Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Inverse model control using recurrent networks

This paper illustrates how internal model control of nonlinear processes can be achieved by recurrent neural networks, e.g. fully connected Hopfield networks. It is shown that using results developed by Kambhampati et al. (1995), that once a recurrent network model of a nonlinear system has been produced, a controller can be produced which consists of the network comprising the inverse of the model and a filter. Thus, the network providing control for the nonlinear system does not require any training after it has been trained to model the nonlinear system. Stability and other issues of importance for nonlinear control systems are also discussed.

Neurofuzzy control using Kalman filtering state feedback with coloured noise for unknown non-linear processes

This paper presents a controller design scheme for a priori unknown non-linear dynamical processes that are identified via an operating point neurofuzzy system from process data. Based on a neurofuzzy design and model construction algorithm (NeuDec) for a non-linear dynamical process, a neurofuzzy state-space model of controllable form is initially constructed. The control scheme based on closed-loop pole assignment is then utilized to ensure the time invariance and linearization of the state equations so that the system stability can be guaranteed under some mild assumptions, even in the presence of modelling error. The proposed approach requires a known state vector for the application of pole assignment state feedback. For this purpose, a generalized Kalman filtering algorithm with coloured noise is developed on the basis of the neurofuzzy state-space model to obtain an optimal state vector estimation. The derived controller is applied in typical output tracking problems by minimizing the tracking error. Simulation examples are included to demonstrate the operation and effectiveness of the new approach.

Parameter-dependent Lyapunov functions for state-derivative feedback control in polytopic linear systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Melhora da estabilidade dinâmica de sistemas elétricos de potência multimáquinas usando o dispositivo facts thyristor-controlled series capacitor - TCSC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Variáveis microbiológicas e produtividade do feijoeiro sob diferentes manejos do solo e calagem

O objetivo deste trabalho foi quantificar variáveis microbiológicas e produtividade do feijoeiro em razão do manejo do solo e da calagem. Parte de uma área cultivada há 20 anos em plantio direto (PD) foi submetida ao cultivo mínimo (CM), com escarificação a 0,25 m de profundidade, para incorporação do calcário. Os tratamentos consistiram de manejo do solo (PD e CM) e 0 e 2 t ha-1 de calcário dolomítico aplicadas na superfície, com quatro repetições. Os maiores valores de C da biomassa microbiana foram verificados no CM e os de C de CO2 liberado no PD sem calagem. A menor colonização micorrízica e a maior esporulação foram observadas no CM sem calagem. Não foram detectadas diferenças entre os tratamentos em relação à produção de matéria seca, enquanto na produtividade de grãos, o maior valor foi verificado no CM com calagem. É possível evitar a interrupção do PD com aplicação de calcário na superfície, visto que a incorporação do material de cobertura e a calagem pouco alteraram a estabilidade do sistema, conforme comprovado pelos valores estatísticos semelhantes de C do CO2 liberado e pelas pequenas diferenças observadas nas demais variáveis entre manejos.

Using network connectance and autonomy analyses to uncover patterns of photosynthetic responses in tropical woody species

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Formation of SnO2 gels from dispersed sols in aqueous colloidal solutions

Transparent SnO2 gels were obtained from SnCl4 aqueous solution. The sol formation from tin oxihydroxy peptization in different concentrations and by electrolyte addition in solution was measured. It was verified that the residual presence of chloride ions compromises the colloidal system stability. The sol-gel transition was investigated as a function of the quantity of solid particles in the aqueous environment and of aging time at 60°C by infrared spectroscopy and rheological measurements. The transition from plastic to pseudoplastic flow observed with the increase in loading suggests that a continuous and three-dimensional network formation is closely related to hydrogen bridges and/or hydrogen clusters, culminating in the gel formation. © 1990.

Carbon monoxide oxidation over platinum: Stable, oscillatory and quasi-chaotic regimes

We model the heterogeneously catalyzed oxidation of CO over a Pt surface. A phase diagram analysis is used to probe the several steady state regimes and their stability. We incorporate an experimentally observed 'slow' sub-oxide kinetic step, thereby generalizing a previously presented model. In agreement with experimental data, stable, oscillatory and quasi-chaotic regimes are obtained. Furthermore, the inclusion of the sub-oxide step yields a relaxation oscillation regime. © 1998 Elsevier Science B.V. All rights reserved.

Control preventivo dinamico de sistemas de energia electrica usando redespacho de generacion y corte de carga

A model for preventive control in electrical systems is presented, taking into account the dynamic aspects of the network. Among these aspects, the effects provoked by perturbations which cause oscillations in synchronous machine angles (transient stability), such as electric equipment outages and short circuits, are presented. The energy function is used to measure the stability of the system using a procedure defined as the security margin. The control actions employed are load shedding and generation reallocation. An application of the methodology to a system located in southern Brazil, which is composed of 10 synchronous machines, 45 busses, and 72 transmission lines. The results confirm the theoretical studies.

Novos resultados sobre a estabilidade e controle de sistemas nao-lineares utilizando modelos fuzzy e LMI

Relaxed conditions for the stability study of nonlinear, continuous and discrete-time systems given by fuzzy models are presented. A theoretical analysis shows that the proposed method provides better or at least the same results of the methods presented in the literature. Digital simulations exemplify this fact. These results are also used for the fuzzy regulators design. The nonlinear systems are represented by the fuzzy models proposed by Takagi and Sugeno. The stability analysis and the design of controllers are described by LMIs (Linear Matrix Inequalities), that can be solved efficiently by convex programming techniques. The specification of the decay rate, constraints on control input and output are also described by LMIs. Finally, the proposed design method is applied in the control of an inverted pendulum.

Utilização de índices de estabilidade transitória para a avaliação de segurança dinâmica

Indices that report how much a contingency is stable or unstable in an electrical power system have been the object of several studies in the last decades. In some approaches, indices are obtained from time-domain simulation; others explore the calculation of the stability margin from the so-called direct methods, or even by neural networks.The goal is always to obtain a fast and reliable way of analysing large disturbance that might occur on the power systems. A fast classification in stable and unstable, as a function of transient stability is crucial for a dynamic security analysis. All good propositions as how to analyse contingencies must present some important features: classification of contingencies; precision and reliability; and efficiency computation. Indices obtained from time-domain simulations have been used to classify the contingencies as stable or unstable. These indices are based on the concepts of coherence, transient energy conversion between kinetic energy and potential energy, and three dot products of state variable. The classification of the contingencies using the indices individually is not reliable, since the performance of these indices varies with each simulated condition. However, collapsing these indices into a single one can improve the analysis significantly. In this paper, it is presented the results of an approach to filter the contingencies, by a simple classification of them into stable, unstable or marginal. This classification is performed from the composite indices obtained from step by step simulation with a time period of the clearing time plus 0.5 second. The contingencies originally classified as stable or unstable do not require this extra simulation. The methodology requires an initial effort to obtain the values of the intervals for classification, and the weights. This is performed once for each power system and can be used in different operating conditions and for different contingencies. No misplaced classification o- - ccurred in any of the tests, i.e., we detected no stable case classified as unstable or otherwise. The methodology is thus well fitted for it allows for a rapid conclusion about the stability of th system, for the majority of the contingencies (Stable or Unstable Cases). The tests, results and discussions are presented using two power systems: (1) the IEEE17 system, composed of 17 generators, 162 buses and 284 transmission lines; and (2) a South Brazilian system configuration, with 10 generators, 45 buses and 71 lines.

Variable structure control of switched systems based on Lyapunov-Metzler-SPR systems

This paper presents two Variable Structure Controllers (VSC) for continuous-time switched plants. It is assumed that the state vector is available for feedback. The proposed control system provides a switching rule and also the variable structure control input. The design is based on Lyapunov-Metzler (LM) inequalities and also on Strictly Positive Real (SPR) systems stability results. The definition of Lyapunov-Metzler-SPR (LMS) systems and its direct application in the design of VSC for switched systems are introduced in this paper. Two examples illustrate the design of the proposed VSC, considering a plant given by a switched system with a switched-state control law and two linear time-invariant systems, that are not controllable and also can not be stabilized with state feedback. ©2008 IEEE.

A comparative study of the damping oscillation function of TCSC and UPFC

The main objective of this work is to analyze the ability of FACTS devices like TCSC and UPFC to damp low frequency oscillations and a POD controller is also included. A comparative study of damping effect of those devices IS carried out. The Power Sensitivity Model (PSM) is used to the representation of the electric power system. Sensibility analysis using the residue method shows the best place for the installation of FACTS and the procedure to determine POD parameters. ©2008 IEEE.

Sistemas biodegradáveis contendo acetato de prednisolona para administração orbitária

Purpose: The present study aimed to evaluate an injectable extended-release formulation of prednisolone acetate (PA) for orbital administration. Methods: Microspheres (MEs) of poly-ε-caprolactone (PCL) containing PA were developed by the method of solvent evaporation. The MEs obtained were characterized by scanning electron microscopy (SEM), differential scanning calorimetry (DSC), encapsulation efficiency and in vitro release profile. The in vivo release profile was evaluated in rabbits after periocular injection of an aqueous suspension of MEs. The local biocompatibility of the system was verified by histopathologic analysis of the deployment region. Results: After MEs preparation, morphological analysis by SEM showed the feasibility of the employed method. The content of PA encapsulated was 43 ± 7% and can be considered as satisfactory. The system characterization by DSC technique, in addition to confirm the system stability, did not indicate the existence of interaction between the drug and the polymer. The in vitro release study showed the prolonged-release features of the developed system. Preliminary in vivo study showed the absence of local toxicity and confirmed the prolonged release profile of PA from MEs, suggesting the viability of the developed system for the treatment of orbital inflammatory diseases. Conclusion: The results obtained in this work are relevant and accredit the system developed as a possible alternative to the treatment of inflammatory orbitopathy.