Utilização de mercados artificiais com formadores de mercado para análise de estratégias

Na modelagem de sistemas complexos, abordagens analíticas tradicionais com equações diferenciais muitas vezes resultam em soluções intratáveis. Para contornar este problema, Modelos Baseados em Agentes surgem como uma ferramenta complementar, onde o sistema é modelado a partir de suas entidades constituintes e interações. Mercados Financeiros são exemplos de sistemas complexos, e como tais, o uso de modelos baseados em agentes é aplicável. Este trabalho implementa um Mercado Financeiro Artificial composto por formadores de mercado, difusores de informações e um conjunto de agentes heterogêneos que negociam um ativo através de um mecanismo de Leilão Duplo Contínuo. Diversos aspectos da simulação são investigados para consolidar sua compreensão e assim contribuir com a concepção de modelos, onde podemos destacar entre outros: Diferenças do Leilão Duplo Contínuo contra o Discreto; Implicações da variação do spread praticado pelo Formador de Mercado; Efeito de Restrições Orçamentárias sobre os agentes e Análise da formação de preços na emissão de ofertas. Pensando na aderência do modelo com a realidade do mercado brasileiro, uma técnica auxiliar chamada Simulação Inversa, é utilizada para calibrar os parâmetros de entrada, de forma que trajetórias de preços simulados resultantes sejam próximas à séries de preços históricos observadas no mercado.

A Numerical method for the semilinear stochastic transport equation

Trabalho apresentado no XXXV CNMAC, Natal-RN, 2014.

Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Numerical integration of coupled stochastic oscillators driven by Random Forces

Trabalho apresentado no International Conference on Scientific Computation And Differential Equations 2015

On the construction of explicit exponential based schemes for Stiff SDEs

Trabalho apresentado Numerical Solution of Differential and Differential-Algebraic Equations (NUMDIFF-14), Halle, 7-11 Sep 2015

Cálculo numérico: uma abordagem para a educação a distância

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Ultradistribuições exponenciais

O propósito principal desta tese é a extensão do espaço S′ (IR) das distribuições temperadas de Schwartz, usando o mesmo método de dualidade utilizado por Laurent Schwartz na sua Teoria das Distribuições (ver [Sch66]). Neste sentido, construímos um espaço de ultradistribuições exponenciais, X′, que é fechado para os operadores de derivação, translação complexa e transformação de Fourier. Para além destes operadores serem lineares e contínuos de X′ em X′, a translação complexa e a transformação de Fourier definem um isomorfismo vectorial e topológico neste espaço de ultradistribuições o que, como sabemos, generaliza o belo resultado de Schwartz para as distribuições temperadas. Estudamos as propriedades topológicas de X′ e demonstramos que o espaço S′ (IR) está contido com injecção canónica contínua e densa no nosso espaço de ultradistribuições exponenciais. A construção do espaço X′ baseia-se na estruturação de um espaço de funções teste X, que se injecta canónica, contínua e densamente em S (IR) . Este espaço X é um limite projectivo maximal de um espectro projectivo, constituído por espaços localmente convexos; definimos X′ como sendo o dual forte de X. Por fim, identificamos algumas ultradistribuições de X′, obtemos algumas séries de multipolos convergentes neste espaço e vemos que estas séries têm grande aplicabilidade na resolução de equações diferenciais ordinárias.

Modelagem e simulação de um sistema de bombeio mecânico em poços direcionais utilizando parâmetros concentrados

This work aims presenting the development of a model and computer simulation of a sucker rod pumping system. This system take into account the well geometry, the flow through the tubing, the dynamic behavior of the rod string and the use of a induction motor model. The rod string were modeled using concentrated parameters, allowing the use of ordinary differential equations systems to simulate it s behavior

Uma reavaliação do pensamento lógico de George Boole à luz da história da matemática

The aim of the present study is to reevaluate the logical thought of the English mathematician George Boole (1815 - 1864). Thus, our research centers on the mathematical analysis of logic in the context of the history of mathematics. In order to do so, we present various biographical considerations about Boole in the light of events that happened in the 19th century and their consequences for mathematical production. We briefly describe Boole's innovations in the areas of differential equations and invariant theory and undertake an analysis of Boole's logic, especially as formulated in the book The Mathematical Analysis of Logic, comparing it not only with the traditional Aristotelian logic, but also with modern symbolic logic. We conclude that Boole, as he intended, expanded logic both in terms of its content and also in terms of its methods and formal elaboration. We further conclude that his purpose was the mathematical modeling of deductive reasoning, which led him to present an innovative formalism for logic and, because the different ways it can be interpreted, a new conception of mathematics

Aplicação de sistemas multi-classificadores no diagnóstico de falhas em motores de indução trifásicos

Equipment maintenance is the major cost factor in industrial plants, it is very important the development of fault predict techniques. Three-phase induction motors are key electrical equipments used in industrial applications mainly because presents low cost and large robustness, however, it isn t protected from other fault types such as shorted winding and broken bars. Several acquisition ways, processing and signal analysis are applied to improve its diagnosis. More efficient techniques use current sensors and its signature analysis. In this dissertation, starting of these sensors, it is to make signal analysis through Park s vector that provides a good visualization capability. Faults data acquisition is an arduous task; in this way, it is developed a methodology for data base construction. Park s transformer is applied into stationary reference for machine modeling of the machine s differential equations solution. Faults detection needs a detailed analysis of variables and its influences that becomes the diagnosis more complex. The tasks of pattern recognition allow that systems are automatically generated, based in patterns and data concepts, in the majority cases undetectable for specialists, helping decision tasks. Classifiers algorithms with diverse learning paradigms: k-Neighborhood, Neural Networks, Decision Trees and Naïves Bayes are used to patterns recognition of machines faults. Multi-classifier systems are used to improve classification errors. It inspected the algorithms homogeneous: Bagging and Boosting and heterogeneous: Vote, Stacking and Stacking C. Results present the effectiveness of constructed model to faults modeling, such as the possibility of using multi-classifiers algorithm on faults classification

Avaliacao de dados de secagem de suspensoes de polpas de frutas em leito de jorro com alimentacao intermitente

The objective of this work was the development and improvement of the mathematical models based on mass and heat balances, representing the drying transient process fruit pulp in spouted bed dryer with intermittent feeding. Mass and energy balance for drying, represented by a system of differential equations, were developed in Fortran language and adapted to the condition of intermittent feeding and mass accumulation. Were used the DASSL routine (Differential Algebraic System Solver) for solving the differential equation system and used a heuristic optimization algorithm in parameter estimation, the Particle Swarm algorithm. From the experimental data food drying, the differential models were used to determine the quantity of water and the drying air temperature at the exit of a spouted bed and accumulated mass of powder in the dryer. The models were validated using the experimental data of drying whose operating conditions, air temperature, flow rate and time intermittency, varied within the limits studied. In reviewing the results predicted, it was found that these models represent the experimental data of the kinetics of production and accumulation of powder and humidity and air temperature at the outlet of the dryer

Modelagem e simulação de um separador bifásico com inversão de fases induzida

The present work has the main goal to study the modeling and simulation of a biphasic separator with induced phase inversion, the MDIF, with the utilization of the finite differences method for the resolution of the partial differencial equations which describe the transport of contaminant s mass fraction inside the equipment s settling chamber. With this aim, was developed the deterministic differential model AMADDA, wich was admensionalizated and then semidiscretizated with the method of lines. The integration of the resultant system of ordinary differential equations was realized by means of a modified algorithm of the Adam-Bashfort- Moulton method, and the sthocastic optimization routine of Basin-Hopping was used in the model s parameter estimation procedure . With the aim to establish a comparative referential for the results obtained with the model AMADDA, were used experimental data presented in previous works of the MDIF s research group. The experimental data and those obtained with the model was assessed regarding its normality by means of the Shapiro-Wilk s test, and validated against the experimental results with the Student s t test and the Kruskal-Wallis s test, depending on the result. The results showed satisfactory performance of the model AMADDA in the evaluation of the MDIF s separation efficiency, being possible to determinate that at 1% significance level the calculated results are equivalent to those determinated experimentally in the reference works

Filtros acústicos em cristais fonônicos

In this work, we have studied the acoustic phonon wave propagation within the periodic and quasiperiodic superlattices of Fibonacci type. These structures are formed by phononic crystals, whose periodicity allows the raise of regions known as stop bands, which prevent the phonon propagation throughout the structure for specific frequency values. This phenomenon allows the construction of acoustic filters with great technological potential. Our theoretical model were based on the method of the transfer matrix, thery acoustics phonons which describes the propagation of the transverse and longitudinal modes within a unit cell, linking them with the precedent cell in the multilayer structure. The transfer matrix is built taking into account the elastic and electromagnetic boundary conditions in the superllatice interfaces, and it is related to the coupled differential equation solutions (elastic and electromagnetic) that describe each model under consideration. We investigated the piezoelectric properties of GaN and AlN the nitride semiconductors, whose properties are important to applications in the semiconductor device industry. The calculations that characterize the piezoelectric system, depend strongly on the cubic (zinc-bend) and hexagonal (wurtzite) crystal symmetries, that are described the elastic and piezoelectric tensors. The investigation of the liquid Hg (mercury), Ga (gallium) and Ar (argon) systems in static conditions also using the classical theory of elasticity. Together with the Euler s equation of fluid mechanics they one solved to the solid/liquid and the liquid/liquid interfaces to obtain and discuss several interesting physical results. In particular, the acoustical filters obtained from these structures are again presented and their features discussed

Um estudo na teoria do movimento brownianno com viscosidade variável

In this work we investigate the stochastic behavior of a large class of systems with variable damping which are described by a time-dependent Lagrangian. Our stochastic approach is based on the Langevin treatment describing the motion of a classical Brownian particle of mass m. Two situations of physical interest are considered. In the first one, we discuss in detail an application of the standard Langevin treatment (white noise) for the variable damping system. In the second one, a more general viewpoint is adopted by assuming a given expression to the so-called collored noise. For both cases, the basic diffententiaql equations are analytically solved and al the quantities physically relevant are explicitly determined. The results depend on an arbitrary q parameter measuring how the behavior of the system departs from the standard brownian particle with constant viscosity. Several types of sthocastic behavior (superdiffusive and subdiffusive) are obteinded when the free pamameter varies continuosly. However, all the results of the conventional Langevin approach with constant damping are recovered in the limit q = 1