Risk control in transmission system expansion planning with wind generators

With the advent of large-scale wind farms and their integration into electrical grids, more uncertainties, constraints and objectives must be considered in power system development. It is therefore necessary to introduce risk-control strategies into the planning of transmission systems connected with wind power generators. This paper presents a probability-based multi-objective model equipped with three risk-control strategies. The model is developed to evaluate and enhance the ability of the transmission system to protect against overload risks when wind power is integrated into the power system. The model involves: (i) defining the uncertainties associated with wind power generators with probability measures and calculating the probabilistic power flow with the combined use of cumulants and Gram-Charlier series; (ii) developing three risk-control strategies by specifying the smallest acceptable non-overload probability for each branch and the whole system, and specifying the non-overload margin for all branches in the whole system; (iii) formulating an overload risk index based on the non-overload probability and the non-overload margin defined; and (iv) developing a multi-objective transmission system expansion planning (TSEP) model with the objective functions composed of transmission investment and the overload risk index. The presented work represents a superior risk-control model for TSEP in terms of security, reliability and economy. The transmission expansion planning model with the three risk-control strategies demonstrates its feasibility in the case study using two typical power systems

Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

Statistical distribution of wave-surface elevation for second-order random directional ocean waves in finite water depth

Based on the second-order random wave solutions of water wave equations in finite water depth, a statistical distribution of the wave-surface elevation is derived by using the characteristic function expansion method. It is found that the distribution, after normalization of the wave-surface elevation, depends only on two parameters. One parameter describes the small mean bias of the surface produced by the second-order wave-wave interactions. Another one is approximately proportional to the skewness of the distribution. Both of these two parameters can be determined by the water depth and the wave-number spectrum of ocean waves. As an illustrative example, we consider a fully developed wind-generated sea and the parameters are calculated for various wind speeds and water depths by using Donelan and Pierson spectrum. It is also found that, for deep water, the dimensionless distribution reduces to the third-order Gram-Charlier series obtained by Longuet-Higgins [J. Fluid Mech. 17 (1963) 459]. The newly proposed distribution is compared with the data of Bitner [Appl. Ocean Res. 2 (1980) 63], Gaussian distribution and the fourth-order Gram-Charlier series, and found our distribution gives a more reasonable fit to the data. (C) 2002 Elsevier Science B.V. All rights reserved.

Incorporating Higher Moments into Value at Risk Forecasting

Value-at-risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a simple approach to forecasting of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting the standard normal distribution with the first four moments, which are allowed to vary over time. In an extensive empirical study, we compare the GCE approach to other models of VaR forecasting and conclude that it provides accurate and robust estimates of the realized VaR. In spite of its simplicity, on our dataset GCE outperforms other estimates that are generated by both constant and time-varying higher-moments models.

Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

In this study, we propose a new semi-nonparametric (SNP) density model for describing the density of portfolio returns. This distribution, which we refer to as the multivariate moments expansion (MME), admits any non-Gaussian (multivariate) distribution as its basis because it is specified directly in terms of the basis density’s moments. To obtain the expansion of the Gaussian density, the MME is a reformulation of the multivariate Gram-Charlier (MGC), but the MME is much simpler and tractable than the MGC when positive transformations are used to produce well-defined densities. As an empirical application, we extend the dynamic conditional equicorrelation (DECO) model to an SNP framework using the MME. The resulting model is parameterized in a feasible manner to admit two-stage consistent estimation and it represents the DECO as well as the salient non-Gaussian features of portfolio return distributions. The in- and out-of-sample performance of a MME-DECO model of a portfolio of 10 assets demonstrate that it can be a useful tool for risk management purposes.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Multivariate Appoximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners.

Antibiotic Management of Lung Infections in Cystic Fibrosis. I. The Microbiome, Methicillin-Resistant Staphylococcus aureus, Gram-Negative Bacteria, and Multiple Infections

Despite significant advances in treatment strategies targeting the underlying defect in cystic fibrosis (CF), airway infection remains an important cause of lung disease. In this two-part series, we review recent evidence related to the complexity of CF airway infection, explore data suggesting the relevance of individual microbial species, and discuss current and future treatment options. In Part I, the evidence with respect to the spectrum of bacteria present in the CF airway, known as the lung microbiome is discussed. Subsequently, the current approach to treat methicillin-resistant Staphylococcus aureus, gram-negative bacteria, as well as multiple coinfections is reviewed. Newer molecular techniques have demonstrated that the airway microbiome consists of a large number of microbes, and the balance between microbes, rather than the mere presence of a single species, may be relevant for disease pathophysiology. A better understanding of this complex environment could help define optimal treatment regimens that target pathogens without affecting others. Although relevance of these organisms is unclear, the pathologic consequences of methicillin-resistant S. aureus infection in patients with CF have been recently determined. New strategies for eradication and treatment of both acute and chronic infections are discussed. Pseudomonas aeruginosa plays a prominent role in CF lung disease, butmany other nonfermenting gram-negative bacteria are also found in the CF airway. Many new inhaled antibiotics specifically targeting P. aeruginosa have become available with the hope that they will improve the quality of life for patients. Part I concludes with a discussion of how best to treat patients with multiple coinfections.

A family of promoter probe vectors incorporating autofluorescent and chromogenic reporter proteins for studying gene expression in Gram-negative bacteria

A series of promoter probe vectors for use in Gram-negative bacteria has been made in two broad-host-range vectors, pOT (pBBR replicon) and pJP2 (incP replicon). Reporter fusions can be made to gfpUV, gfprnut3.1, unstable gfpmut3.1 variants (LAA, LVA, AAV and ASV), gfp+, dsRed2, dsRedT3, dsRedT4, mRFP1, gusA or lacZ. The two vector families, pOT and pJP2, are compatible with one another and share the same polylinker for facile interchange of promoter regions. Vectors based on pJP2 have the advantage of being ultra-stable in the environment due to the presence of the parABCDE genes. As a confirmation of their usefulness, the dicarboxylic acid transport system promoter (dctA(p)) was cloned into a pOT (pRU1097)- and a pJP2 (pRU1156)-based vector and shown to be expressed by Rhizobium leguminosarum in infection threads of vetch. This indicates the presence of dicarboxylates at the earliest stages of nodule formation.

Potential tuberculostatic agents. Topliss application on benzoic acid [(5-nitro-thiophen-2-yl)-methylene]-hydrazide series

Nitroaromatic compounds such as nifuroxazide are used in many human enteropathogenic bacteria infections without causing an increase in the plasmidial antibiotic resistance of the aerobic Gram-negative intestinal Enterobacteriaceae. For these reasons, these compounds have been synthesized using the rational approach of Topliss' decision tree. Generally. this approach allows us to obtain the most active derivative from the series in a few steps. These compounds were tested against Mycobacterium tuberculosis in vitro and the most active of the series identified. A new lead for potential tuberculostatic activity has been predicted and will be used in further QSAR studies. (C) 2002 Elsevier B.V. Ltd. All rights reserved.

Cellular impermeability and uptake of biocides and antibiotics in Gram-positive bacteria and mycobacteria

Gram-positive bacteria possess a permeable cell wall that usually does not restrict the penetration of antimicrobials. However, resistance due to restricted penetration can occur, as illustrated by vancomycin-intermediate resistant Staphylococcus aureus strains (VISA) which produce a markedly thickened cell wall. Alterations in these strains include increased amounts of nonamidated glutamine residues in the peptidoglycan and it is suggested that the resistance mechanism involves 'affinity trapping' of vancomycin in the thickened cell wall. VISA strains have reduced doubling times, lower sensitivity to lysostaphin and reduced autolytic activity, which may reflect changes in the D-alanyl ester content of the wall and membrane teichoic acids. Mycobacterial cell walls have a high lipid content, which is assumed to act as a major barrier to the penetration of antimicrobial agents. Relatively hydrophobic antibiotics such as rifampicin and fluoroquinolones may be able to cross the cell wall by diffusion through the hydrophobic bilayer composed of long chain length mycolic acids and glycolipids. Hydrophilic antibiotics and nutrients cannot diffuse across this layer and are thought to use porin channels which have been reported in many species of mycobacteria. The occurrence of porins in a lipid bilayer supports the view that the mycobacterial wall has an outer membrane analogous to that of gram-negative bacteria. However, mycobacterial porins are much less abundant than in the gram-negative outer membrane and allow only low rates of uptake for small hydrophilic nutrients and antibiotics.

Synthesis and Properties of a Series of 1,1,n,n-Tetramethyl[n](2,11)teropyrenophanes

The work described in this thesis revolves around the 1,1,n,ntetramethyl[n](2,11)teropyrenophanes, which are a series of [n]cyclophanes with a severely bent, board-shaped polynuclear aromatic hydrocarbons (PAH). The thesis is divided into seven Chapters. The first Chapter conatins an overview of the seminal work on [n]cyclophanes of the first two members of the “capped rylene” series of PAHs: benzene and pyrene. Three different general strategies for the synthesis of [n]cyclophanes are discussed and this leads in to a discussion of some slected syntheses of [n]paracyclopahnes and [n](2,7)pyrenophanes. The chemical, structural, spectroscopic and photophysical properties of these benzene and pyrene-derived cyclophanes are discussed with emphasis on the changes that occur with changes in the structure of the aromatic system. Chapter 1 concludes with a brief introduction to [n]cyclophanes of the fourth member of the capped rylene series of PAHs: teropyrene. The focus of the work described in Chapter 2 is the synthesis of of 1,1,n,ntetramethyl[n](2,11)teropyrenophane (n = 6 and 7) using a double-McMurry strategy. While the synthesis 1,1,7,7-tetramethyl[7](2,11)teropyrenophane was successful, the synthesis of the lower homologue 1,1,6,6-tetramethyl[6](2,11)teropyrenophane was not. The conformational behaviour of [n.2]pyrenophanes was also studied by 1H NMR spectroscopy and this provided a conformation-based rationale for the failure of the synthesis of 1,1,6,6-tetramethyl[6](2,11)teropyrenophane. Chapter 3 contains details of the synthesis of 1,1,n,n-tetramethyl[n](2,11)teropyrenophanes (n = 7-9) using a Wurtz / McMurry strategy, which proved to be more general than the double McMurry strategy. The three teropyrenophanes were obtained in ca. 10 milligram quantities. Trends in the spectroscopic properties that accompany changes in the structure of the teropyrene system are discussed. A violation of Kasha’s rule was observed when the teropyrenophanes were irradiated at 260 nm. The work described in the fourth Chapter concentrates on the development of gram-scale syntheses of 1,1,n,n-tetramethyl[n](2,11)teropyrenophanes (n = 7–10) using the Wurtz / McMurry strategy. Several major modifications to the orginal synthetic pathway had to be made to enable the first several steps to be performed comfortably on tens of grams of material. Solubility problems severely limited the amount of material that could be produced at a late stage of the synthetic pathways leading to the evennumbered members of the series (n = 8, 10). Ultimately, only 1,1,9,9- tetramethyl[9](2,11)teropyrenophane was synthesized on a multi-gram scale. In the final step in the synthesis, a valence isomerization / dehydrogenation (VID) reaction, the teropyrenophane was observed to become unstable under the conditions of its formation at n = 8. The synthesis of 1,1,10,10-tetramethyl[10](2,11)teropyrenophane was achieved for the first time, but only on a few hundred milligram scale. In Chapter 5, the results of an investigation of the electrophilic aromatic bromination of the 1,1,n,n-tetramethyl[n](2,11)teropyrenophanes (n = 7–10) are presented. Being the most abundant cyclophane, most of the work was performed on 1,1,9,9-tetramethyl[9](2,11)teropyrenophane. Reaction of this compound with varying amounts of of bromine revealed that bromination occurs most rapidly at the symmetryrelated 4, 9, 13 and 18 positions (teropyrene numbering) and that the 4,9,13,18- tetrabromide could be formed exclusively. Subsequent bromination occurs selectively on the symmetry-related 6, 7, 15 and 16 positions (teropyrene numbering), but considerably more slowly. Only mixtures of penta-, hexa-, hepta and octabromides could be formed. Bromination reactions of the higher and lower homologues (n = 7, 8 and 10) revealed that the reactivity of the teropyrene system increased with the degree of bend. Crystal structures of some tetra-, hexa-, hepta- and octa-brominated products were obtained. The goal of the work described in Chapter 6 is to use 1,1,9,9- tetramethyl[9](2,11)teropyrenophane as a starting material for the synthesis of warped nanographenophanes. A bromination, Suzuki-Miyaura, cyclodehydrogenation sequence was unsuccessful, as was a C–H arylation / cyclodehydrogenation approach. Itami’s recently-developed K-region-selective annulative -extension (APEX) reaction proved to be successful, affording a giant [n]cyclophane with a C84 PAH. Attempted bay-region Diels-Alder reactions and some cursory host-guest chemistry of teropyrenophanes are also discussed. In Chapter 7 a synthetic approach toward a planar model compound, 2,11-di-tbutylteropyrene, is described. The synthesis could not be completed owing to solubility problems at the end of the synthetic pathway.