A influência dos parâmetros nas estimativas VAR: caso prático

Dissertação de Mestrado em Finanças Empresariais

Electricity Markets Simulation: MASCEM Contributions to the Challenging Reality

Electricity Markets are not only a new reality but an evolving one as the involved players and rules change at a relatively high rate. Multi-agent simulation combined with Artificial Intelligence techniques may result in sophisticated tools very helpful under this context. Some simulation tools have already been developed, some of them very interesting. However, at the present state it is important to go a step forward in Electricity Markets simulators as this is crucial for facing changes in Power Systems. This paper explains the context and needs of electricity market simulation, describing the most important characteristics of available simulators. We present our work concerning MASCEM simulator, presenting its features as well as the improvements being made to accomplish the change and challenging reality of Electricity Markets.

Ancillary service market simulation

Power systems operation in a liberalized environment requires that market players have access to adequate decision support tool, allowing them to consider all the business opportunities and take strategic decisions. Ancillary services represent a good negotiation opportunity that must be considered by market players. For this, decision support tools must include ancillary market simulation. This paper deals with ancillary services negotiation in electricity markets. The proposed concepts and methodologies are implemented in MASCEM, a multi-agent based electricity market simulator. A test case concerning the dispatch of ancillary services using two different methods (Linear Programming and Genetic Algorithm approaches) is included in the paper.

Working hours, work-life conflict and health in precarious and "permanent" employment

OBJECTIVE: The expansion of precarious employment in OECD countries has been widely associated with negative health and safety effects. Although many shiftworkers are precariously employed, shiftwork research has concentrated on full-time workers in continuing employment. This paper examines the impact of precarious employment on working hours, work-life conflict and health by comparing casual employees to full-time, "permanent" employees working in the same occupations and workplaces. METHODS: Thirty-nine convergent interviews were conducted in two five-star hotels. The participants included 26 full-time and 13 casual (temporary) employees. They ranged in age from 19 to 61 years and included 17 females and 22 males. Working hours ranged from zero to 73 hours per week. RESULTS: Marked differences emerged between the reports of casual and full-time employees about working hours, work-life conflict and health. Casuals were more likely to work highly irregular hours over which they had little control. Their daily and weekly working hours ranged from very long to very short according to organisational requirements. Long working hours, combined with low predictability and control, produced greater disruption to family and social lives and poorer work-life balance for casuals. Uncoordinated hours across multiple jobs exacerbated these problems in some cases. Health-related issues reported to arise from work-life conflict included sleep disturbance, fatigue and disrupted exercise and dietary regimes. CONCLUSIONS:This study identified significant disadvantages of casual employment. In the same hotels, and doing largely the same jobs, casual employees had less desirable and predictable work schedules, greater work-life conflict and more associated health complaints than "permanent" workers.

The impact of night work on subjective reports of well-being: an exploratory study of health care workers from five nations

OBJECTIVE: To carry out a survey data collection from health care workers in Brazil, Croatia, Poland, Ukraine and the USA with two primary goals: (1) to provide information about which aspects of well-being are most likely to need attention when shiftwork management solutions are being developed, and (2) to explore whether nations are likely to differ with respect to the impacts of night work on the well-being of workers involved in health care work. METHODS: The respondents from each nation were sorted into night worker and non-night worker groups. Worker perceptions of being physically tired, mentally tired, and tense at the end of the workday were examined. Subjective reports of perceived felt age were also studied. For each of these four dependent variables, an ANCOVA analysis was carried out. Hours worked per week, stability of weekly work schedule, and chronological age were the covariates for these analyses. RESULTS: The results clearly support the general proposal that nations differ significantly in worker perceptions of well-being. In addition, perceptions of physical and mental tiredness at the end of the workday were higher for night workers. For the perception of being physically tired at the end of a workday, the manner and degree to which the night shift impacts the workers varies by nation. CONCLUSIONS: Additional research is needed to determine if the nation and work schedule differences observed are related to differences in job tasks, work schedule structure, off-the-job variables, and/or other worker demographic variables.

ANN based day-ahead ancillary services forecast for electricity market simulation

Adequate decision support tools are required by electricity market players operating in a liberalized environment, allowing them to consider all the business opportunities and take strategic decisions. Ancillary services (AS) represent a good negotiation opportunity that must be considered by market players. Based on the ancillary services forecasting, market participants can use strategic bidding for day-ahead ancillary services markets. For this reason, ancillary services market simulation is being included in MASCEM, a multi-agent based electricity market simulator that can be used by market players to test and enhance their bidding strategies. The paper presents the methodology used to undertake ancillary services forecasting, based on an Artificial Neural Network (ANN) approach. ANNs are used to day-ahead prediction of non-spinning reserve (NS), regulation-up (RU), and regulation down (RD). Spinning reserve (SR) is mentioned as past work for comparative analysis. A case study based on California ISO (CAISO) data is included; the forecasted results are presented and compared with CAISO published forecast.

Job control, job demands, social support at work and health among adolescent workers

OBJECTIVE: To evaluate physical and psychological dimensions of adolescent labor (such as job demands, job control, and social support in the work environment), and their relation to reported body pain, work injuries, sleep duration and daily working hours. METHODS: A total of 354 adolescents attending evening classes at a public school in São Paulo, Brazil, answered questionnaires regarding their living and working conditions (Karasek's Job Content Questionnaire, 1998), and their health status. Data collection took place in April and May 2001. Multiple logistic regression analysis was used to determine relations among variables. RESULTS: Psychological job demands were related to body pain (OR=3.3), higher risk of work injuries (OR=3.0) and reduced sleep duration in weekdays (Monday to Thursday) (p<0.01). Lower decision authority in the workplace (p=0.03) and higher job security (p=0.02) were related to longer daily working hours. CONCLUSIONS: It was concluded that besides physical stressors, psychological factors are to be taken into account when studying adolescent working conditions, as they may be associated with negative job conditions and health effects.

Health, sleep and lack of time: relations to domestic and paid work in nurses

OBJECTIVE: To assess whether reported morbidity and complaints of lack of time and sleep are associated with the burden of professional work and housework among nurses. METHODS: A cross-sectional exploratory study was carried out among female nurses and nurse assistants (N=206) of a public hospital in Rio de Janeiro, Brazil. Data were collected by means of a questionnaire. The prevalence ratio and 95% confidence intervals were estimated. RESULTS: Mean duration of professional work and housework time was 40.4 and 31.6 hours/week, respectively. Long professional working time (over 44 hours/week) were associated with mild emotional disorders (PR=1.37; 95% CI: 1.05-1.80), complaints of lack of time for resting/leisure (PR=1.61; 95% CI: 1.31-1.97), housework (PR=1.48; 95% CI: 1.12-1.97), and childcare (PR=1.99; 95% CI: 1.51-2.63). Long housework time (over 28 hours/week) was associated with lower prevalence of lack of time for childcare (PR=0.62; 95% CI: 0.46-0.84). High housework load was associated with lack of personal time and complaints of varicose veins (PR=1.31; 95% CI: 1.14-1.50 and PR=1.31; 95% CI: 1.08-1.58, respectively). Complaints of varicose veins were also frequent among female nurses with a total work load above 84 hours (PR=1.30; 95% CI: 1.05-1.61), though this group has shown a lower prevalence of arterial hypertension and recurrent headaches (PR=0.35; 95% CI: 0.15-0.83 and PR=0.53; 95% CI: 0.32-0.89, respectively). CONCLUSIONS: Results suggest that both professional and home environments are relevant in the evaluation of work overload on nurses' health and their family and social life. It is stressed the need for instruments for analyzing total workload among female populations.

Derivative-free optimization and filter methods to solve nonlinear constrained problems

In real optimization problems, usually the analytical expression of the objective function is not known, nor its derivatives, or they are complex. In these cases it becomes essential to use optimization methods where the calculation of the derivatives, or the verification of their existence, is not necessary: the Direct Search Methods or Derivative-free Methods are one solution. When the problem has constraints, penalty functions are often used. Unfortunately the choice of the penalty parameters is, frequently, very difficult, because most strategies for choosing it are heuristics strategies. As an alternative to penalty function appeared the filter methods. A filter algorithm introduces a function that aggregates the constrained violations and constructs a biobjective problem. In this problem the step is accepted if it either reduces the objective function or the constrained violation. This implies that the filter methods are less parameter dependent than a penalty function. In this work, we present a new direct search method, based on simplex methods, for general constrained optimization that combines the features of the simplex method and filter methods. This method does not compute or approximate any derivatives, penalty constants or Lagrange multipliers. The basic idea of simplex filter algorithm is to construct an initial simplex and use the simplex to drive the search. We illustrate the behavior of our algorithm through some examples. The proposed methods were implemented in Java.

Dissolução redutiva de minério de ferro por Acidithiobacillus ferrooxidans para a recuperação de metais de interesse econômico

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Lipid content of frozen fish: comparison of different extraction methods and variability during freezing storage

In this work, a microwave-assisted extraction (MAE) methodology was compared with several conventional extraction methods (Soxhlet, Bligh & Dyer, modified Bligh & Dyer, Folch, modified Folch, Hara & Radin, Roese-Gottlieb) for quantification of total lipid content of three fish species: horse mackerel (Trachurus trachurus), chub mackerel (Scomber japonicus), and sardine (Sardina pilchardus). The influence of species, extraction method and frozen storage time (varying from fresh to 9 months of freezing) on total lipid content was analysed in detail. The efficiencies of methods MAE, Bligh & Dyer, Folch, modified Folch and Hara & Radin were the highest and although they were not statistically different, differences existed in terms of variability, with MAE showing the highest repeatability (CV = 0.034). Roese-Gottlieb, Soxhlet, and modified Bligh & Dyer methods were very poor in terms of efficiency as well as repeatability (CV between 0.13 and 0.18).

Monte Carlo simulation of the basic features of the GE Millennium MG single photon emission computed tomography gamma camera

Objective - To describe and validate the simulation of the basic features of GE Millennium MG gamma camera using the GATE Monte Carlo platform. Material and methods - Crystal size and thickness, parallel-hole collimation and a realistic energy acquisition window were simulated in the GATE platform. GATE results were compared to experimental data in the following imaging conditions: a point source of 99mTc at different positions during static imaging and tomographic acquisitions using two different energy windows. The accuracy between the events expected and detected by simulation was obtained with the Mann–Whitney–Wilcoxon test. Comparisons were made regarding the measurement of sensitivity and spatial resolution, static and tomographic. Simulated and experimental spatial resolutions for tomographic data were compared with the Kruskal–Wallis test to assess simulation accuracy for this parameter. Results - There was good agreement between simulated and experimental data. The number of decays expected when compared with the number of decays registered, showed small deviation (≤0.007%). The sensitivity comparisons between static acquisitions for different distances from source to collimator (1, 5, 10, 20, 30cm) with energy windows of 126–154 keV and 130–158 keV showed differences of 4.4%, 5.5%, 4.2%, 5.5%, 4.5% and 5.4%, 6.3%, 6.3%, 5.8%, 5.3%, respectively. For the tomographic acquisitions, the mean differences were 7.5% and 9.8% for the energy window 126–154 keV and 130–158 keV. Comparison of simulated and experimental spatial resolutions for tomographic data showed no statistically significant differences with 95% confidence interval. Conclusions - Adequate simulation of the system basic features using GATE Monte Carlo simulation platform was achieved and validated.

Mould and yeast identification in archival settings: preliminary results on the use of traditional methods and molecular biology options in Portuguese archives

This project was developed to fully assess the indoor air quality in archives and libraries from a fungal flora point of view. It uses classical methodologies such as traditional culture media – for the viable fungi – and modern molecular biology protocols, especially relevant to assess the non-viable fraction of the biological contaminants. Denaturing high-performance liquid chromatography (DHPLC) has emerged as an alternative to denaturing gradient gel electrophoresis (DGGE) and has already been applied to the study of a few bacterial communities. We propose the application of DHPLC to the study of fungal colonization on paper-based archive materials. This technology allows for the identification of each component of a mixture of fungi based on their genetic variation. In a highly complex mixture of microbial DNA this method can be used simply to study the population dynamics, and it also allows for sample fraction collection, which can, in many cases, be immediately sequenced, circumventing the need for cloning. Some examples of the methodological application are shown. Also applied is fragment length analysis for the study of mixed Candida samples. Both of these methods can later be applied in various fields, such as clinical and sand sample analysis. So far, the environmental analyses have been extremely useful to determine potentially pathogenic/toxinogenic fungi such as Stachybotrys sp., Aspergillus niger, Aspergillus fumigatus, and Fusarium sp. This work will hopefully lead to more accurate evaluation of environmental conditions for both human health and the preservation of documents.

Clinical and functional aspects of work-related musculoskeletal disorders among active workers

OBJECTIVE: To evaluate musculoskeletal disorders among active industrial workers. METHODS: The study was carried out in São Carlos, Southeastern Brazil, in 2005. One hundred and thirty-four female workers were physically evaluated and answered questions about their physical symptoms, filled out a pain scale and gave responses in the Oswestry Disability Questionnaire, and the Work Ability Index questionnaire. The data were analyzed descriptively, and in correlation tests and through applying logistic regression. The outcome was evaluated in relation to the perceptions of pain, symptoms, physical assessment, ability to work and disability. RESULTS: Clinical evaluations and sick leave presented positive correlations with the subjective variables. The Work Ability Index presented a negative correlation with the physical disability index (r=-0.69). Symptoms reported at the time of the assessment presented a good correlation with the results from the pain scale and the clinical findings. Previous sick leave showed an association with disability (OR=1.13; 95% CI:1.08;1.18). CONCLUSION: Symptom reports and pain scales may be useful for assessing current conditions at the time of evaluating individuals with work-related musculoskeletal disorders, as they are easier to apply. In more severe cases of such injuries, clinical and functional evaluations and questionnaires such as those relating to ability to work and disability are preferable. Precise and specific evaluations of these disorders may contribute towards fairer legal and administrative decisions.

Gestão do risco em mercados de energia eléctrica recorrendo ao VaR por simulação de Monte Carlo

Mestrado em Engenharia Electrotécnica – Sistemas Eléctricos de Energia.