Energy forward price prediction with a hybrid adaptive model

This paper presents a forecasting technique for forward electricity/gas prices, one day ahead. This technique combines a Kalman filter (KF) and a generalised autoregressive conditional heteroschedasticity (GARCH) model (often used in financial forecasting). The GARCH model is used to compute next value of a time series. The KF updates parameters of the GARCH model when the new observation is available. This technique is applied to real data from the UK energy markets to evaluate its performance. The results show that the forecasting accuracy is improved significantly by using this hybrid model. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

The FIREDASS (Fire Detection and Suppression Simulation) Model

The FIREDASS (FIRE Detection And Suppression Simulation) project is concerned with the development of fine water mist systems as a possible replacement for the halon fire suppression system currently used in aircraft cargo holds. The project is funded by the European Commission, under the BRITE EURAM programme. The FIREDASS consortium is made up of a combination of Industrial, Academic, Research and Regulatory partners. As part of this programme of work, a computational model has been developed to help engineers optimise the design of the water mist suppression system. This computational model is based on Computational Fluid Dynamics (CFD) and is composed of the following components: fire model; mist model; two-phase radiation model; suppression model and detector/activation model. The fire model - developed by the University of Greenwich - uses prescribed release rates for heat and gaseous combustion products to represent the fire load. Typical release rates have been determined through experimentation conducted by SINTEF. The mist model - developed by the University of Greenwich - is a Lagrangian particle tracking procedure that is fully coupled to both the gas phase and the radiation field. The radiation model - developed by the National Technical University of Athens - is described using a six-flux radiation model. The suppression model - developed by SINTEF and the University of Greenwich - is based on an extinguishment crietrion that relies on oxygen concentration and temperature. The detector/ activation model - developed by Cerberus - allows the configuration of many different detector and mist configurations to be tested within the computational model. These sub-models have been integrated by the University of Greenwich into the FIREDASS software package. The model has been validated using data from the SINTEF/GEC test campaigns and it has been found that the computational model gives good agreement with these experimental results. The best agreement is obtained at the ceiling which is where the detectors and misting nozzles would be located in a real system. In this paper the model is briefly described and some results from the validation of the fire and mist model are presented.

DIRECT NUMERICAL SIMULATION OF INCOMPRESSIBLE MULTIPHASE FLOW WITH PHASE CHANGE

Phase change problems arise in many practical applications such as air-conditioning and refrigeration, thermal energy storage systems and thermal management of electronic devices. The physical phenomenon in such applications are complex and are often difficult to be studied in detail with the help of only experimental techniques. The efforts to improve computational techniques for analyzing two-phase flow problems with phase change are therefore gaining momentum. The development of numerical methods for multiphase flow has been motivated generally by the need to account more accurately for (a) large topological changes such as phase breakup and merging, (b) sharp representation of the interface and its discontinuous properties and (c) accurate and mass conserving motion of the interface. In addition to these considerations, numerical simulation of multiphase flow with phase change introduces additional challenges related to discontinuities in the velocity and the temperature fields. Moreover, the velocity field is no longer divergence free. For phase change problems, the focus of developmental efforts has thus been on numerically attaining a proper conservation of energy across the interface in addition to the accurate treatment of fluxes of mass and momentum conservation as well as the associated interface advection. Among the initial efforts related to the simulation of bubble growth in film boiling applications the work in \cite{Welch1995} was based on the interface tracking method using a moving unstructured mesh. That study considered moderate interfacial deformations. A similar problem was subsequently studied using moving, boundary fitted grids \cite{Son1997}, again for regimes of relatively small topological changes. A hybrid interface tracking method with a moving interface grid overlapping a static Eulerian grid was developed \cite{Juric1998} for the computation of a range of phase change problems including, three-dimensional film boiling \cite{esmaeeli2004computations}, multimode two-dimensional pool boiling \cite{Esmaeeli2004} and film boiling on horizontal cylinders \cite{Esmaeeli2004a}. The handling of interface merging and pinch off however remains a challenge with methods that explicitly track the interface. As large topological changes are crucial for phase change problems, attention has turned in recent years to front capturing methods utilizing implicit interfaces that are more effective in treating complex interface deformations. The VOF (Volume of Fluid) method was adopted in \cite{Welch2000} to simulate the one-dimensional Stefan problem and the two-dimensional film boiling problem. The approach employed a specific model for mass transfer across the interface involving a mass source term within cells containing the interface. This VOF based approach was further coupled with the level set method in \cite{Son1998}, employing a smeared-out Heaviside function to avoid the numerical instability related to the source term. The coupled level set, volume of fluid method and the diffused interface approach was used for film boiling with water and R134a at the near critical pressure condition \cite{Tomar2005}. The effect of superheat and saturation pressure on the frequency of bubble formation were analyzed with this approach. The work in \cite{Gibou2007} used the ghost fluid and the level set methods for phase change simulations. A similar approach was adopted in \cite{Son2008} to study various boiling problems including three-dimensional film boiling on a horizontal cylinder, nucleate boiling in microcavity \cite{lee2010numerical} and flow boiling in a finned microchannel \cite{lee2012direct}. The work in \cite{tanguy2007level} also used the ghost fluid method and proposed an improved algorithm based on enforcing continuity and divergence-free condition for the extended velocity field. The work in \cite{sato2013sharp} employed a multiphase model based on volume fraction with interface sharpening scheme and derived a phase change model based on local interface area and mass flux. Among the front capturing methods, sharp interface methods have been found to be particularly effective both for implementing sharp jumps and for resolving the interfacial velocity field. However, sharp velocity jumps render the solution susceptible to erroneous oscillations in pressure and also lead to spurious interface velocities. To implement phase change, the work in \cite{Hardt2008} employed point mass source terms derived from a physical basis for the evaporating mass flux. To avoid numerical instability, the authors smeared the mass source by solving a pseudo time-step diffusion equation. This measure however led to mass conservation issues due to non-symmetric integration over the distributed mass source region. The problem of spurious pressure oscillations related to point mass sources was also investigated by \cite{Schlottke2008}. Although their method is based on the VOF, the large pressure peaks associated with sharp mass source was observed to be similar to that for the interface tracking method. Such spurious fluctuation in pressure are essentially undesirable because the effect is globally transmitted in incompressible flow. Hence, the pressure field formation due to phase change need to be implemented with greater accuracy than is reported in current literature. The accuracy of interface advection in the presence of interfacial mass flux (mass flux conservation) has been discussed in \cite{tanguy2007level,tanguy2014benchmarks}. The authors found that the method of extending one phase velocity to entire domain suggested by Nguyen et al. in \cite{nguyen2001boundary} suffers from a lack of mass flux conservation when the density difference is high. To improve the solution, the authors impose a divergence-free condition for the extended velocity field by solving a constant coefficient Poisson equation. The approach has shown good results with enclosed bubble or droplet but is not general for more complex flow and requires additional solution of the linear system of equations. In current thesis, an improved approach that addresses both the numerical oscillation of pressure and the spurious interface velocity field is presented by featuring (i) continuous velocity and density fields within a thin interfacial region and (ii) temporal velocity correction steps to avoid unphysical pressure source term. Also I propose a general (iii) mass flux projection correction for improved mass flux conservation. The pressure and the temperature gradient jump condition are treated sharply. A series of one-dimensional and two-dimensional problems are solved to verify the performance of the new algorithm. Two-dimensional and cylindrical film boiling problems are also demonstrated and show good qualitative agreement with the experimental observations and heat transfer correlations. Finally, a study on Taylor bubble flow with heat transfer and phase change in a small vertical tube in axisymmetric coordinates is carried out using the new multiphase, phase change method.

Generating a state t-design by diagonal quantum circuits

We investigate protocols for generating a state t-design by using a fixed separable initial state and a diagonal-unitary t-design in the computational basis, which is a t-design of an ensemble of diagonal unitary matrices with random phases as their eigenvalues. We first show that a diagonal-unitary t-design generates a O (1/2(N))-approximate state t-design, where N is the number of qubits. We then discuss a way of improving the degree of approximation by exploiting non-diagonal gates after applying a diagonal-unitary t-design. We also show that it is necessary and sufficient to use O (log(2)(t)) -qubit gates with random phases to generate a diagonal-unitary t-design by diagonal quantum circuits, and that each multi-qubit diagonal gate can be replaced by a sequence of multi-qubit controlled-phase-type gates with discrete-valued random phases. Finally, we analyze the number of gates for implementing a diagonal-unitary t-design by non-diagonal two- and one-qubit gates. Our results provide a concrete application of diagonal quantum circuits in quantum informational tasks.

Heat transfer performance investigation of nanofluids flow in pipe

Different types of base fluids, such as water, engine oil, kerosene, ethanol, methanol, ethylene glycol etc. are usually used to increase the heat transfer performance in many engineering applications. But these conventional heat transfer fluids have often several limitations. One of those major limitations is that the thermal conductivity of each of these base fluids is very low and this results a lower heat transfer rate in thermal engineering systems. Such limitation also affects the performance of different equipments used in different heat transfer process industries. To overcome such an important drawback, researchers over the years have considered a new generation heat transfer fluid, simply known as nanofluid with higher thermal conductivity. This new generation heat transfer fluid is a mixture of nanometre-size particles and different base fluids. Different researchers suggest that adding spherical or cylindrical shape of uniform/non-uniform nanoparticles into a base fluid can remarkably increase the thermal conductivity of nanofluid. Such augmentation of thermal conductivity could play a more significant role in enhancing the heat transfer rate than that of the base fluid. Nanoparticles diameters used in nanofluid are usually considered to be less than or equal to 100 nm and the nanoparticles concentration usually varies from 5% to 10%. Different researchers mentioned that the smaller nanoparticles concentration with size diameter of 100 nm could enhance the heat transfer rate more significantly compared to that of base fluids. But it is not obvious what effect it will have on the heat transfer performance when nanofluids contain small size nanoparticles of less than 100 nm with different concentrations. Besides, the effect of static and moving nanoparticles on the heat transfer of nanofluid is not known too. The idea of moving nanoparticles brings the effect of Brownian motion of nanoparticles on the heat transfer. The aim of this work is, therefore, to investigate the heat transfer performance of nanofluid using a combination of smaller size of nanoparticles with different concentrations considering the Brownian motion of nanoparticles. A horizontal pipe has been considered as a physical system within which the above mentioned nanofluid performances are investigated under transition to turbulent flow conditions. Three different types of numerical models, such as single phase model, Eulerian-Eulerian multi-phase mixture model and Eulerian-Lagrangian discrete phase model have been used while investigating the performance of nanofluids. The most commonly used model is single phase model which is based on the assumption that nanofluids behave like a conventional fluid. The other two models are used when the interaction between solid and fluid particles is considered. However, two different phases, such as fluid and solid phases is also considered in the Eulerian-Eulerian multi-phase mixture model. Thus, these phases create a fluid-solid mixture. But, two phases in the Eulerian-Lagrangian discrete phase model are independent. One of them is a solid phase and the other one is a fluid phase. In addition, RANS (Reynolds Average Navier Stokes) based Standard κ-ω and SST κ-ω transitional models have been used for the simulation of transitional flow. While the RANS based Standard κ-ϵ, Realizable κ-ϵ and RNG κ-ϵ turbulent models are used for the simulation of turbulent flow. Hydrodynamic as well as temperature behaviour of transition to turbulent flows of nanofluids through the horizontal pipe is studied under a uniform heat flux boundary condition applied to the wall with temperature dependent thermo-physical properties for both water and nanofluids. Numerical results characterising the performances of velocity and temperature fields are presented in terms of velocity and temperature contours, turbulent kinetic energy contours, surface temperature, local and average Nusselt numbers, Darcy friction factor, thermal performance factor and total entropy generation. New correlations are also proposed for the calculation of average Nusselt number for both the single and multi-phase models. Result reveals that the combination of small size of nanoparticles and higher nanoparticles concentrations with the Brownian motion of nanoparticles shows higher heat transfer enhancement and thermal performance factor than those of water. Literature suggests that the use of nanofluids flow in an inclined pipe at transition to turbulent regimes has been ignored despite its significance in real-life applications. Therefore, a particular investigation has been carried out in this thesis with a view to understand the heat transfer behaviour and performance of an inclined pipe under transition flow condition. It is found that the heat transfer rate decreases with the increase of a pipe inclination angle. Also, a higher heat transfer rate is found for a horizontal pipe under forced convection than that of an inclined pipe under mixed convection.

Phase-field analysis of finite-strain plates and shells including element subdivision

With the theme of fracture of finite-strain plates and shells based on a phase-field model of crack regularization, we introduce a new staggered algorithm for elastic and elasto-plastic materials. To account for correct fracture behavior in bending, two independent phase-fields are used, corresponding to the lower and upper faces of the shell. This is shown to provide a realistic behavior in bending-dominated problems, here illustrated in classical beam and plate problems. Finite strain behavior for both elastic and elasto-plastic constitutive laws is made compatible with the phase-field model by use of a consistent updated-Lagrangian algorithm. To guarantee sufficient resolution in the definition of the crack paths, a local remeshing algorithm based on the phase- field values at the lower and upper shell faces is introduced. In this local remeshing algorithm, two stages are used: edge-based element subdivision and node repositioning. Five representative numerical examples are shown, consisting of a bi-clamped beam, two versions of a square plate, the Keesecker pressurized cylinder problem, the Hexcan problem and the Muscat-Fenech and Atkins plate. All problems were successfully solved and the proposed solution was found to be robust and efficient.

Design and Implementation of Single phase 230V to Three Phase Inverter Based on the Embedded System STM-32 Applied to motor control

In the field of Power Electronics, several types of motor control systems have been developed using STM microcontroller and power boards. In both industrial power applications and domestic appliances, power electronic inverters are widely used. Inverters are used to control the torque, speed, and position of the rotor in AC motor drives. An inverter delivers constant-voltage and constant-frequency power in uninterruptible power sources. Because inverter power supplies have a high-power consumption and low transfer efficiency rate, a three-phase sine wave AC power supply was created using the embedded system STM32, which has low power consumption and efficient speed. It has the capacity of output frequency of 50 Hz and the RMS of line voltage. STM32 embedded based Inverter is a power supply that integrates, reduced, and optimized the power electronics application that require hardware system, software, and application solution, including power architecture, techniques, and tools, approaches capable of performance on devices and equipment. Power inverters are currently used and implemented in green energy power system with low energy system such as sensors or microcontroller to perform the operating function of motors and pumps. STM based power inverter is efficient, less cost and reliable. My thesis work was based on STM motor drives and control system which can be implemented in a gas analyser for operating the pumps and motors. It has been widely applied in various engineering sectors due to its ability to respond to adverse structural changes and improved structural reliability. The present research was designed to use STM Inverter board on low power MCU such as NUCLEO with some practical examples such as Blinking LED, and PWM. Then we have implemented a three phase Inverter model with Steval-IPM08B board, which converter single phase 230V AC input to three phase 380 V AC output, the output will be useful for operating the induction motor.

Challenges and opportunities for primary, secondary, and tertiary prevention of Chagas' disease

A century after its discovery, Chagas' disease still represents a major public health challenge in Latin America. Moreover, because of growing population movements, an increasing number of cases of imported Chagas' disease have now been detected in non-endemic areas, such as North America and some European countries. This parasitic zoonosis, caused by Trypanosoma cruzi, is transmitted to humans by infected Triatominae insects, or occasionally by non-vectorial mechanisms, such as blood transfusion, mother to fetus, or oral ingestion of materials contaminated with parasites. Following the acute phase of the infection, untreated individuals enter a chronic phase that is initially asymptomatic or clinically unapparent. Usually, a few decades later, 40-50% of patients develop progressive cardiomyopathy and/or motility disturbances of the oesophagus and colon. In the last decades several interventions targeting primary, secondary and tertiary prevention of Chagas' disease have been attempted. While control of both vectorial and blood transfusion transmission of T cruzi (primary prevention) has been successful in many regions of Latin America, early detection and aetiological treatment of asymptomatic subjects with Chagas' disease (secondary prevention) have been largely underutilised. At the same time, in patients with established chronic disease, several pharmacological and non-pharmacological interventions are currently available and have been increasingly used with the intention of preventing or delaying complications of the disease (tertiary prevention). In this review we discuss in detail each of these issues.

Structure-hepatic disposition relationships for cationic drugs in isolated perfused rat livers: Transmembrane exchange and cytoplasmic binding process

This work studied the structure-hepatic disposition relationships for cationic drugs of varying lipophilicity using a single-pass, in situ rat liver preparation. The lipophilicity among the cationic drugs studied in this work is in the following order: diltiazem. propranolol. labetalol. prazosin. antipyrine. atenolol. Parameters characterizing the hepatic distribution and elimination kinetics of the drugs were estimated using the multiple indicator dilution method. The kinetic model used to describe drug transport (the two-phase stochastic model) integrated cytoplasmic binding kinetics and belongs to the class of barrier-limited and space-distributed liver models. Hepatic extraction ratio (E) (0.30-0.92) increased with lipophilicity. The intracellular binding rate constant (k(on)) and the equilibrium amount ratios characterizing the slowly and rapidly equilibrating binding sites (K-S and K-R) increase with the lipophilicity of drug (k(on) : 0.05-0.35 s(-1); K-S : 0.61-16.67; K-R : 0.36-0.95), whereas the intracellular unbinding rate constant (k(off)) decreases with the lipophilicity of drug (0.081-0.021 s(-1)). The partition ratio of influx (k(in)) and efflux rate constant (k(out)), k(in)/k(out), increases with increasing pK(a) value of the drug [from 1.72 for antipyrine (pK(a) = 1.45) to 9.76 for propranolol (pK(a) = 9.45)], the differences in k(in/kout) for the different drugs mainly arising from ion trapping in the mitochondria and lysosomes. The value of intrinsic elimination clearance (CLint), permeation clearance (CLpT), and permeability-surface area product (PS) all increase with the lipophilicity of drug [CLint (ml . min(-1) . g(-1) of liver): 10.08-67.41; CLpT (ml . min(-1) . g(-1) of liver): 10.80-5.35; PS (ml . min(-1) . g(-1) of liver): 14.59-90.54]. It is concluded that cationic drug kinetics in the liver can be modeled using models that integrate the presence of cytoplasmic binding, a hepatocyte barrier, and a vascular transit density function.

Crisis, change, and institutions in forest management: the Wet Tropics of northeastern Australia

This paper tests the four-phase heuristic model of change in resource management regimes developed by Gunderson et al. (1995. In: Barriers and Bridges to the Renewal of Ecosystems and Institutions. Columbia University Press, New York, pp. 489-533) by applying it to a case analysis of rainforest management in northeastern Australia. The model suggests that resource management regimes change in four phases: (i) crisis caused by external factors, (ii) a search for alternative management solutions, (iii) creation of a new management regime, and (iv) bureaucratic implementation of the new arrangements. The history of human use arid management of the tropical forests of this region is described and applied to this model. The ensuing analysis demonstrates that: (i) resource management tends to be characterized by a series of distinct eras; (ii) changes to management regimes are precipitated by crisis; and (iii) change is externally generated. The paper concludes by arguing that this theoretical perspective oil institutional change in resource management systems has wider utility. (C) 2002 Elsevier Science Ltd. All rights reserved.

Heterogeneous kinetics of the reduction of chromium (VI) by elemental iron

Zero valent iron (ZVI) has been extensively used as a reactive medium for the reduction of Cr(VI) to Cr(III) in reactive permeable barriers. The kinetic rate depends strongly on the superficial oxidation of the iron particles used and the preliminary washing of ZVI increases the rate. The reaction has been primarily modelled using a pseudo-first-order kinetics which is inappropriate for a heterogeneous reaction. We assumed a shrinking particle type model where the kinetic rate is proportional to the available iron surface area, to the initial volume of solution and to the chromium concentration raised to a power ˛ which is the order of the chemical reaction occurring at surface. We assumed α= 2/3 based on the likeness to the shrinking particle models with spherical symmetry. Kinetics studies were performed in order to evaluate the suitability of this approach. The influence of the following parameters was experimentally studied: initial available surface area, chromium concentration, temperature and pH. The assumed order for the reaction was confirmed. In addition, the rate constant was calculated from data obtained in different operating conditions. Digital pictures of iron balls were periodically taken and the image treatment allowed for establishing the time evolution of their size distribution.

Os fatores de risco da rendibilidade das ações: análise e evidência empírica em países da Zona Euro

Tese de Doutoramento em Ciências Empresariais.

Ordering Policy Rules with an Unconditional Welfare Measure

The unconditional expectation of social welfare is often used to assess alternative macroeconomic policy rules in applied quantitative research. It is shown that it is generally possible to derive a linear - quadratic problem that approximates the exact non-linear problem where the unconditional expectation of the objective is maximised and the steady-state is distorted. Thus, the measure of pol icy performance is a linear combinat ion of second moments of economic variables which is relatively easy to compute numerically, and can be used to rank alternative policy rules. The approach is applied to a simple Calvo-type model under various monetary policy rules.

V-region-related and -unrelated immunosupression accompanying infections

This paper discusses current evidence for the relationship between polyclonal lymphocyte activation, specific immunossupression with decreased resistance, and autoimmune pathology, that are all often found associated with infections by a variety of virus, bacteria and parasites . The central question of class determination of immune effector activities is considered in the context of the cellular targets for nonspecific mitogenic activities associated with infection. A model is presented to integrate these findings: mitogenens produced by the microorganism or the infected cells are preferentially active on CD5 B cells, the resulting over-production of IL-10 will tend to bias all immune activities in to a Th-2mode of effector functions, with high titers of polyclonal antibodies and litle or no production of gamma IFN and other "inflamatory"lymphokines that often mediate resistance. In turn these conditions allow for parasite persistence and the corresponding long-term disregulation of self-directed immune reactivities, resulting in autoimmunity in the chronic phase. This model would predict that selective immunization with the mitogenic principles involved in desregulation, could stand better chances than strategies of vaccination based on immunopotentiation against othere, functionally neutral antigenic epitopes. It is argued, however, that the complexity of immune responses and their regulation together with our ignorance on the genetic controls of class-determination, offer poor prospects for a scientifically-based, rational development of vaccines in the near future. It is suggested that empirically-based and technologically developed vaccines might suceed, while basic scientific approaches are reinforced and given the time provide a better understanding of those process.