Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.

Thermal modelling for dynamic transformer rating in low carbon distribution network operation

Dynamic asset rating is one of a number of techniques that could be used to facilitate low carbon electricity network operation. This paper focusses on distribution level transformer dynamic rating under this context. The models available for use with dynamic asset rating are discussed and compared using measured load and weather conditions from a trial Network area within Milton Keynes. The paper then uses the most appropriate model to investigate, through simulation, the potential gains in dynamic rating compared to static rating under two transformer cooling methods to understand the potential gain to the Network Operator.

Dynamic load balancing of distributed memory parallel computational mechanics using unstructured meshes for multi-physical modelling

As the complexity of parallel applications increase, the performance limitations resulting from computational load imbalance become dominant. Mapping the problem space to the processors in a parallel machine in a manner that balances the workload of each processors will typically reduce the run-time. In many cases the computation time required for a given calculation cannot be predetermined even at run-time and so static partition of the problem returns poor performance. For problems in which the computational load across the discretisation is dynamic and inhomogeneous, for example multi-physics problems involving fluid and solid mechanics with phase changes, the workload for a static subdomain will change over the course of a computation and cannot be estimated beforehand. For such applications the mapping of loads to process is required to change dynamically, at run-time in order to maintain reasonable efficiency. The issue of dynamic load balancing are examined in the context of PHYSICA, a three dimensional unstructured mesh multi-physics continuum mechanics computational modelling code.

Modelling of an efficient dynamic smart solar photovoltaic power grid system

A smart solar photovoltaic grid system is an advent of innovation coherence of information and communications technology (ICT) with power systems control engineering via the internet [1]. This thesis designs and demonstrates a smart solar photovoltaic grid system that is selfhealing, environmental and consumer friendly, but also with the ability to accommodate other renewable sources of energy generation seamlessly, creating a healthy competitive energy industry and optimising energy assets efficiency. This thesis also presents the modelling of an efficient dynamic smart solar photovoltaic power grid system by exploring the maximum power point tracking efficiency, optimisation of the smart solar photovoltaic array through modelling and simulation to improve the quality of design for the solar photovoltaic module. In contrast, over the past decade quite promising results have been published in literature, most of which have not addressed the basis of the research questions in this thesis. The Levenberg-Marquardt and sparse based algorithms have proven to be very effective tools in helping to improve the quality of design for solar photovoltaic modules, minimising the possible relative errors in this thesis. Guided by theoretical and analytical reviews in literature, this research has carefully chosen the MatLab/Simulink software toolbox for modelling and simulation experiments performed on the static smart solar grid system. The auto-correlation coefficient results obtained from the modelling experiments give an accuracy of 99% with negligible mean square error (MSE), root mean square error (RMSE) and standard deviation. This thesis further explores the design and implementation of a robust real-time online solar photovoltaic monitoring system, establishing a comparative study of two solar photovoltaic tracking systems which provide remote access to the harvested energy data. This research made a landmark innovation in designing and implementing a unique approach for online remote access solar photovoltaic monitoring systems providing updated information of the energy produced by the solar photovoltaic module at the site location. In addressing the challenge of online solar photovoltaic monitoring systems, Darfon online data logger device has been systematically integrated into the design for a comparative study of the two solar photovoltaic tracking systems examined in this thesis. The site location for the comparative study of the solar photovoltaic tracking systems is at the National Kaohsiung University of Applied Sciences, Taiwan, R.O.C. The overall comparative energy output efficiency of the azimuthal-altitude dual-axis over the 450 stationary solar photovoltaic monitoring system as observed at the research location site is about 72% based on the total energy produced, estimated money saved and the amount of CO2 reduction achieved. Similarly, in comparing the total amount of energy produced by the two solar photovoltaic tracking systems, the overall daily generated energy for the month of July shows the effectiveness of the azimuthal-altitude tracking systems over the 450 stationary solar photovoltaic system. It was found that the azimuthal-altitude dual-axis tracking systems were about 68.43% efficient compared to the 450 stationary solar photovoltaic systems. Lastly, the overall comparative hourly energy efficiency of the azimuthal-altitude dual-axis over the 450 stationary solar photovoltaic energy system was found to be 74.2% efficient. Results from this research are quite promising and significant in satisfying the purpose of the research objectives and questions posed in the thesis. The new algorithms introduced in this research and the statistical measures applied to the modelling and simulation of a smart static solar photovoltaic grid system performance outperformed other previous works in reviewed literature. Based on this new implementation design of the online data logging systems for solar photovoltaic monitoring, it is possible for the first time to have online on-site information of the energy produced remotely, fault identification and rectification, maintenance and recovery time deployed as fast as possible. The results presented in this research as Internet of things (IoT) on smart solar grid systems are likely to offer real-life experiences especially both to the existing body of knowledge and the future solar photovoltaic energy industry irrespective of the study site location for the comparative solar photovoltaic tracking systems. While the thesis has contributed to the smart solar photovoltaic grid system, it has also highlighted areas of further research and the need to investigate more on improving the choice and quality design for solar photovoltaic modules. Finally, it has also made recommendations for further research in the minimization of the absolute or relative errors in the quality and design of the smart static solar photovoltaic module.

Performance of the Equivalent Reservoir Modelling Technique for Multi-Reservoir Hydropower Systems

This paper investigates the validity of a simplified equivalent reservoir representation of a multi-reservoir hydroelectric system for modelling its optimal operation for power maximization. This simplification, proposed by Arvanitidis and Rosing (IEEE Trans Power Appar Syst 89(2):319-325, 1970), imputes a potential energy equivalent reservoir with energy inflows and outflows. The hydroelectric system is also modelled for power maximization considering individual reservoir characteristics without simplifications. Both optimization models employed MINOS package for solution of the non-linear programming problems. A comparison between total optimized power generation over the planning horizon by the two methods shows that the equivalent reservoir is capable of producing satisfactory power estimates with less than 6% underestimation. The generation and total reservoir storage trajectories along the planning horizon obtained by equivalent reservoir method, however, presented significant discrepancies as compared to those found in the detailed modelling. This study is motivated by the fact that Brazilian generation system operations are based on the equivalent reservoir method as part of the power dispatch procedures. The potential energy equivalent reservoir is an alternative which eliminates problems with the dimensionality of state variables in a dynamic programming model.

The importance of wet-powder dynamic mechanical properties in understanding granulation

Granule impact deformation has long been recognised as important in determining whether or not two colliding granules will coalesce. Work in the last 10 years has highlighted the fact that viscous effects are significant in granulation. The relative strengths of different formulations can vary with strain rate. Therefore, traditional strength measurements made at pseudo-static conditions give no indication, even qualitatively, of how materials will behave at high strain rates, and hence are actually misleading when used to model granule coalescence. This means that new standard methods need to be developed for determining the strain rates encountered by granules inside industrial equipment and also for measuring the mechanical properties of granules at these strain rates. The constitutive equations used in theoretical models of granule coalescence also need to be extended to include strain-rate dependent components.

Review of Contact and Dynamic Phenomena in Cold Roll Forming

This review reflects the state of the art in study of contact and dynamic phenomena occurring in cold roll forming. The importance of taking these phenomena into account is determined by significant machine time and tooling costs spent on worn out forming rolls replacement and equipment adjustment in cold roll forming. Predictive modelling of the tool wear caused by contact and dynamic phenomena can reduce the production losses in this technological process.

Dynamic Similarity and Scale Effects Affecting Air Bubble Entrainment in Hydraulic Jumps

In an open channel, the transition from super- to sub-critical flow is a flow singularity (the hydraulic jump) characterised by a sharp rise in free-surface elevation, strong turbulence and air entrainment in the roller. A key feature of the hydraulic jump flow is the strong free-surface aeration and air-water flow turbulence. In the present study, similar experiments were conducted with identical inflow Froude numbers Fr1 using a geometric scaling ratio of 2:1. The results of the Froude-similar experiments showed some drastic scale effects in the smaller hydraulic jumps in terms of void fraction, bubble count rate and bubble chord time distributions. Void fraction distributions implied comparatively greater detrainment at low Reynolds numbers yielding some lesser aeration of the jump roller. The dimensionless bubble count rates were significantly lower in the smaller channel, especially in the mixing layer. The bubble chord time distributions were quantitatively close in both channels, and they were not scaled according to a Froude similitude. Simply the hydraulic jump remains a fascinating two-phase flow motion that is still poorly understood.

Optimal release strategies for biological control agents: an application of stochastic dynamic programming to population management

1. Establishing biological control agents in the field is a major step in any classical biocontrol programme, yet there are few general guidelines to help the practitioner decide what factors might enhance the establishment of such agents. 2. A stochastic dynamic programming (SDP) approach, linked to a metapopulation model, was used to find optimal release strategies (number and size of releases), given constraints on time and the number of biocontrol agents available. By modelling within a decision-making framework we derived rules of thumb that will enable biocontrol workers to choose between management options, depending on the current state of the system. 3. When there are few well-established sites, making a few large releases is the optimal strategy. For other states of the system, the optimal strategy ranges from a few large releases, through a mixed strategy (a variety of release sizes), to many small releases, as the probability of establishment of smaller inocula increases. 4. Given that the probability of establishment is rarely a known entity, we also strongly recommend a mixed strategy in the early stages of a release programme, to accelerate learning and improve the chances of finding the optimal approach.

Forward-looking versus recursive-dynamic modeling in climate policy analysis: A comparison

This paper develops a multi-regional general equilibrium model for climate policy analysis based on the latest version of the MIT Emissions Prediction and Policy Analysis (EPPA) model. We develop two versions so that we can solve the model either as a fully inter-temporal optimization problem (forward-looking, perfect foresight) or recursively. The standard EPPA model on which these models are based is solved recursively, and it is necessary to simplify some aspects of it to make inter-temporal solution possible. The forward-looking capability allows one to better address economic and policy issues such as borrowing and banking of GHG allowances, efficiency implications of environmental tax recycling, endogenous depletion of fossil resources, international capital flows, and optimal emissions abatement paths among others. To evaluate the solution approaches, we benchmark each version to the same macroeconomic path, and then compare the behavior of the two versions under a climate policy that restricts greenhouse gas emissions. We find that the energy sector and CO(2) price behavior are similar in both versions (in the recursive version of the model we force the inter-temporal theoretical efficiency result that abatement through time should be allocated such that the CO(2) price rises at the interest rate.) The main difference that arises is that the macroeconomic costs are substantially lower in the forward-looking version of the model, since it allows consumption shifting as an additional avenue of adjustment to the policy. On the other hand, the simplifications required for solving the model as an optimization problem, such as dropping the full vintaging of the capital stock and fewer explicit technological options, likely have effects on the results. Moreover, inter-temporal optimization with perfect foresight poorly represents the real economy where agents face high levels of uncertainty that likely lead to higher costs than if they knew the future with certainty. We conclude that while the forward-looking model has value for some problems, the recursive model produces similar behavior in the energy sector and provides greater flexibility in the details of the system that can be represented. (C) 2009 Elsevier B.V. All rights reserved.

Analysis of dynamic process models for structural insight and model reduction .1. Structural identification measures

An important consideration in the development of mathematical models for dynamic simulation, is the identification of the appropriate mathematical structure. By building models with an efficient structure which is devoid of redundancy, it is possible to create simple, accurate and functional models. This leads not only to efficient simulation, but to a deeper understanding of the important dynamic relationships within the process. In this paper, a method is proposed for systematic model development for startup and shutdown simulation which is based on the identification of the essential process structure. The key tool in this analysis is the method of nonlinear perturbations for structural identification and model reduction. Starting from a detailed mathematical process description both singular and regular structural perturbations are detected. These techniques are then used to give insight into the system structure and where appropriate to eliminate superfluous model equations or reduce them to other forms. This process retains the ability to interpret the reduced order model in terms of the physico-chemical phenomena. Using this model reduction technique it is possible to attribute observable dynamics to particular unit operations within the process. This relationship then highlights the unit operations which must be accurately modelled in order to develop a robust plant model. The technique generates detailed insight into the dynamic structure of the models providing a basis for system re-design and dynamic analysis. The technique is illustrated on the modelling for an evaporator startup. Copyright (C) 1996 Elsevier Science Ltd

Analysis of dynamic models for structural insight and model reduction .2. A multi-stage compressor shutdown case-study

In this second paper, the three structural measures which have been developed are used in the modelling of a three stage centrifugal synthesis gas compressor. The goal of this case study is to determine the essential mathematical structure which must be incorporated into the compressor model to accurately model the shutdown of this system. A simple, accurate and functional model of the system is created via three structural measures. It was found that the model can be correctly reduced into its basic modes and that the order of the differential system can be reduced from 51(st) to 20(th). Of the 31 differential equational 21 reduce to algebraic relations, 8 become constants and 2 can be deleted thereby increasing the algebraic set from 70 to 91 equations. An interpretation is also obtained as to which physical phenomena are dominating the dynamics of the compressor add whether the compressor will enter surge during the shutdown. Comparisons of the reduced model performance against the full model are given, showing the accuracy and applicability of the approach. Copyright (C) 1996 Elsevier Science Ltd

A generalised dynamic model for char particle gasification with structure evolution and peripheral fragmentation

A generalised model for the prediction of single char particle gasification dynamics, accounting for multi-component mass transfer with chemical reaction, heat transfer, as well as structure evolution and peripheral fragmentation is developed in this paper. Maxwell-Stefan analysis is uniquely applied to both micro and macropores within the framework of the dusty-gas model to account for the bidisperse nature of the char, which differs significantly from the conventional models that are based on a single pore type. The peripheral fragmentation and random-pore correlation incorporated into the model enable prediction of structure/reactivity relationships. The occurrence of chemical reaction within the boundary layer reported by Biggs and Agarwal (Chem. Eng. Sci. 52 (1997) 941) has been confirmed through an analysis of CO/CO2 product ratio obtained from model simulations. However, it is also quantitatively observed that the significance of boundary layer reaction reduces notably with the reduction of oxygen concentration in the flue gas, operational pressure and film thickness. Computations have also shown that in the presence of diffusional gradients peripheral fragmentation occurs in the early stages on the surface, after which conversion quickens significantly due to small particle size. Results of the early commencement of peripheral fragmentation at relatively low overall conversion obtained from a large number of simulations agree well with experimental observations reported by Feng and Bhatia (Energy & Fuels 14 (2000) 297). Comprehensive analysis of simulation results is carried out based on well accepted physical principles to rationalise model prediction. (C) 2001 Elsevier Science Ltd. AH rights reserved.