Risk management for mathematical optimization under uncertainty

We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC strategies.

Efficient Control in Multistage Stochastic Optimization Problem

AMS subject classification: 90C31, 90A09, 49K15, 49L20.

Synthesis optimization, structural evolution and optical properties of Y(0.9)Er(0.1)Al(3)(BO(3))(4) nanopowders obtained by soft chemistry methods

This paper describes the structural evolution of Y(0.9)Er(0.1)Al(3)(BO(3))(4) nanopowders using two soft chemistry routes, the sol-gel and the polymeric precursor methods. Differential scanning calorimetry, differential thermal analyses, thermogravimetric analyses, X-ray diffraction, Fourier-transform infrared, and Raman spectroscopy techniques have been used to study the chemical reactions between 700 and 1200 degrees C temperature range. From both methods the Y(0.9)Er(0.1)Al(3)(BO(3))(4) (Er:YAB) solid solution was obtained almost pure when the powdered samples were heat treated at 1150 degrees C. Based on the results, a schematic phase formation diagram of Er:YAB crystalline solid solution was proposed for powders from each method. The Er:YAB solid solution could be optimized by adding a small amount of boron oxide in excess to the Er:YAB nominal composition. The nanoparticles are obtained around 210 nm. Photoluminescence emission spectrum of the Er:YAB nanocrystalline powders was measured on the infrared region and the Stark components of the (4)I(13/2) and (4)I(15/2) levels were determined. Finally, for the first time the Raman spectrum of Y(0.9)Er(0.1)Al(3)(BO(3))(4) crystalline phase is also presented. (C) 2008 Elsevier Masson SAS. All rights reserved.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

Multiobjective 0-1 integer programming for the use of sugarcane residual biomass in energy cogeneration

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

Differential Balanced Trees and (0,1) Matrices

* The research was supported by INTAS 00-397 and 00-626 Projects.

Evaluation of strontium-site-deficient Sr2Fe1.4Co0.1Mo0.5O6-δ-based perovskite oxides as intermediate temperature solid oxide fuel cell cathodes

In this paper strontium-site-deficient Sr₂Fe_1.4Co_0.1Mo_0.5O_6-δ-based perovskite oxides (S_xFCM) were prepared and evaluated as the cathode materials for intermediate temperature solid oxide fuel cells (IT-SOFCs). All samples exhibited a cubic phase structure and the lattice shrinked with increasing the Sr-deficiency as shown in XRD patterns. XPS results determined that the transition elements (Co/Fe/Mo) in S_xFCM oxides were in a mixed valence state, demonstrating the small polaron hopping conductivity mechanism existed. Among the samples, S_1.950FCM presented the lowest coefficient of thermal expansion of 15.62 × 10^-6 K^-1, the highest conductivity value of 28 S cm^-1 at 500 °C, and the lowest interfacial polarization resistance of 0.093 Ω cm² at 800 °C, respectively. Furthermore, an anode-supported single cell with a S_1.950FCM cathode was prepared, demonstrating a maximum power density of 1.16 W cm^-2 at 800 °C by using wet H₂ (3% H₂O) as the fuel and ambient air as the oxidant. These results indicate that the introduction of Sr-deficiency can dramatically improve the electrochemical performance of Sr₂Fe_1.4Co_0.1Mo_0.5O_6-δ, showing great promise as a novel cathode candidate material for IT-SOFCs.

The Las Campanas/AAT Rich Cluster Survey - II. The environmental dependence of galaxy colours in clusters at z similar to 0.1

We present a photometric investigation of the variation in galaxy colour with environment in 11 X-ray-luminous clusters at 0.07 less than or equal to z less than or equal to 0.16 taken from the Las Campanas/AAT Rich Cluster Survey. We study the properties of the galaxy populations in individual clusters, and take advantage of the homogeneity of the sample to combine the clusters together to investigate weaker trends in the composite sample. We find that modal colours of galaxies lying on the colour-magnitude relation in the clusters become bluer by d(B - R)/dr(p) = -0.022 +/- 0.004 from the cluster core out to a projected radius of r(p) = 6 Mpc, further out in radius than any previous study. We also examine the variation in modal galaxy colour with local galaxy density, 2, for galaxies lying close to the colour-magnitude relation, and find that the median colour shifts bluewards by d(B - R)/d log(10)(Sigma) = -0.076 +/- 0.009 with decreasing local density across three orders of magnitude. We show that the position of the red envelope of galaxies in the colour-magnitude relation does not vary as a function of projected radius or density within the clusters, suggesting that the change in the modal colour results from an increasing fraction of bluer galaxies within the colour-magnitude relation, rather than a change in the colours of the whole population. We show that this shift in the colour-magnitude relations with projected radius and local density is greater than that expected from the changing morphological mix based on the local morphology-density relation. We therefore conclude that we are seeing a real change in the properties of galaxies on the colour-magnitude relation in the outskirts of clusters. The simplest interpretation of this result (and similar constraints in local clusters) is that an increasing fraction of galaxies in the lower density regions at large radii within clusters exhibit signatures of star formation in the recent past, signatures which are not seen in the evolved galaxies in the highest density regions.

One-pot synthesis of mixed (Z)-1,2-bis(organylchalcogene)-1-alkenes precursors of the novel beta-organylthio vinyllithium intermediates

One-pot hydrochalcogenation of 1-phenylthioacetylenes using organylselenolate and organyltellurolate anions generated by the insertions of selenium and tellurium in n-organyl lithium produced (Z)-1,2-bis(organylchalcogene)-1-alkenes. The chemical reactivity of these mixed 1,2-bis(organylchalcogene)-1-alkenes was studied by Te/Li and Se/Li stereoretentive exchanges carried out with n-butyl lithium, furnishing the new intermediate species (Z)-beta-organylthio vinyllithium anions, which were trapped with aldehydes, to give the (Z)-3-hydroxy vinyl thioethers with total control of the regio- and stereochemistry. (c) 2010 Elsevier Ltd. All rights reserved.