometries enriched with a temporal structure (regardless of space) and a set of semantic descriptors detailing and clarifying the nature of the represented features and their temporality. Thus, data would be provided with the capability of pinpointing and expressing their own basic and temporal characteristics, enabling them to interact each other according to their context, and their time and meaning relationships that could be eventually established

Simulation of Freight Trains Equipped with Partially Filled Tank Containers and Related Resonance Phenomenon

To study the fluid motion-vehicle dynamics interaction, a model of four, liquid filled two-axle container freight wagons was set up. The railway vehicle has been modelled as a multi-body system (MBS). To include fluid sloshing, an equivalent mechanical model has been developed and incorporated. The influence of several factors has been studied in computer simulations, such as track defects, curve negotiation, train velocity, wheel wear, liquid and solid wagonload, and container baffles. SIMPACK has been used for MBS analysis, and ANSYS for liquid sloshing modelling and equivalent mechanical systems validation. Acceleration and braking manoeuvres of the freight train set the liquid cargo into motion. This longitudinal sloshing motion of the fluid cargo inside the tanks initiated a swinging motion of some components of the coupling gear. The coupling gear consists of UIC standard traction hooks and coupling screws that are located between buffers. One of the coupling screws is placed in the traction hook of the opposite wagon thus joining the two wagons, whereas the unused coupling screw rests on a hanger. Simulation results showed that, for certain combinations of type of liquid, filling level and container dimensions, the liquid cargo could provoke an undesirable, although not hazardous, release of the unused coupling screw from its hanger. The coupling screw's release was especially obtained when a period of acceleration was followed by an abrupt braking manoeuvre at 1 m/s2. It was shown that a resonance effect between the liquid's oscillation and the coupling screw's rotary motion could be the reason for the coupling screw's undesired release. Possible solutions to avoid the phenomenon are given.Acceleration and braking manoeuvres of the freight train set the liquid cargo into motion. This longitudinal sloshing motion of the fluid cargo inside the tanks initiated a swinging motion of some components of the coupling gear. The coupling gear consists of UIC standard traction hooks and coupling screws that are located between buffers. One of the coupling screws is placed in the traction hook of the opposite wagon thus joining the two wagons, whereas the unused coupling screw rests on a hanger. This paper reports on a study of the fluid motion-train vehicle dynamics interaction. In the study, a model of four, liquid-filled two-axle container freight wagons was developed. The railway vehicle has been modeled as a multi-body system (MBS). To include fluid sloshing, an equivalent mechanical model has been developed and incorporated. The influence of several factors has been studied in computer simulations, such as track defects, curve negotiation, train velocity, wheel wear, liquid and solid wagonload, and container baffles. A simulation program was used for MBS analysis, and a finite element analysis program was used for liquid sloshing modeling and equivalent mechanical systems validation. Acceleration and braking maneuvers of the freight train set the liquid cargo into motion. This longitudinal sloshing motion of the fluid cargo inside the tanks initiated a swinging motion of some components of the coupling gear. Simulation results showed that, for certain combinations of type of liquid, filling level and container dimensions, the liquid cargo could provoke an undesirable, although not hazardous, release of an unused coupling screw from its hanger. It was shown that a resonance effect between the liquid's oscillation and the coupling screw's rotary motion could be the reason for the coupling screw's undesired release. Solutions are suggested to avoid the resonance problem, and directions for future research are given.

Analysis and 2D Simulation of a Hexapod Robot Leg for Remote Exploration

A walking machine is a wheeled rover alternative, well suited for work in an unstructured environment and specially in abrupt terrain. They have some drawback like speed and power consumption, but they can achieve complex movements and protrude very little the environment they are working on. The locomotion system is determined by the terrain conditions and, in our case, this legged design has been chosen based in a working area like Rio Tinto in the South of Spain, which is a river area with abrupt terrain. A walking robot with so many degrees of freedom can be a challenge when dealing with the analysis and simulations of the legs. This paper shows how to deal with the kinematical analysis of the equations of a hexapod robot based on a design developed by the Center of Astrobiology INTA-CSIC following the classical formulation of equations

Parallelizing irregular and pointer-based computations automatically: perspectives from logic and constraint programming

Irregular computations pose sorne of the most interesting and challenging problems in automatic parallelization. Irregularity appears in certain kinds of numerical problems and is pervasive in symbolic applications. Such computations often use dynamic data structures, which make heavy use of pointers. This complicates all the steps of a parallelizing compiler, from independence detection to task partitioning and placement. Starting in the mid 80s there has been significant progress in the development of parallelizing compilers for logic pro­gramming (and more recently, constraint programming) resulting in quite capable paralle­lizers. The typical applications of these paradigms frequently involve irregular computations, and make heavy use of dynamic data structures with pointers, since logical variables represent in practice a well-behaved form of pointers. This arguably makes the techniques used in these compilers potentially interesting. In this paper, we introduce in a tutoríal way, sorne of the problems faced by parallelizing compilers for logic and constraint programs and provide pointers to sorne of the significant progress made in the area. In particular, this work has resulted in a series of achievements in the areas of inter-procedural pointer aliasing analysis for independence detection, cost models and cost analysis, cactus-stack memory management, techniques for managing speculative and irregular computations through task granularity control and dynamic task allocation such as work-stealing schedulers), etc.

Lower bound cost estimation for logic programs

It is generally recognized that information about the runtime cost of computations can be useful for a variety of applications, including program transformation, granularity control during parallel execution, and query optimization in deductive databases. Most of the work to date on compile-time cost estimation of logic programs has focused on the estimation of upper bounds on costs. However, in many applications, such as parallel implementations on distributed-memory machines, one would prefer to work with lower bounds instead. The problem with estimating lower bounds is that in general, it is necessary to account for the possibility of failure of head unification, leading to a trivial lower bound of 0. In this paper, we show how, given type and mode information about procedures in a logic program, it is possible to (semi-automatically) derive nontrivial lower bounds on their computational costs. We also discuss the cost analysis for the special and frequent case of divide-and-conquer programs and show how —as a pragmatic short-term solution —it may be possible to obtain useful results simply by identifying and treating divide-and-conquer programs specially.

Automatic parallelization of irregular and pointer-based computations: perspectives from logic and constraint programming

Irregular computations pose some of the most interesting and challenging problems in automatic parallelization. Irregularity appears in certain kinds of numerical problems and is pervasive in symbolic applications. Such computations often use dynamic data structures which make heavy use of pointers. This complicates all the steps of a parallelizing compiler, from independence detection to task partitioning and placement. In the past decade there has been significant progress in the development of parallelizing compilers for logic programming and, more recently, constraint programming. The typical applications of these paradigms frequently involve irregular computations, which arguably makes the techniques used in these compilers potentially interesting. In this paper we introduce in a tutorial way some of the problems faced by parallelizing compilers for logic and constraint programs. These include the need for inter-procedural pointer aliasing analysis for independence detection and having to manage speculative and irregular computations through task granularity control and dynamic task allocation. We also provide pointers to some of the progress made in these áreas. In the associated talk we demónstrate representatives of several generations of these parallelizing compilers.

Interactions between roughness and topography in hydraulic models

Analysis of river flow using hydraulic modelling and its implications in derived environ-mental applications are inextricably connected with the way in which the river boundary shape is represented. This relationship is scale-dependent upon the modelling resolution which in turn determines the importance of a subscale performance of the model and the way subscale (surface and flow) processes are parameterised. Commonly, the subscale behaviour of the model relies upon a roughness parameterisation whose meaning depends on the dimensionality of the hydraulic model and the resolution of the topographic represen¬tation scale. This latter is, in turn, dependent on the resolution of the computational mesh as well as on the detail of measured topographic data. Flow results are affected by this interactions between scale and subscale parameterisation according to the dimensionality approach. The aim of this dissertation is the evaluation of these interactions upon hy¬draulic modelling results. Current high resolution topographic source availability induce this research which is tackled using a suitable roughness approach according to each di¬mensionality with the purpose of the interaction assessment. A 1D HEC-RAS model, a 2D raster-based diffusion-wave model with a scale-dependent distributed roughness parame-terisation and a 3D finite volume scheme with a porosity algorithm approach to incorporate complex topography have been used. Different topographic sources are assessed using a 1D scheme. LiDAR data are used to isolate the mesh resolution from the topographic content of the DEM effects upon 2D and 3D flow results. A distributed roughness parameterisation, using a roughness height approach dependent upon both mesh resolution and topographic content is developed and evaluated for the 2D scheme. Grain-size data and fractal methods are used for the reconstruction of topography with microscale information, required for some applications but not easily available. Sensitivity of hydraulic parameters to this topographic parameterisation is evaluated in a 3D scheme at different mesh resolu¬tions. Finally, the structural variability of simulated flow is analysed and related to scale interactions. Model simulations demonstrate (i) the importance of the topographic source in a 1D models; (ii) the mesh resolution approach is dominant in 2D and 3D simulations whereas in a 1D model the topographic source and even the roughness parameterisation impacts are more critical; (iii) the increment of the sensitivity to roughness parameterisa-tion in 1D and 2D schemes with detailed topographic sources and finer mesh resolutions; and (iv) the topographic content and microtopography impact throughout the vertical profile of computed 3D velocity in a depth-dependent way, whereas 2D results are not affected by topographic content variations. Finally, the spatial analysis shows that the mesh resolution controls high resolution model scale results, roughness parameterisation control 2D simulation results for a constant mesh resolution; and topographic content and micro-topography variations impacts upon the organisation of flow results depth-dependently in a 3D scheme. Resumen La topografía juega un papel fundamental en la distribución del agua y la energía en los paisajes naturales (Beven and Kirkby 1979; Wood et al. 1997). La simulación hidráulica combinada con métodos de medición del terreno por teledetección constituyen una poderosa herramienta de investigación en la comprensión del comportamiento de los flujos de agua debido a la variabilidad de la superficie sobre la que fluye. La representación e incorporación de la topografía en el esquema hidráulico tiene una importancia crucial en los resultados y determinan el desarrollo de sus aplicaciones al campo medioambiental. Cualquier simulación es una simplificación de un proceso del mundo real, y por tanto el grado de simplificación determinará el significado de los resultados simulados. Este razonamiento es particularmente difícil de trasladar a la simulación hidráulica donde aspectos de la escala tan diferentes como la escala de los procesos de flujo y de representación del contorno son considerados conjuntamente incluso en fases de parametrización (e.g. parametrización de la rugosidad). Por una parte, esto es debido a que las decisiones de escala vienen condicionadas entre ellas (e.g. la dimensionalidad del modelo condiciona la escala de representación del contorno) y por tanto interaccionan en sus resultados estrechamente. Y por otra parte, debido a los altos requerimientos numéricos y computacionales de una representación explícita de alta resolución de los procesos de flujo y discretización de la malla. Además, previo a la modelización hidráulica, la superficie del terreno sobre la que el agua fluye debe ser modelizada y por tanto presenta su propia escala de representación, que a su vez dependerá de la escala de los datos topográficos medidos con que se elabora el modelo. En última instancia, esta topografía es la que determina el comportamiento espacial del flujo. Por tanto, la escala de la topografía en sus fases de medición y modelización (resolución de los datos y representación topográfica) previas a su incorporación en el modelo hidráulico producirá a su vez un impacto que se acumulará al impacto global resultante debido a la escala computacional del modelo hidráulico y su dimensión. La comprensión de las interacciones entre las complejas geometrías del contorno y la estructura del flujo utilizando la modelización hidráulica depende de las escalas consideradas en la simplificación de los procesos hidráulicos y del terreno (dimensión del modelo, tamaño de escala computacional y escala de los datos topográficos). La naturaleza de la aplicación del modelo hidráulico (e.g. habitat físico, análisis de riesgo de inundaciones, transporte de sedimentos) determina en primer lugar la escala del estudio y por tanto el detalle de los procesos a simular en el modelo (i.e. la dimensionalidad) y, en consecuencia, la escala computacional a la que se realizarán los cálculos (i.e. resolución computacional). Esta última a su vez determina, el detalle geográfico con que deberá representarse el contorno acorde con la resolución de la malla computacional. La parametrización persigue incorporar en el modelo hidráulico la cuantificación de los procesos y condiciones físicas del sistema natural y por tanto debe incluir no solo aquellos procesos que tienen lugar a la escala de modelización, sino también aquellos que tienen lugar a un nivel subescalar y que deben ser definidos mediante relaciones de escalado con las variables modeladas explícitamente. Dicha parametrización se implementa en la práctica mediante la provisión de datos al modelo, por tanto la escala de los datos geográficos utilizados para parametrizar el modelo no sólo influirá en los resultados, sino también determinará la importancia del comportamiento subescalar del modelo y el modo en que estos procesos deban ser parametrizados (e.g. la variabilidad natural del terreno dentro de la celda de discretización o el flujo en las direcciones laterales y verticales en un modelo unidimensional). En esta tesis, se han utilizado el modelo unidimensional HEC-RAS, (HEC 1998b), un modelo ráster bidimensional de propagación de onda, (Yu 2005) y un esquema tridimensional de volúmenes finitos con un algoritmo de porosidad para incorporar la topografía, (Lane et al. 2004; Hardy et al. 2005). La geometría del contorno viene definida por la escala de representación topográfica (resolución de malla y contenido topográfico), la cual a su vez depende de la escala de la fuente cartográfica. Todos estos factores de escala interaccionan en la respuesta del modelo hidráulico a la topografía. En los últimos años, métodos como el análisis fractal y las técnicas geoestadísticas utilizadas para representar y analizar elementos geográficos (e.g. en la caracterización de superficies (Herzfeld and Overbeck 1999; Butler et al. 2001)), están promoviendo nuevos enfoques en la cuantificación de los efectos de escala (Lam et al. 2004; Atkinson and Tate 2000; Lam et al. 2006) por medio del análisis de la estructura espacial de la variable (e.g. Bishop et al. 2006; Ju et al. 2005; Myint et al. 2004; Weng 2002; Bian and Xie 2004; Southworth et al. 2006; Pozd-nyakova et al. 2005; Kyriakidis and Goodchild 2006). Estos métodos cuantifican tanto el rango de valores de la variable presentes a diferentes escalas como la homogeneidad o heterogeneidad de la variable espacialmente distribuida (Lam et al. 2004). En esta tesis, estas técnicas se han utilizado para analizar el impacto de la topografía sobre la estructura de los resultados hidráulicos simulados. Los datos de teledetección de alta resolución y técnicas GIS también están siendo utilizados para la mejor compresión de los efectos de escala en modelos medioambientales (Marceau 1999; Skidmore 2002; Goodchild 2003) y se utilizan en esta tesis. Esta tesis como corpus de investigación aborda las interacciones de esas escalas en la modelización hidráulica desde un punto de vista global e interrelacionado. Sin embargo, la estructura y el foco principal de los experimentos están relacionados con las nociones espaciales de la escala de representación en relación con una visión global de las interacciones entre escalas. En teoría, la representación topográfica debe caracterizar la superficie sobre la que corre el agua a una adecuada (conforme a la finalidad y dimensión del modelo) escala de discretización, de modo que refleje los procesos de interés. La parametrización de la rugosidad debe de reflejar los efectos de la variabilidad de la superficie a escalas de más detalle que aquellas representadas explícitamente en la malla topográfica (i.e. escala de discretización). Claramente, ambos conceptos están físicamente relacionados por un

Agent-based modelling for cement hydration

The Agent-Based Modelling and simulation (ABM) is a rather new approach for studying complex systems withinteracting autonomous agents that has lately undergone great growth in various fields such as biology, physics, social science, economics and business. Efforts to model and simulate the highly complex cement hydration process have been made over the past 40 years, with the aim of predicting the performance of concrete and designing innovative and enhanced cementitious materials. The ABM presented here - based on previous work - focuses on the early stages of cement hydration by modelling the physical-chemical processes at the particle level. The model considers the cement hydration process as a time and 3D space system, involving multiple diffusing and reacting species of spherical particles. Chemical reactions are simulated by adaptively selecting discrete stochastic simulation for the appropriate reaction, whenever that is necessary. Interactions between particles are also considered. The model has been inspired by reported cellular automata?s approach which provides detailed predictions of cement microstructure at the expense of significant computational difficulty. The ABM approach herein seeks to bring about an optimal balance between accuracy and computational efficiency.

Study of bond stress-slip relationship and radial dilation in prestressed concrete

This paper presents two test procedures for evaluating the bond stress–slip and the slip–radial dilation relationships when the prestressing force is transmitted by releasing the steel (wire or strand) in precast prestressed elements. The bond stress–slip relationship is obtained with short length specimens, to guarantee uniform bond stress, for three depths of the wire indentation (shallow, medium and deep). An analytical model for bond stress–slip relationship is proposed and compared with the experimental results. The model is also compared with the experimental results of other researchers. Since numerical models for studying bond-splitting problems in prestressed concrete require experimental data about dilatancy angle (radial dilation), a test procedure is proposed to evaluate these parameters. The obtained values of the radial dilation are compared with the prior estimated by numerical modelling and good agreement is reached

Design and Validation of a Light Inference System to Support Embedded Context Reasoning

Embedded context management in resource-constrained devices (e.g. mobile phones, autonomous sensors or smart objects) imposes special requirements in terms of lightness for data modelling and reasoning. In this paper, we explore the state-of-the-art on data representation and reasoning tools for embedded mobile reasoning and propose a light inference system (LIS) aiming at simplifying embedded inference processes offering a set of functionalities to avoid redundancy in context management operations. The system is part of a service-oriented mobile software framework, conceived to facilitate the creation of context-aware applications?it decouples sensor data acquisition and context processing from the application logic. LIS, composed of several modules, encapsulates existing lightweight tools for ontology data management and rule-based reasoning, and it is ready to run on Java-enabled handheld devices. Data management and reasoning processes are designed to handle a general ontology that enables communication among framework components. Both the applications running on top of the framework and the framework components themselves can configure the rule and query sets in order to retrieve the information they need from LIS. In order to test LIS features in a real application scenario, an ?Activity Monitor? has been designed and implemented: a personal health-persuasive application that provides feedback on the user?s lifestyle, combining data from physical and virtual sensors. In this case of use, LIS is used to timely evaluate the user?s activity level, to decide on the convenience of triggering notifications and to determine the best interface or channel to deliver these context-aware alerts.

The application of inverse-dispersion and gradient methods to estimate ammonia emissions from a penguin colony.

Penguin colonies represent some of the most concentrated sources of ammonia emissions to the atmosphere in the world. The ammonia emitted into the atmosphere can have a large influence on the nitrogen cycling of ecosystems near the colonies. However, despite the ecological importance of the emissions, no measurements of ammonia emissions from penguin colonies have been made. The objective of this work was to determine the ammonia emission rate of a penguin colony using inverse-dispersion modelling and gradient methods. We measured meteorological variables and mean atmospheric concentrations of ammonia at seven locations near a colony of Adélie penguins in Antarctica to provide input data for inverse-dispersion modelling. Three different atmospheric dispersion models (ADMS, LADD and a Lagrangian stochastic model) were used to provide a robust emission estimate. The Lagrangian stochastic model was applied both in ‘forwards’ and ‘backwards’ mode to compare the difference between the two approaches. In addition, the aerodynamic gradient method was applied using vertical profiles of mean ammonia concentrations measured near the centre of the colony. The emission estimates derived from the simulations of the three dispersion models and the aerodynamic gradient method agreed quite well, giving a mean emission of 1.1 g ammonia per breeding pair per day (95% confidence interval: 0.4–2.5 g ammonia per breeding pair per day). This emission rate represents a volatilisation of 1.9% of the estimated nitrogen excretion of the penguins, which agrees well with that estimated from a temperature-dependent bioenergetics model. We found that, in this study, the Lagrangian stochastic model seemed to give more reliable emission estimates in ‘forwards’ mode than in ‘backwards’ mode due to the assumptions made.

An experimental and theoretical study of unsteady flow (gust) effects on structures

The gust wind tunnel at IDR, Universidad Politécnica de Madrid (UPM), has been enhanced and the impact of the modification has been characterized. Several flow quality configurations have been tested. The problems in measuring gusty winds with Pitot tubes have been considered. Experimental results have been obtained and compared with theoretically calculated results (based on potential flow theory). A theoretical correction term has been proposed for unsteady flow measurements obtained with Pitot tubes. The effect of unsteady flow on structures and laying bodies on the ground has been also considered. A theoretical model has been proposed for a semi-circular cylinder and experimental tests have been performed to study the unsteady flow effects, which can help in clarifying the phenomenon.

Minimally invasive surgical video analysis: a powerful tool for surgical training and navigation

Analysis of minimally invasive surgical videos is a powerful tool to drive new solutions for achieving reproducible training programs, objective and transparent assessment systems and navigation tools to assist surgeons and improve patient safety. This paper presents how video analysis contributes to the development of new cognitive and motor training and assessment programs as well as new paradigms for image-guided surgery.

Molecular dynamics modeling and simulation of void growth in two dimensions

The mechanisms of growth of a circular void by plastic deformation were studied by means of molecular dynamics in two dimensions (2D). While previous molecular dynamics (MD) simulations in three dimensions (3D) have been limited to small voids (up to ≈10 nm in radius), this strategy allows us to study the behavior of voids of up to 100 nm in radius. MD simulations showed that plastic deformation was triggered by the nucleation of dislocations at the atomic steps of the void surface in the whole range of void sizes studied. The yield stress, defined as stress necessary to nucleate stable dislocations, decreased with temperature, but the void growth rate was not very sensitive to this parameter. Simulations under uniaxial tension, uniaxial deformation and biaxial deformation showed that the void growth rate increased very rapidly with multiaxiality but it did not depend on the initial void radius. These results were compared with previous 3D MD and 2D dislocation dynamics simulations to establish a map of mechanisms and size effects for plastic void growth in crystalline solids.