Dynamic programming for a Markov-switching jump–diffusion

We consider an optimal control problem with a deterministic finite horizon and state variable dynamics given by a Markov-switching jump–diffusion stochastic differential equation. Our main results extend the dynamic programming technique to this larger family of stochastic optimal control problems. More specifically, we provide a detailed proof of Bellman’s optimality principle (or dynamic programming principle) and obtain the corresponding Hamilton–Jacobi–Belman equation, which turns out to be a partial integro-differential equation due to the extra terms arising from the Lévy process and the Markov process. As an application of our results, we study a finite horizon consumption– investment problem for a jump–diffusion financial market consisting of one risk-free asset and one risky asset whose coefficients are assumed to depend on the state of a continuous time finite state Markov process. We provide a detailed study of the optimal strategies for this problem, for the economically relevant families of power utilities and logarithmic utilities.

Assessing the balance between biodiversity conservation and coastal and estuarine management of the Sado Estuary Natural Reserve, Portugal, using BIO-SAFE

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia do Ambiente, perfil de Engenharia Ecológica

An integer programming framework for sequencing cutting patterns based on interval graph completion

We derived a framework in integer programming, based on the properties of a linear ordering of the vertices in interval graphs, that acts as an edge completion model for obtaining interval graphs. This model can be applied to problems of sequencing cutting patterns, namely the minimization of open stacks problem (MOSP). By making small modifications in the objective function and using only some of the inequalities, the MOSP model is applied to another pattern sequencing problem that aims to minimize, not only the number of stacks, but also the order spread (the minimization of the stack occupation problem), and the model is tested.

An integer programming model for the minimum interval graph completion problem

The minimum interval graph completion problem consists of, given a graph G = ( V, E ), finding a supergraph H = ( V, E ∪ F ) that is an interval graph, while adding the least number of edges |F| . We present an integer programming formulation for solving the minimum interval graph completion problem recurring to a characteri- zation of interval graphs that produces a linear ordering of the maximal cliques of the solution graph.

Increase of the Delivered Power Probability in Distribution Networks using Pareto DC Programming

A methodology to increase the probability of delivering power to any load point through the identification of new investments in distribution network components is proposed in this paper. The method minimizes the investment cost as well as the cost of energy not supplied in the network. A DC optimization model based on mixed integer non-linear programming is developed considering the Pareto front technique in order to identify the adequate investments in distribution networks components which allow increasing the probability of delivering power for any customer in the distribution system at the minimum possible cost for the system operator, while minimizing the energy not supplied cost. Thus, a multi-objective problem is formulated. To illustrate the application of the proposed methodology, the paper includes a case study which considers a 180 bus distribution network

Database repairs with answer set programming

Dissertação para obtenção do Grau de Mestre em Engenharia Informática

A Visual Programming Framework for Wireless Sensor Networks in Smart Home Applications

International Conference on Intelligent Sensors, Sensor Networks and Information Processing (ISSNIP 2015). 7 to 9, Apr, 2015. Singapure, Singapore.

Formal Contracts for Runtime Verification Support in the Ada Programming Language

Poster presented in The 28th GI/ITG International Conference on Architecture of Computing Systems (ARCS 2015). 24 to 26, Mar, 2015. Porto, Portugal.

A Modular Programming Approach for IoTBased Wireless Sensor Networks

Poster presented in 12th European Conference on Wireless Sensor Network (EWSN 2015). 9 to 11, Feb, 2015. Porto, Portugal.

Ensemble: an innovative approach to practice computer programming

Currently, the teaching-learning process in domains, such as computer programming, is characterized by an extensive curricula and a high enrolment of students. This poses a great workload for faculty and teaching assistants responsible for the creation, delivery, and assessment of student exercises. The main goal of this chapter is to foster practice-based learning in complex domains. This objective is attained with an e-learning framework—called Ensemble—as a conceptual tool to organize and facilitate technical interoperability among services. The Ensemble framework is used on a specific domain: computer programming. Content issues are tacked with a standard format to describe programming exercises as learning objects. Communication is achieved with the extension of existing specifications for the interoperation with several systems typically found in an e-learning environment. In order to evaluate the acceptability of the proposed solution, an Ensemble instance was validated on a classroom experiment with encouraging results.

Design a computer programming learning environment for Massive Open Online Courses

Teaching and learning computer programming is as challenging as difficult. Assessing the work of students and providing individualised feedback to all is time-consuming and error prone for teachers and frequently involves a time delay. The existent tools and specifications prove to be insufficient in complex evaluation domains where there is a greater need to practice. At the same time Massive Open Online Courses (MOOC) are appearing revealing a new way of learning, more dynamic and more accessible. However this new paradigm raises serious questions regarding the monitoring of student progress and its timely feedback. This paper provides a conceptual design model for a computer programming learning environment. This environment uses the portal interface design model gathering information from a network of services such as repositories and program evaluators. The design model includes also the integration with learning management systems, a central piece in the MOOC realm, endowing the model with characteristics such as scalability, collaboration and interoperability. This model is not limited to the domain of computer programming and can be adapted to any complex area that requires systematic evaluation with immediate feedback.

A filter inexact-restoration method for nonlinear programming

A new iterative algorithm based on the inexact-restoration (IR) approach combined with the filter strategy to solve nonlinear constrained optimization problems is presented. The high level algorithm is suggested by Gonzaga et al. (SIAM J. Optim. 14:646–669, 2003) but not yet implement—the internal algorithms are not proposed. The filter, a new concept introduced by Fletcher and Leyffer (Math. Program. Ser. A 91:239–269, 2002), replaces the merit function avoiding the penalty parameter estimation and the difficulties related to the nondifferentiability. In the IR approach two independent phases are performed in each iteration, the feasibility and the optimality phases. The line search filter is combined with the first one phase to generate a “more feasible” point, and then it is used in the optimality phase to reach an “optimal” point. Numerical experiences with a collection of AMPL problems and a performance comparison with IPOPT are provided.