Search results for: multi-period portfolio optimization
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 3399

Search results for: multi-period portfolio optimization

2469 Holistic Urban Development: Incorporating Both Global and Local Optimization

Authors: Christoph Opperer

Abstract:

The rapid urbanization of modern societies and the need for sustainable urban development demand innovative solutions that meet both individual and collective needs while addressing environmental concerns. To address these challenges, this paper presents a study that explores the potential of spatial and energetic/ecological optimization to enhance the performance of urban settlements, focusing on both architectural and urban scales. The study focuses on the application of biological principles and self-organization processes in urban planning and design, aiming to achieve a balance between ecological performance, architectural quality, and individual living conditions. The research adopts a case study approach, focusing on a 10-hectare brownfield site in the south of Vienna. The site is surrounded by a small-scale built environment as an appropriate starting point for the research and design process. However, the selected urban form is not a prerequisite for the proposed design methodology, as the findings can be applied to various urban forms and densities. The methodology used in this research involves dividing the overall building mass and program into individual small housing units. A computational model has been developed to optimize the distribution of these units, considering factors such as solar exposure/radiation, views, privacy, proximity to sources of disturbance (such as noise), and minimal internal circulation areas. The model also ensures that existing vegetation and buildings on the site are preserved and incorporated into the optimization and design process. The model allows for simultaneous optimization at two scales, architectural and urban design, which have traditionally been addressed sequentially. This holistic design approach leads to individual and collective benefits, resulting in urban environments that foster a balance between ecology and architectural quality. The results of the optimization process demonstrate a seemingly random distribution of housing units that, in fact, is a densified hybrid between traditional garden settlements and allotment settlements. This urban typology is selected due to its compatibility with the surrounding urban context, although the presented methodology can be extended to other forms of urban development and density levels. The benefits of this approach are threefold. First, it allows for the determination of ideal housing distribution that optimizes solar radiation for each building density level, essentially extending the concept of sustainable building to the urban scale. Second, the method enhances living quality by considering the orientation and positioning of individual functions within each housing unit, achieving optimal views and privacy. Third, the algorithm's flexibility and robustness facilitate the efficient implementation of urban development with various stakeholders, architects, and construction companies without compromising its performance. The core of the research is the application of global and local optimization strategies to create efficient design solutions. By considering both, the performance of individual units and the collective performance of the urban aggregation, we ensure an optimal balance between private and communal benefits. By promoting a holistic understanding of urban ecology and integrating advanced optimization strategies, our methodology offers a sustainable and efficient solution to the challenges of modern urbanization.

Keywords: sustainable development, self-organization, ecological performance, solar radiation and exposure, daylight, visibility, accessibility, spatial distribution, local and global optimization

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2468 Tabu Random Algorithm for Guiding Mobile Robots

Authors: Kevin Worrall, Euan McGookin

Abstract:

The use of optimization algorithms is common across a large number of diverse fields. This work presents the use of a hybrid optimization algorithm applied to a mobile robot tasked with carrying out a search of an unknown environment. The algorithm is then applied to the multiple robots case, which results in a reduction in the time taken to carry out the search. The hybrid algorithm is a Random Search Algorithm fused with a Tabu mechanism. The work shows that the algorithm locates the desired points in a quicker time than a brute force search. The Tabu Random algorithm is shown to work within a simulated environment using a validated mathematical model. The simulation was run using three different environments with varying numbers of targets. As an algorithm, the Tabu Random is small, clear and can be implemented with minimal resources. The power of the algorithm is the speed at which it locates points of interest and the robustness to the number of robots involved. The number of robots can vary with no changes to the algorithm resulting in a flexible algorithm.

Keywords: algorithms, control, multi-agent, search and rescue

Procedia PDF Downloads 236
2467 A Network Optimization Study of Logistics for Enhancing Emergency Preparedness in Asia-Pacific

Authors: Giuseppe Timperio, Robert De Souza

Abstract:

The combination of factors such as temperamental climate change, rampant urbanization of risk exposed areas, political and social instabilities, is posing an alarming base for the further growth of number and magnitude of humanitarian crises worldwide. Given the unique features of humanitarian supply chain such as unpredictability of demand in space, time, and geography, spike in the number of requests for relief items in the first days after the calamity, uncertain state of logistics infrastructures, large volumes of unsolicited low-priority items, a proactive approach towards design of disaster response operations is needed to achieve high agility in mobilization of emergency supplies in the immediate aftermath of the event. This paper is an attempt in that direction, and it provides decision makers with crucial strategic insights for a more effective network design for disaster response. Decision sciences and ICT are integrated to analyse the robustness and resilience of a prepositioned network of emergency strategic stockpiles for a real-life case about Indonesia, one of the most vulnerable countries in Asia-Pacific, with the model being built upon a rich set of quantitative data. At this aim, a network optimization approach was implemented, with several what-if scenarios being accurately developed and tested. Findings of this study are able to support decision makers facing challenges related with disaster relief chains resilience, particularly about optimal configuration of supply chain facilities and optimal flows across the nodes, while considering the network structure from an end-to-end in-country distribution perspective.

Keywords: disaster preparedness, humanitarian logistics, network optimization, resilience

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2466 Calendar Anomalies in Islamic Frontier Markets

Authors: Aslam Faheem, Hunjra Ahmed Imran, Tayachi Tahar, Verhoeven Peter, Tariq Yasir

Abstract:

We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers.

Keywords: asset pricing, frontier markets, market efficiency, Islamic calendar effects, Islamic stock markets

Procedia PDF Downloads 161
2465 Joint Optimization of Carsharing Stations with Vehicle Relocation and Demand Selection

Authors: Jiayuan Wu. Lu Hu

Abstract:

With the development of the sharing economy and mobile technology, carsharing becomes more popular. In this paper, we focus on the joint optimization of one-way station-based carsharing systems. We model the problem as an integer linear program with six elements: station locations, station capacity, fleet size, initial vehicle allocation, vehicle relocation, and demand selection. A greedy-based heuristic is proposed to address the model. Firstly, initialization based on the location variables relaxation using Gurobi solver is conducted. Then, according to the profit margin and demand satisfaction of each station, the number of stations is downsized iteratively. This method is applied to real data from Chengdu, Sichuan taxi data, and it’s efficient when dealing with a large scale of candidate stations. The result shows that with vehicle relocation and demand selection, the profit and demand satisfaction of carsharing systems are increased.

Keywords: one-way carsharing, location, vehicle relocation, demand selection, greedy algorithm

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2464 Supply Chain Optimization Based on Advanced Planning and Scheduling Technology in Manufacturing Industry: A Case Study

Authors: Wenqian Shi, Xie He, Ziyin Huang, Zi Yu

Abstract:

The dramatic changes in the global economic situation have produced dramatic changes to companies’ supply chain systems. A variety of opportunities and challenges make the traditional manufacturing industry feel pressured, and the manufacturing industry must seek a new way out as soon as possible. This paper presents a case study of the advanced planning and scheduling technology problem encountered by an electrical and electronics manufacturer. The objective is to seek the minimum cost of production planning and order management. Digitalization is applied to the problem, and the results demonstrate that significant production performances can be achieved in the face of the existing production of each link and order management systems to analyze and optimize. This paper can also provide some practical implications in various manufacturing industries. Finally, future research directions are discussed.

Keywords: advanced planning and scheduling, case study, production planning, supply chain optimization

Procedia PDF Downloads 87
2463 Flow Conservation Framework for Monitoring Software Defined Networks

Authors: Jesús Antonio Puente Fernández, Luis Javier Garcia Villalba

Abstract:

New trends on streaming videos such as series or films require a high demand of network resources. This fact results in a huge problem within traditional IP networks due to the rigidity of its architecture. In this way, Software Defined Networks (SDN) is a new concept of network architecture that intends to be more flexible and it simplifies the management in networks with respect to the existing ones. These aspects are possible due to the separation of control plane (controller) and data plane (switches). Taking the advantage of this separated control, it is easy to deploy a monitoring tool independent of device vendors since the existing ones are dependent on the installation of specialized and expensive hardware. In this paper, we propose a framework that optimizes the traffic monitoring in SDN networks that decreases the number of monitoring queries to improve the network traffic and also reduces the overload. The performed experiments (with and without the optimization) using a video streaming delivery between two hosts demonstrate the feasibility of our monitoring proposal.

Keywords: optimization, monitoring, software defined networking, statistics, query

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2462 Sparse Unmixing of Hyperspectral Data by Exploiting Joint-Sparsity and Rank-Deficiency

Authors: Fanqiang Kong, Chending Bian

Abstract:

In this work, we exploit two assumed properties of the abundances of the observed signatures (endmembers) in order to reconstruct the abundances from hyperspectral data. Joint-sparsity is the first property of the abundances, which assumes the adjacent pixels can be expressed as different linear combinations of same materials. The second property is rank-deficiency where the number of endmembers participating in hyperspectral data is very small compared with the dimensionality of spectral library, which means that the abundances matrix of the endmembers is a low-rank matrix. These assumptions lead to an optimization problem for the sparse unmixing model that requires minimizing a combined l2,p-norm and nuclear norm. We propose a variable splitting and augmented Lagrangian algorithm to solve the optimization problem. Experimental evaluation carried out on synthetic and real hyperspectral data shows that the proposed method outperforms the state-of-the-art algorithms with a better spectral unmixing accuracy.

Keywords: hyperspectral unmixing, joint-sparse, low-rank representation, abundance estimation

Procedia PDF Downloads 248
2461 Design of a Human-in-the-Loop Aircraft Taxiing Optimisation System Using Autonomous Tow Trucks

Authors: Stefano Zaninotto, Geoffrey Farrugia, Johan Debattista, Jason Gauci

Abstract:

The need to reduce fuel and noise during taxi operations in the airports with a scenario of constantly increasing air traffic has resulted in an effort by the aerospace industry to move towards electric taxiing. In fact, this is one of the problems that is currently being addressed by SESAR JU and two main solutions are being proposed. With the first solution, electric motors are installed in the main (or nose) landing gear of the aircraft. With the second solution, manned or unmanned electric tow trucks are used to tow aircraft from the gate to the runway (or vice-versa). The presence of the tow trucks results in an increase in vehicle traffic inside the airport. Therefore, it is important to design the system in a way that the workload of Air Traffic Control (ATC) is not increased and the system assists ATC in managing all ground operations. The aim of this work is to develop an electric taxiing system, based on the use of autonomous tow trucks, which optimizes aircraft ground operations while keeping ATC in the loop. This system will consist of two components: an optimization tool and a Graphical User Interface (GUI). The optimization tool will be responsible for determining the optimal path for arriving and departing aircraft; allocating a tow truck to each taxiing aircraft; detecting conflicts between aircraft and/or tow trucks; and proposing solutions to resolve any conflicts. There are two main optimization strategies proposed in the literature. With centralized optimization, a central authority coordinates and makes the decision for all ground movements, in order to find a global optimum. With the second strategy, called decentralized optimization or multi-agent system, the decision authority is distributed among several agents. These agents could be the aircraft, the tow trucks, and taxiway or runway intersections. This approach finds local optima; however, it scales better with the number of ground movements and is more robust to external disturbances (such as taxi delays or unscheduled events). The strategy proposed in this work is a hybrid system combining aspects of these two approaches. The GUI will provide information on the movement and status of each aircraft and tow truck, and alert ATC about any impending conflicts. It will also enable ATC to give taxi clearances and to modify the routes proposed by the system. The complete system will be tested via computer simulation of various taxi scenarios at multiple airports, including Malta International Airport, a major international airport, and a fictitious airport. These tests will involve actual Air Traffic Controllers in order to evaluate the GUI and assess the impact of the system on ATC workload and situation awareness. It is expected that the proposed system will increase the efficiency of taxi operations while reducing their environmental impact. Furthermore, it is envisaged that the system will facilitate various controller tasks and improve ATC situation awareness.

Keywords: air traffic control, electric taxiing, autonomous tow trucks, graphical user interface, ground operations, multi-agent, route optimization

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2460 Dynamic Measurement System Modeling with Machine Learning Algorithms

Authors: Changqiao Wu, Guoqing Ding, Xin Chen

Abstract:

In this paper, ways of modeling dynamic measurement systems are discussed. Specially, for linear system with single-input single-output, it could be modeled with shallow neural network. Then, gradient based optimization algorithms are used for searching the proper coefficients. Besides, method with normal equation and second order gradient descent are proposed to accelerate the modeling process, and ways of better gradient estimation are discussed. It shows that the mathematical essence of the learning objective is maximum likelihood with noises under Gaussian distribution. For conventional gradient descent, the mini-batch learning and gradient with momentum contribute to faster convergence and enhance model ability. Lastly, experimental results proved the effectiveness of second order gradient descent algorithm, and indicated that optimization with normal equation was the most suitable for linear dynamic models.

Keywords: dynamic system modeling, neural network, normal equation, second order gradient descent

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2459 [Keynote Talk]: Machining Parameters Optimization with Genetic Algorithm

Authors: Dejan Tanikić, Miodrag Manić, Jelena Đoković, Saša Kalinović

Abstract:

This paper deals with the determination of the optimum machining parameters, according to the measured and modelled data of the cutting temperature and surface roughness, during the turning of the AISI 4140 steel. The high cutting temperatures are unwanted occurences in the metal cutting process. They impact negatively on the quality of the machined part. The machining experiments were performed using different cutting regimes (cutting speed, feed rate and depth of cut), with different values of the workpiece hardness, which causes different values of the measured cutting temperature as well as the measured surface roughness. The temperature and surface roughness data were modelled after that using Response Surface Methodology (RSM). The obtained RSM models are used in the process of optimization of the cutting regimes using the Genetic Algorithms (GA) tool, which enables the metal cutting process in the optimum conditions.

Keywords: genetic algorithms, machining parameters, response surface methodology, turning process

Procedia PDF Downloads 183
2458 Mathematical Modeling of Activated Sludge Process: Identification and Optimization of Key Design Parameters

Authors: Ujwal Kishor Zore, Shankar Balajirao Kausley, Aniruddha Bhalchandra Pandit

Abstract:

There are some important design parameters of activated sludge process (ASP) for wastewater treatment and they must be optimally defined to have the optimized plant working. To know them, developing a mathematical model is a way out as it is nearly commensurate the real world works. In this study, a mathematical model was developed for ASP, solved under activated sludge model no 1 (ASM 1) conditions and MATLAB tool was used to solve the mathematical equations. For its real-life validation, the developed model was tested for the inputs from the municipal wastewater treatment plant and the results were quite promising. Additionally, the most cardinal assumptions required to design the treatment plant are discussed in this paper. With the need for computerization and digitalization surging in every aspect of engineering, this mathematical model developed might prove to be a boon to many biological wastewater treatment plants as now they can in no time know the design parameters which are required for a particular type of wastewater treatment.

Keywords: waste water treatment, activated sludge process, mathematical modeling, optimization

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2457 Hydrodynamic Behaviour Study of Fast Mono-Hull and Catamaran Vessels in Calm Waters Using Free Surface Flow Analysis

Authors: Mohammad Sadeghian, Mohsen Sadeghian

Abstract:

In this paper, planning catamaran and mono-hull vessels resistance and trim in calm waters were considered. Hydrodynamic analysis of fast mono-hull planning vessel was also investigated. For hull form geometry optimization, numerical methods of different parameters were used for this type of vessels. Hull material was selected as carbon fiber composite. Exact architectural aspects were specified and stability calculations were performed, as well. Hydrodynamic calculations to extract the resistance force using semi-analytical methods and numerical modeling were carried out. Free surface numerical analysis of vessel in designed draft using finite volume method and double phase were evaluated and verified by experimental tests.

Keywords: fast vessel, hydrostatic and hydrodynamic optimization, free surface flow, computational fluid dynamics

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2456 Optimization of Urea Water Solution Injector for NH3 Uniformity Improvement in Urea-SCR System

Authors: Kyoungwoo Park, Gil Dong Kim, Seong Joon Moon, Ho Kil Lee

Abstract:

The Urea-SCR is one of the most efficient technologies to reduce NOx emissions in diesel engines. In the present work, the computational prediction of internal flow and spray characteristics in the Urea-SCR system was carried out by using 3D-CFD simulation to evaluate NH3 uniformity index (NH3 UI) and its activation time according to the official New European Driving Cycle (NEDC). The number of nozzle and its diameter, two types of injection directions, and penetration length were chosen as the design variables. The optimal solutions were obtained by coupling the CFD analysis with Taguchi method. The L16 orthogonal array and small-the-better characteristics of the Taguchi method were used, and the optimal values were confirmed to be valid with 95% confidence and 5% significance level through analysis of variance (ANOVA). The results show that the optimal solutions for the NH3 UI and activation time (NH3 UI 0.22) are obtained by 0.41 and 0,125 second, respectively, and their values are improved by 85.0% and 10.7%, respectively, compared with those of the base model.

Keywords: computational fluid dynamics, NH3 uniformity index, optimization, Taguchi method, Urea-SCR system, UWS injector

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2455 Optimized Scheduling of Domestic Load Based on User Defined Constraints in a Real-Time Tariff Scenario

Authors: Madia Safdar, G. Amjad Hussain, Mashhood Ahmad

Abstract:

One of the major challenges of today’s era is peak demand which causes stress on the transmission lines and also raises the cost of energy generation and ultimately higher electricity bills to the end users, and it was used to be managed by the supply side management. However, nowadays this has been withdrawn because of existence of potential in the demand side management (DSM) having its economic and- environmental advantages. DSM in domestic load can play a vital role in reducing the peak load demand on the network provides a significant cost saving. In this paper the potential of demand response (DR) in reducing the peak load demands and electricity bills to the electric users is elaborated. For this purpose the domestic appliances are modeled in MATLAB Simulink and controlled by a module called energy management controller. The devices are categorized into controllable and uncontrollable loads and are operated according to real-time tariff pricing pattern instead of fixed time pricing or variable pricing. Energy management controller decides the switching instants of the controllable appliances based on the results from optimization algorithms. In GAMS software, the MILP (mixed integer linear programming) algorithm is used for optimization. In different cases, different constraints are used for optimization, considering the comforts, needs and priorities of the end users. Results are compared and the savings in electricity bills are discussed in this paper considering real time pricing and fixed tariff pricing, which exhibits the existence of potential to reduce electricity bills and peak loads in demand side management. It is seen that using real time pricing tariff instead of fixed tariff pricing helps to save in the electricity bills. Moreover the simulation results of the proposed energy management system show that the gained power savings lie in high range. It is anticipated that the result of this research will prove to be highly effective to the utility companies as well as in the improvement of domestic DR.

Keywords: controllable and uncontrollable domestic loads, demand response, demand side management, optimization, MILP (mixed integer linear programming)

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2454 Optimization of Machining Parametric Study on Electrical Discharge Machining

Authors: Rakesh Prajapati, Purvik Patel, Hardik Patel

Abstract:

Productivity and quality are two important aspects that have become great concerns in today’s competitive global market. Every production/manufacturing unit mainly focuses on these areas in relation to the process, as well as the product developed. The electrical discharge machining (EDM) process, even now it is an experience process, wherein the selected parameters are still often far from the maximum, and at the same time selecting optimization parameters is costly and time consuming. Material Removal Rate (MRR) during the process has been considered as a productivity estimate with the aim to maximize it, with an intention of minimizing surface roughness taken as most important output parameter. These two opposites in nature requirements have been simultaneously satisfied by selecting an optimal process environment (optimal parameter setting). Objective function is obtained by Regression Analysis and Analysis of Variance. Then objective function is optimized using Genetic Algorithm technique. The model is shown to be effective; MRR and Surface Roughness improved using optimized machining parameters.

Keywords: MMR, TWR, OC, DOE, ANOVA, minitab

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2453 Black-Box-Optimization Approach for High Precision Multi-Axes Forward-Feed Design

Authors: Sebastian Kehne, Alexander Epple, Werner Herfs

Abstract:

A new method for optimal selection of components for multi-axes forward-feed drive systems is proposed in which the choice of motors, gear boxes and ball screw drives is optimized. Essential is here the synchronization of electrical and mechanical frequency behavior of all axes because even advanced controls (like H∞-controls) can only control a small part of the mechanical modes – namely only those of observable and controllable states whose value can be derived from the positions of extern linear length measurement systems and/or rotary encoders on the motor or gear box shafts. Further problems are the unknown processing forces like cutting forces in machine tools during normal operation which make the estimation and control via an observer even more difficult. To start with, the open source Modelica Feed Drive Library which was developed at the Laboratory for Machine Tools, and Production Engineering (WZL) is extended from one axis design to the multi axes design. It is capable to simulate the mechanical, electrical and thermal behavior of permanent magnet synchronous machines with inverters, different gear boxes and ball screw drives in a mechanical system. To keep the calculation time down analytical equations are used for field and torque producing equivalent circuit, heat dissipation and mechanical torque at the shaft. As a first step, a small machine tool with a working area of 635 x 315 x 420 mm is taken apart, and the mechanical transfer behavior is measured with an impulse hammer and acceleration sensors. With the frequency transfer functions, a mechanical finite element model is built up which is reduced with substructure coupling to a mass-damper system which models the most important modes of the axes. The model is modelled with Modelica Feed Drive Library and validated by further relative measurements between machine table and spindle holder with a piezo actor and acceleration sensors. In a next step, the choice of possible components in motor catalogues is limited by derived analytical formulas which are based on well-known metrics to gain effective power and torque of the components. The simulation in Modelica is run with different permanent magnet synchronous motors, gear boxes and ball screw drives from different suppliers. To speed up the optimization different black-box optimization methods (Surrogate-based, gradient-based and evolutionary) are tested on the case. The objective that was chosen is to minimize the integral of the deviations if a step is given on the position controls of the different axes. Small values are good measures for a high dynamic axes. In each iteration (evaluation of one set of components) the control variables are adjusted automatically to have an overshoot less than 1%. It is obtained that the order of the components in optimization problem has a deep impact on the speed of the black-box optimization. An approach to do efficient black-box optimization for multi-axes design is presented in the last part. The authors would like to thank the German Research Foundation DFG for financial support of the project “Optimierung des mechatronischen Entwurfs von mehrachsigen Antriebssystemen (HE 5386/14-1 | 6954/4-1)” (English: Optimization of the Mechatronic Design of Multi-Axes Drive Systems).

Keywords: ball screw drive design, discrete optimization, forward feed drives, gear box design, linear drives, machine tools, motor design, multi-axes design

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2452 Numerical Methods for Topological Optimization of Wooden Structural Elements

Authors: Daniela Tapusi, Adrian Andronic, Naomi Tufan, Ruxandra Erbașu, Ioana Teodorescu

Abstract:

The proposed theme of this article falls within the policy of reducing carbon emissions imposed by the ‘Green New Deal’ by replacing structural elements made of energy-intensive materials with ecological materials. In this sense, wood has many qualities (high strength/mass and stiffness/mass ratio, low specific gravity, recovery/recycling) that make it competitive with classic building materials. The topological optimization of the linear glulam elements, resulting from different types of analysis (Finite Element Method, simple regression on metamodels), tests on models or by Monte-Carlo simulation, leads to a material reduction of more than 10%. This article proposes a method of obtaining topologically optimized shapes for different types of glued laminated timber beams. The results obtained will constitute the database for AI training.

Keywords: timber, glued laminated timber, artificial-intelligence, environment, carbon emissions

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2451 Management of Intellectual Property Rights: Strategic Patenting

Authors: Waheed Oseni

Abstract:

This article reviews emergent global trends in intellectual property protection and identifies patenting as a strategic initiative. Recent developments in software and method of doing business patenting are fast transforming the e‐business landscape. The article discusses the emergent global regulatory framework concerning intellectual property rights and the strategic value of patenting. Important features of a corporate patenting portfolio are described. Superficially, the e‐commerce landscape appears to be dominated by dotcom start-ups or the “dotcomization” of existing brick and mortar companies. But, in reality, at its very bedrock is intellectual property (IP). In this connection, the recent avalanche of patenting of software and method‐of‐doing‐business (MDB) in the USA is a very significant development with regard to rules governing IP rights and, therefore, e‐commerce. Together with the World Trade Organization’s (WTO) IP rules, there is an emerging global regulatory framework for IP rights, an understanding of which is necessary for designing effective e‐commerce strategies.

Keywords: intellectual property, patents, methods, computer software

Procedia PDF Downloads 519
2450 Theoretical and ML-Driven Identification of a Mispriced Credit Risk

Authors: Yuri Katz, Kun Liu, Arunram Atmacharan

Abstract:

Due to illiquidity, mispricing on Credit Markets is inevitable. This creates huge challenges to banks and investors as they seek to find new ways of risk valuation and portfolio management in a post-credit crisis world. Here, we analyze the difference in behavior of the spread-to-maturity in investment and high-yield categories of US corporate bonds between 2014 and 2023. Deviation from the theoretical dependency of this measure in the universe under study allows to identify multiple cases of mispriced credit risk. Remarkably, we observe mispriced bonds in both categories of credit ratings. This identification is supported by the application of the state-of-the-art machine learning model in more than 90% of cases. Noticeably, the ML-driven model-based forecasting of a category of bond’s credit ratings demonstrate an excellent out-of-sample accuracy (AUC = 98%). We believe that these results can augment conventional valuations of credit portfolios.

Keywords: credit risk, credit ratings, bond pricing, spread-to-maturity, machine learning

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2449 Chaotic Search Optimal Design and Modeling of Permanent Magnet Synchronous Linear Motor

Authors: Yang Yi-Fei, Luo Min-Zhou, Zhang Fu-Chun, He Nai-Bao, Xing Shao-Bang

Abstract:

This paper presents an electromagnetic finite element model of permanent magnet synchronous linear motor and distortion rate of the air gap flux density waveform is analyzed in detail. By designing the sample space of the parameters, nonlinear regression modeling of the orthogonal experimental design is introduced. We put forward for possible air gap flux density waveform sine electromagnetic scheme. Parameters optimization of the permanent magnet synchronous linear motor is also introduced which is based on chaotic search and adaptation function. Simulation results prove that the pole shifting does not affect the motor back electromotive symmetry based on the structural parameters, it provides a novel way for the optimum design of permanent magnet synchronous linear motor and other engineering.

Keywords: permanent magnet synchronous linear motor, finite element analysis, chaotic search, optimization design

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2448 CFD Modeling and Optimization of Gas Cyclone Separator for Performance Improvement

Authors: N. Beit Saeid

Abstract:

Cyclones are used in the field of air industrial gases pollution and control the pollution with centrifugal forces that is generated with spatial geometry of the cyclone. Their simple design, low capital and maintenance costs and adaptability to a wide range of operating conditions have made cyclones one of the most widely used industrial dust collectors. Their cost of operation is proportional to the fan energy required to overcome their pressure drop. Optimized geometry of outlet diffuser of the cyclones potentially could reduce exit pressure losses without affecting collection efficiency. Three rectangular outlets and a radial outlet with a variable opening had been analyzed on two cyclones. Pressure drop was investigated for inlet velocities from about 10 to 20 m s−1. The radial outlet reduced cyclone pressure drop by between 8.7 and 11.9 percent when its exit area was equal to the flow area of the cyclone vortex finder or gas exit. A simple payback based on avoided energy costs was estimated to be between 3600 and 5000 h, not including installation cost.

Keywords: cyclone, CFD, optimization, genetic algorithm

Procedia PDF Downloads 376
2447 Topological Sensitivity Analysis for Reconstruction of the Inverse Source Problem from Boundary Measurement

Authors: Maatoug Hassine, Mourad Hrizi

Abstract:

In this paper, we consider a geometric inverse source problem for the heat equation with Dirichlet and Neumann boundary data. We will reconstruct the exact form of the unknown source term from additional boundary conditions. Our motivation is to detect the location, the size and the shape of source support. We present a one-shot algorithm based on the Kohn-Vogelius formulation and the topological gradient method. The geometric inverse source problem is formulated as a topology optimization one. A topological sensitivity analysis is derived from a source function. Then, we present a non-iterative numerical method for the geometric reconstruction of the source term with unknown support using a level curve of the topological gradient. Finally, we give several examples to show the viability of our presented method.

Keywords: geometric inverse source problem, heat equation, topological optimization, topological sensitivity, Kohn-Vogelius formulation

Procedia PDF Downloads 296
2446 Hydrodynamic Behavior Study of Fast Mono Hull and Catamaran Vessels in Calm Waters Using Free Surface Flow Analysis

Authors: Mohammad Ali Badri, Pouya Molana, Amin Rezvanpour

Abstract:

In this paper, planning catamaran and mono-hull vessels resistance and trim in calm waters were considered. Hydrodynamic analysis of fast mono-hull planning vessel was also investigated. In order to hull form geometry optimization, numerical methods of different parameters were used for this type of vessels. Hull material was selected in carbon fiber composite. Exact architectural aspects were specified and stability calculations were performed as well. Hydrodynamic calculations to extract the resistance force using semi-analytical methods and numerical modeling were carried out. Free surface numerical analysis of vessel in designed draft using finite volume method and double phase were evaluated and verified by experimental tests.

Keywords: fast vessel, hydrostatic and hydrodynamic optimization, free surface flow, computational fluid dynamics

Procedia PDF Downloads 512
2445 Determination of Optimum Parameters for Thermal Stress Distribution in Composite Plate Containing a Triangular Cutout by Optimization Method

Authors: Mohammad Hossein Bayati Chaleshtari, Hadi Khoramishad

Abstract:

Minimizing the stress concentration around triangular cutout in infinite perforated plates subjected to a uniform heat flux induces thermal stresses is an important consideration in engineering design. Furthermore, understanding the effective parameters on stress concentration and proper selection of these parameters enables the designer to achieve a reliable design. In the analysis of thermal stress, the effective parameters on stress distribution around cutout include fiber angle, flux angle, bluntness and rotation angle of the cutout for orthotropic materials. This paper was tried to examine effect of these parameters on thermal stress analysis of infinite perforated plates with central triangular cutout. In order to achieve the least amount of thermal stress around a triangular cutout using a novel swarm intelligence optimization technique called dragonfly optimizer that inspired by the life method and hunting behavior of dragonfly in nature. In this study, using the two-dimensional thermoelastic theory and based on the Likhnitskiiʼ complex variable technique, the stress analysis of orthotropic infinite plate with a circular cutout under a uniform heat flux was developed to the plate containing a quasi-triangular cutout in thermal steady state condition. To achieve this goal, a conformal mapping function was used to map an infinite plate containing a quasi- triangular cutout into the outside of a unit circle. The plate is under uniform heat flux at infinity and Neumann boundary conditions and thermal-insulated condition at the edge of the cutout were considered.

Keywords: infinite perforated plate, complex variable method, thermal stress, optimization method

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2444 Tree Species Classification Using Effective Features of Polarimetric SAR and Hyperspectral Images

Authors: Milad Vahidi, Mahmod R. Sahebi, Mehrnoosh Omati, Reza Mohammadi

Abstract:

Forest management organizations need information to perform their work effectively. Remote sensing is an effective method to acquire information from the Earth. Two datasets of remote sensing images were used to classify forested regions. Firstly, all of extractable features from hyperspectral and PolSAR images were extracted. The optical features were spectral indexes related to the chemical, water contents, structural indexes, effective bands and absorption features. Also, PolSAR features were the original data, target decomposition components, and SAR discriminators features. Secondly, the particle swarm optimization (PSO) and the genetic algorithms (GA) were applied to select optimization features. Furthermore, the support vector machine (SVM) classifier was used to classify the image. The results showed that the combination of PSO and SVM had higher overall accuracy than the other cases. This combination provided overall accuracy about 90.56%. The effective features were the spectral index, the bands in shortwave infrared (SWIR) and the visible ranges and certain PolSAR features.

Keywords: hyperspectral, PolSAR, feature selection, SVM

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2443 Volatility Transmission between Oil Price and Stock Return of Emerging and Developed Countries

Authors: Algia Hammami, Abdelfatteh Bouri

Abstract:

In this work, our objective is to study the transmission of volatility between oil and stock markets in developed (USA, Germany, Italy, France and Japan) and emerging countries (Tunisia, Thailand, Brazil, Argentina, and Jordan) for the period 1998-2015. Our methodology consists of analyzing the monthly data by the GARCH-BEKK model to capture the effect in terms of volatility in the variation of the oil price on the different stock market. The empirical results in the emerging countries indicate that the relationships are unidirectional from the stock market to the oil market. For the developed countries, we find that the transmission of volatility is unidirectional from the oil market to stock market. For the USA and Italy, we find no transmission between the two markets. The transmission is bi-directional only in Thailand. Following our estimates, we also noticed that the emerging countries influence almost the same extent as the developed countries, while at the transmission of volatility there a bid difference. The GARCH-BEKK model is more effective than the others versions to minimize the risk of an oil-stock portfolio.

Keywords: GARCH, oil prices, stock market, volatility transmission

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2442 Finite Element and Split Bregman Methods for Solving a Family of Optimal Control Problem with Partial Differential Equation Constraint

Authors: Mahmoud Lot

Abstract:

In this article, we will discuss the solution of elliptic optimal control problem. First, by using the nite element method, we obtain the discrete form of the problem. The obtained discrete problem is actually a large scale constrained optimization problem. Solving this optimization problem with traditional methods is difficult and requires a lot of CPU time and memory. But split Bergman method converts the constrained problem to an unconstrained, and hence it saves time and memory requirement. Then we use the split Bregman method for solving this problem, and examples show the speed and accuracy of split Bregman methods for solving these types of problems. We also use the SQP method for solving the examples and compare with the split Bregman method.

Keywords: Split Bregman Method, optimal control with elliptic partial differential equation constraint, finite element method

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2441 Measuring Firms’ Patent Management: Conceptualization, Validation, and Interpretation

Authors: Mehari Teshome, Lara Agostini, Anna Nosella

Abstract:

The current knowledge-based economy extends intellectual property rights (IPRs) legal research themes into a more strategic and organizational perspectives. From the diverse types of IPRs, patents are the strongest and well-known form of legal protection that influences commercial success and market value. Indeed, from our pilot survey, we understood that firms are less likely to manage their patents and actively used it as a tool for achieving competitive advantage rather they invest resource and efforts for patent application. To this regard, the literature also confirms that insights into how firms manage their patents from a holistic, strategic perspective, and how the portfolio value of patents can be optimized are scarce. Though patent management is an important business tool and there exist few scales to measure some dimensions of patent management, at the best of our knowledge, no systematic attempt has been made to develop a valid and comprehensive measure of it. Considering this theoretical and practical point of view, the aim of this article is twofold: to develop a framework for patent management encompassing all relevant dimensions with their respective constructs and measurement items, and to validate the measurement using survey data from practitioners. Methodology: We used six-step methodological approach (i.e., specify the domain of construct, item generation, scale purification, internal consistency assessment, scale validation, and replication). Accordingly, we carried out a systematic review of 182 articles on patent management, from ISI Web of Science. For each article, we mapped relevant constructs, their definition, and associated features, as well as items used to measure these constructs, when provided. This theoretical analysis was complemented by interviews with experts in patent management to get feedbacks that are more practical on how patent management is carried out in firms. Afterwards, we carried out a questionnaire survey to purify our scales and statistical validation. Findings: The analysis allowed us to design a framework for patent management, identifying its core dimensions (i.e., generation, portfolio-management, exploitation and enforcement, intelligence) and support dimensions (i.e., strategy and organization). Moreover, we identified the relevant activities for each dimension, as well as the most suitable items to measure them. For example, the core dimension generation includes constructs as: state-of-the-art analysis, freedom-to-operate analysis, patent watching, securing freedom-to-operate, patent potential and patent-geographical-scope. Originality and the Study Contribution: This study represents a first step towards the development of sound scales to measure patent management with an overarching approach, thus laying the basis for developing a recognized landmark within the research area of patent management. Practical Implications: The new scale can be used to assess the level of sophistication of the patent management of a company and compare it with other firms in the industry to evaluate their ability to manage the different activities involved in patent management. In addition, the framework resulting from this analysis can be used as a guide that supports managers to improve patent management in firms.

Keywords: patent, management, scale, development, intellectual property rights (IPRs)

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2440 Quantitative Risk Analysis for Major Subsystems and Project Success of a Highthrouput Satellite

Authors: Ibrahim Isa Ali (Pantami), Abdu Jaafaru Bambale, Abimbola Alale, Danjuma Ibrahim Ndihgihdah, Muhammad Alkali, Adamu Idris Umar, Babadoko Dantala Mohammed, Moshood Kareem Olawole

Abstract:

This paper dwells on the risk management required for High throughput Satellite (HTS) project, and major subsystems that pertains to the improved performance and reliability of the spacecraft. The paper gives a clear picture of high‐throughput satellites (HTS) and the associated technologies with performances as they align and differ with the traditional geostationary orbit or Geosynchronous Equatorial Orbit (GEO) Communication Satellites. The paper also highlights critical subsystems and processes in project conceptualization and execution. The paper discusses the configuration of the payload. The need for optimization of resources for the HTS project and successful integration of critical subsystems for spacecraft requires implementation of risk analysis and mitigation from the preliminary design stage; Assembly, Integration and Test (AIT); Launch and in-orbit- Management stage.

Keywords: AIT, HTS, in-orbit management, optimization

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