Dans cette thèse, nous étudions trois problèmes d'ordonnancement de la chaîne logistique dans le modèle de production à la demande. Le premier problème est un problème d'ordonnancement de production et de distribution intermédiaire dans une chaîne logistique avec un producteur et un prestataire logistique. Le deuxième problème est un problème d'ordonnancement de production et de distribution aval avec des dates de début au plus tôt et des dates limites de livraison dans une chaîne logistique avec un producteur, un prestataire logistique et un client. Le troisième problème est un problème d'ordonnancement de production et de distribution aval avec des temps de réglage et des fenêtres de temps de livraison dans une chaîne logistique avec un producteur, un prestataire logistique et plusieurs clients. Pour les trois problèmes, nous étudions les problèmes d'ordonnancement individuels et les problèmes d'ordonnancement coordonnés. Nous proposons des algorithmes polynomiaux ou prouvons la NP-Complétude de ces problèmes, et développons des algorithmes exacts ou heuristiques pour résoudre les problèmes NP-Difficiles. Nous proposons des mécanismes de coordination et évaluons le bénéfice de la coordination. / In this dissertation, we aim at investigating three supply chain scheduling problems in the make-To-Order business model. The first problem is a production and interstage distribution scheduling problem in a supply chain with a manufacturer and a third-Party logistics (3PL) provider. The second problem is a production and outbound distribution scheduling problem with release dates and deadlines in a supply chain with a manufacturer, a 3PL provider and a customer. The third problem is a production and outbound distribution scheduling problem with setup times and delivery time windows in a supply chain with a manufacturer, a 3PL provider and several customers. For the three problems, we study their individual scheduling problems and coordinated scheduling problems: we propose polynomial-Time algorithms or prove the intractability of these problems, and develop exact algorithms or heuristics to solve the NP-Hard problems. We establish mechanisms of coordination and evaluate the benefits of coordination.

This thesis explores ideas from transport theory and optimal control to develop novel Monte Carlo methods to perform efficient statistical computation. The first project considers the problem of constructing a transport map between two given probability measures. In the Bayesian formalism, this approach is natural when one introduces a curve of probability measures connecting the prior to posterior by tempering the likelihood function. The main idea is to move samples from the prior using an ordinary differential equation (ODE), constructed by solving the Liouville partial differential equation (PDE) which governs the time evolution of measures along the curve. In this work, we first study the regularity solutions of Liouville equation should satisfy to guarantee validity of this construction. We place an emphasis on understanding these issues as it explains the difficulties associated with solutions that have been previously reported. After ensuring that the flow transport problem is well-defined, we give a constructive solution. However, this result is only formal as the representation is given in terms of integrals which are intractable. For computational tractability, we proposed a novel approximation of the PDE which yields an ODE whose drift depends on the full conditional distributions of the intermediate distributions. Even when the ODE is time-discretized and the full conditional distributions are approximated numerically, the resulting distribution of mapped samples can be evaluated and used as a proposal within Markov chain Monte Carlo and sequential Monte Carlo (SMC) schemes. We then illustrate experimentally that the resulting algorithm can outperform state-of-the-art SMC methods at a fixed computational complexity. The second project aims to exploit ideas from optimal control to design more efficient SMC methods. The key idea is to control the proposal distribution induced by a time-discretized Langevin dynamics so as to minimize the Kullback-Leibler divergence of the extended target distribution from the proposal. The optimal value functions of the resulting optimal control problem can then be approximated using algorithms developed in the approximate dynamic programming (ADP) literature. We introduce a novel iterative scheme to perform ADP, provide a theoretical analysis of the proposed algorithm and demonstrate that the latter can provide significant gains over state-of-the-art methods at a fixed computational complexity.

Bancos de dados biológicos utilizados para comparação e alinhamento local de sequências tem crescido de forma exponencial. Isso popularizou programas que realizam buscas nesses bancos. As implementações dos algoritmos de alinhamento de sequências Smith- Waterman e distância Levenshtein demonstraram ser computacionalmente intensivas e, portanto, propícias para aceleração em hardware. Este trabalho descreve arquiteturas em hardware dedicado prototipadas para FPGA e ASIC para acelerar os algoritmos Smith- Waterman e distância Levenshtein mantendo os mesmos resultados obtidos por softwares. Descrevemos uma nova e eficiente unidade de processamento para o cálculo do Smith- Waterman utilizando affine gap. Também projetamos uma arquitetura que permite particionar as sequências de entrada para a distância Levenshtein em um array sistólico de tamanho fixo. Nossa implementação em FPGA para o Smith-Waterman acelera de 275 a 494 vezes o algoritmo em relação a um computador com processador de propósito geral. Ainda é 52 a 113% mais rápida em relação, segundo nosso conhecimento, as mais rápidas arquiteturas recentemente publicadas. / Bioinformatics databases used for sequence comparison and local sequence alignment are growing exponentially. This has popularized programs that carry out database searches. Current implementations of sequence alignment methods based on Smith- Waterman and Levenshtein distance have proven to be computationally intensive and, hence, amenable for hardware acceleration. This Msc. Thesis describes an FPGA and ASIC based hardware implementation designed to accelerate the Smith-Waterman and Levenshtein distance maintaining the same results yielded by general softwares. We describe an new efficient Smith-Waterman affine gap process element and a new architecture to partitioning and maping the Levenshtein distance into fixed size systolic arrays. Our FPGA Smith-Waterman implementation delivers 275 to 494-fold speed-up over a standard desktop computer and is also about 52 to 113% faster, to the best of our knowledge, than the fastest implementation in a most recent family of accelerators.

La production de bois intègre notamment des enjeux économiques, climatiques et énergétiques. En France, selon les données de l'Institut National de l'Information Géographique et Forestière, l'accroissement biologique de la forêt est largement supérieur aux prélèvements de bois. C'est pourquoi l'État français a fixé l'objectif de prélever 21 millions de m3 supplémentaires de bois d'ici 2020 (Grenelle de l'environnement, 2007). Cependant, la forêt française appartient majoritairement à des propriétaires forestiers privés qui ont des préférences à la fois pour le revenu issu de la vente de bois et pour les aménités non-bois. Les politiques visant à accroître la production de bois doivent donc intégrer ces aspects. L'objectif de ce travail de thèse est de comprendre les déterminants de la production jointe de bois et d'aménités non-bois en France. Pour ce faire, nous nous sommes d'abord intéressés aux déterminants individuels et régionaux de l'offre de bois. Nous montrons que le comportement d'offre de bois d'un propriétaire peut varier en fonction du comportement de production de bois constaté chez ses pairs (effets sociaux). Ensuite, nous mettons en évidence un comportement de mimétisme dans les décisions de production jointe de bois et d'aménités des propriétaires forestiers privés. Enfin, nous analysons les arbitrages inter-temporels réalisés par les propriétaires entre aménités non-bois et revenu de la vente de bois en prenant en compte explicitement les anticipations de prix et de croissance. Nous évaluons à 23e par an la valeur que les propriétaires de notre échantillon accordent à 1m3/ha de bois supplémentaire laissé sur pied par rapport au niveau de stock des propriétaires industriels afin d'avoir des aménités plus importantes.Un des enjeux de ce travail est d?offrir des pistes pour mobiliser la ressource forestière ne faisant pas l'objet d'une offre, faute d'implication des propriétaires privés, soit par manque de connaissance ou d'intérêt pour leur forêt, soit parce que d'autres aspects sont privilégiés (services d'aménités non-bois par exemple). Dans cette thèse, nous montrons que les effets de mimétisme et d'entrainement social (effets sociaux) peuvent être utilisés pour amener les propriétaires forestiers à produire plus de bois. Nous montrons également, qu'une hausse du prix du bois ou la mise en place d'une taxepeut favoriser la prise de la décision de coupe de bois et augmenter l'intensité de la récolte. / Timber production is related to economic, climate and energy issues. In France,according to data from the National Institute of Geoinformation and Forestry, thebiological growth rate of the forest is greater than the timber harvest rate. Thus, theFrench government has set a target of harvesting an additional quantity of 21 millioncubic meter of timber by 2020 ("Grenelle de l'environnement, 2007"). However, theFrench forest is majority owned by private forest owners who have preferences forboth income from timber trade and from non-timber amenities. The policies toincrease timber production must include these aspects. The objective of this thesisis to understand the determinants of joint production of timber and non-timberamenities in France.Therefore, we first analyze private forest owners' timber supply, taking into accountindividual and regional determinants. Afterwards, we investigate whether thedrivers of forest owners behavior differ within and between these different levels.We show that similar timber supply behavior can be observed when regional characteristicsor those of peers are similar. Then, we highlight a mimicry behavior injoint production decisions of timber and amenities made by private forest owners.Finally, we analyze inter-temporal trade-offs made by the owners from non-timberamenities and income from the sale of wood. We explicitly take into account theprice expectations and growth. Our estimations show that the willingness to pay fornon-timber amenities is e23 for our case study. This value is the difference betweenthe value they could have earned if they tried to maximize timber revenue and therevenue of their actual logging.Mainly beacause of a lack of involvement of private owners, either through a lackof knowledge or interest in their forest, or because other aspects are privileged (nontimberamenities, e.g.), a part of forest ressource is not subject to a commercial offer.Providing ways to mobilize this ressource is one of the challenges of this work. Weshow that the mimetic effects and the contextual effects can be used to encourageforest owners to produce more timber. An effective policy could be a combinationof these two effects. We also show that an increase in the price of timber or theadoption of a tax may be an incentive for timber harvesting.

La thèse traite de la planification des mouvements optimaux dans les systèmes robotiques redondants pour l'automatisation des processus d’enroulement filamentaire. L'objectif principal est d'améliorer la productivité des cellules de travail en développant une nouvelle méthodologie d'optimisation des mouvements coordonnés du robot manipulateur, du positionneur de pièce et de l'unité d'extension de l'espace de travail. Contrairement aux travaux précédents, la méthodologie proposée offre une grande efficacité de calcul et tient compte à la fois des contraintes technologiques et des contraintes du système robotique, qui décrivent les capacités des actionneurs et s'expriment par les vitesses et accélérations maximales admissibles dans les articulations actionnées. La technique développée est basée sur la conversion du problème continu original en un problème combinatoire, où toutes les configurations possibles des composants mécaniques sont représentées sous la forme d'un graphe multicouche dirigé et le mouvement temporel optimal est généré en utilisant le principe de programmation dynamique. Ce mouvement optimal correspond au plus court chemin sur le graphique satisfaisant les contraintes de lissage. Les avantages de la méthodologie développée sont confirmés par une application industrielle d’enroulement filamentaire pour la fabrication de pièces thermoplastiques au CETIM. / The thesis deals with the optimal motion planning in redundant robotic systems for automation of the composite lay-up processes. The primary goalis to improve the lay-up workcell productivity by developing a novel methodology of optimizing coordinated motions of the robotic manipulator,workpiece positioner and workspace extension unit,which ensure the shortest processing time and smooth movements of all mechanical components. In contrast to the previous works, the proposed methodology provides high computational efficiencyand also takes into account both the technological constraints and the robotic system constraints, which describe capacities of the actuators and are expressed by the maximum allowable velocities and accelerations in the actuated joints. The developed technique is based on conversion of the original continuous problem into a combinatorial one, where all possible configurations of the mechanical components are represented as a directed multi layergraph and the desired time-optimal motion is generated using dynamic programming principle for searching the shortest path on the graph satisfying the smoothness constraints. It is also proposed an enhancement of this technique by dividing the optimization procedure in two stages combining global and local searches. At the first stage, the developed algorithm is applied in the global search space generated with large discretization step. Then,the same technique is applied in the local search space, which is created with smaller step in the neighborhood of the obtained trajectory. The advantages of the developed methodology are confirmed by industrial implementation on the factory floor that deals with manufacturing of the high pressure vessel.

abstract: The environmental impact of the fossil fuels has increased tremendously in the last decade. This impact is one of the most contributing factors of global warming. This research aims to reduce the amount of fuel consumed by vehicles through optimizing the control scheme for the future route information. Taking advantage of more degrees of freedom available within PHEV, HEV, and FCHEV “energy management” allows more margin to maximize efficiency in the propulsion systems. The application focuses on reducing the energy consumption in vehicles by acquiring information about the road grade. Road elevations are obtained by use of Geographic Information System (GIS) maps to optimize the controller. The optimization is then reflected on the powertrain of the vehicle.The approach uses a Model Predictive Control (MPC) algorithm that allows the energy management strategy to leverage road grade to prepare the vehicle for minimizing energy consumption during an uphill and potential energy harvesting during a downhill. The control algorithm will predict future energy/power requirements of the vehicle and optimize the performance by instructing the power split between the internal combustion engine (ICE) and the electric-drive system. Allowing for more efficient operation and higher performance of the PHEV, and HEV. Implementation of different strategies, such as MPC and Dynamic Programming (DP), is considered for optimizing energy management systems. These strategies are utilized to have a low processing time. This approach allows the optimization to be integrated with ADAS applications, using current technology for implementable real time applications. The Thesis presents multiple control strategies designed, implemented, and tested using real-world road elevation data from three different routes. Initial simulation based results show significant energy savings. The savings range between 11.84% and 25.5% for both Rule Based (RB) and DP strategies on the real world tested routes. Future work will take advantage of vehicle connectivity and ADAS systems to utilize Vehicle to Vehicle (V2V), Vehicle to Infrastructure (V2I), traffic information, and sensor fusion to further optimize the PHEV and HEV toward more energy efficient operation. / Dissertation/Thesis / Masters Thesis Mechanical Engineering 2016

Interessado em fazer com que o seu capital gere lucros, o investidor ao optar por negociar ativos, fica sujeito aos riscos econômicos de qualquer negociação, pois não existe uma certeza quanto a valorização ou desvalorização de um ativo. Eis que surge o mercado futuro, em que é possível negociar contratos a fim de se proteger (hedge) dos riscos de perdas ou ganhos excessivos, fazendo com que a compra ou venda de ativos, seja justa para ambas as partes. O objetivo deste trabalho consiste em estudar os processos de Lévy de puro salto de atividade finita, também conhecido como modelo de Poisson composto, e suas aplicações. Proposto pelo matemático francês Paul Pierre Lévy, os processos de Lévy tem como principal característica admitir saltos em sua trajetória, o que é frequentemente observado no mercado financeiro. Determinaremos uma estratégia de hedging no modelo de mercado com o processo de Poisson composto via o conceito de mean-variance hedging e princípio da programação dinâmica. / The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming.

Pouvoir évaluer l'impact du changement climatique sur la ressource en eau, et les systèmes de gestion qui lui sont associés, est une préoccupation majeure de nos sociétés. Une telle évaluation nécessite la mise en place d'une chaîne de simulation qui permet, sur la base d'expériences climatiques futures, i) d'estimer à l'échelle régionale l'évolution possible de la ressource et de sa variabilité, ii) de simuler le comportement des systèmes utilisés pour leur gestion pour iii) estimer les éventuelles modifications de performance. Cette thèse vise à tester la possibilité de mettre en place une chaîne de simulation de ce type pour un système de gestion réel et à identifier quelles sont les composantes à considérer dans ce cas. Pour ce faire, nous chercherons en particulier à apporter des éléments de réponse aux questions suivantes: - Quelles représentations peut-on faire d'un système de gestion opérationnel pour une application en climat modifié ? - Quels éléments d'évaluation peuvent permettre d'estimer l'impact du changement climatique sur ce système de gestion ? - Quelles sont les sources d'incertitudes influençant cette évaluation ? Quelles sont les contributions relatives à l'incertitude totale des différentes méthodes et modèles utilisés ? Nous considérerons plus précisément le système de gestion du barrage de Serre-Ponçon, alimenté par le haut bassin versant de la Durance. Ce barrage, géré par EDF, est l'un des plus grands barrages artificiels européens. Il est multi-usages (irrigation, soutien d'étiage, production d'hydroélectricité, tourisme). Dans un premier temps, nous présenterons le contexte du système de gestion actuel. Nous mettrons ensuite en place un modèle de gestion du barrage visant à reproduire – de façon réaliste du point de vue du gestionnaire actuel (EDF), mais simplifiée pour pouvoir être appliqué sous scénarios futurs - la gestion actuelle du barrage. Nous développerons pour cela i) des modèles permettant d'estimer les différentes demandes en eau et ii) un modèle d'optimisation de la gestion sous contraintes. Ce modèle permettra de simuler la gestion du système au pas de temps journalier sur plusieurs décennies du climat récent, ou de climats futurs modifiés. Nous proposerons ensuite un ensemble d'indicateurs qui permettent de fournir une estimation de la performance d'un tel système à partir des sorties du modèle de gestion obtenues par simulation pour différentes périodes de 30 ans. Nous explorerons la façon dont la performance estimée dépend du modèle choisi pour la représentation du système de gestion actuel, et plus précisément de la façon dont la stratégie utilisée pour l'optimisation de la gestion est élaborée. A ce titre, nous proposerons trois modèles de gestion basés sur trois types de stratégies, obtenues pour des degrés différents de prévisibilité des apports et sollicitations futurs à la retenue. Pour ces simulations, les modèles d'impacts nécessitent des scénarios de forçages météorologiques à l'échelle de bassin versant (e.g. modèle hydrologique, modèle d'usages de l'eau, modèle de gestion de la ressource). Ces scénarios peuvent être obtenus par des méthodes de descente d'échelle statistique (MDES), sur la base des simulations grande échelle des modèles climatiques globaux. Enfin, nous évaluerons les incertitudes liées aux deux types de modèles et estimerons leurs contributions relatives à l'incertitude globale. Nous utiliserons pour cela les scénarios issus de différentes chaines de simulation GCM/MDES produits sur la période 1860-2011 dans le cadre du projet RIWER2030. Nous montrerons que ces deux sources d'incertitudes sont du même ordre de grandeur sur l'estimation des modifications de performance. / Assess the impact of climate change on water resources and management systems associated, is a major concern of our society. This requires the establishment of a simulation chain which allows, on the basis of future climate experiments i) to estimate the possible changes in regional resource and its variability, ii) to simulate the behavior of the systems used to manage them in order to iii) estimate the possible changes in performance. This thesis aims to test the feasibility of establishing a chain simulation of such a management system to identify what are the real components to consider in this case. To do this, we have to provide answers to the following questions: - How can we represent an operational management system in a climate change context? - What elements of evaluation can be used to estimate the impact of climate change on the management system? - What are the sources of uncertainty influencing this assessment? What are the relative contributions to the total uncertainty of these different methods and models used? We consider the system of management of the reservoir of Serre-Ponçon, built on the high basin of the Durance. This dam, operated by EDF, is one of the largest artificial dams Europe. It is multi-purpose (irrigation, low-flow support, hydropower, tourism). As a first step, we will present the context of the current management system. Then, we will establish a management model to reproduce - in a realistic way from the point of view of the current manager (EDF), but simplified to be applied in future scenarios - the current management of the Serre-Ponçon reserve. We will develop for this, i) different models to estimate different water demands and ii) an optimization model with constraints management. This model will simulate the management system in daily time step on several decades of recent climate or future climate change. We then propose a set of indicators to provide an estimate of the performance of such a system from the outputs of the management model obtained by simulation for different periods of 30 years. We will explore how the estimated performance depends on the model chosen to represent the current management system, and more specifically how the strategy used to optimize the management is developed. To this end, we will propose three management models based on three types of strategies, obtained for different degrees of predictability of future inflows and constraints. For these simulations, the impact models require meteorological forcing scenarios at watershed scale (eg hydrological model, model of water use model of resource management). These scenarios can be obtained by statistical downscaling methods (SDM), on the basis of large-scale simulations of global climate models. Finally, we will evaluate the uncertainties associated with the two types of models and will estimate their relative contributions to the overall uncertainty. We have used this scenario from different GCM/SDM simulations over the period 1860-2100 obtained within the RIWER2030 project. We show that these two sources of uncertainty are of the same order of magnitude estimate of changes in performance.

O referencial da Teoria da Localização embasa o modelo matemático de otimização dinâmico desenvolvido a fim de se determinar os melhores locais dos frigoríficos-abatedouros exportadores no Brasil visando à minimização dos custos associados ao transporte, bem como os custos associados à instalação de novas unidades industriais de abate, resultando, assim, em aumento de competitividade para a cadeia. Este trabalho visa responder a três questões: (i) localizações das unidades industriais de abate; (ii) tamanho e número ótimos de cada unidade industrial de abate e (iii) fluxos mensais da matéria-prima necessários para atender a demanda dos frigoríficos-abatedouros exportadores, bem como os fluxos ofertados mensalmente por eles a fim de se satisfazer a demanda dos países importadores da carne bovina brasileira. Desse modo, foram simulados quatro cenários alternativos. Os dois primeiros disseram respeito sobre a determinação da localização dos frigoríficos-abatedouros exportadores e respectivos fluxos de produtos num contexto ideal, ou seja, o modelo determinou onde os mesmos deveriam ser instalados. Enquanto o primeiro cenário considerou na modelagem os dez principais estados exportadores da carne bovina desossada congelada brasileira, o segundo considerou os seis principais estados, excluindo, assim, os estados que fazem parte da Amazônia Legal. No primeiro cenário, dos dez estados considerados, em cinco deveriam ser instalados ao menos um frigoríficoabatedouro exportador, enquanto no segundo cenário dos seis estados considerados em três deveriam ser instalados ao menos um frigorífico-abatedouro exportador. Ambos os cenários indicaram São Paulo como estado candidato à instalação de maior número de frigoríficosabatedouros exportadores. Além disso, em ambos os cenários a decomposição dos custos logísticos revelou que a maior parte do custo total mínimo obtido nos processamentos dos modelos decorreu da instalação dos frigoríficos-abatedouros exportadores,76,3% do custo total mínimo obtido no cenário 1 e 79,4% do custo total mínimo obtido no cenário 2, seguidos pelo custo de transporte da carne bovina aos mercados externos (14,9% e 14,1%) e custo de transporte da carne bovina aos portos exportadores (5,7% e 3,6%). O custo de transporte da matéria-prima aos frigoríficos-abatedouros exportadores foi 1,9% e 1,2% do custo total mínimo obtido no cenário 1 e 2, respectivamente, ao passo que o custo de transporte da carne bovina aos mercados internos foi de 1,2% e 1,7% do respectivo custo total mínimo. O terceiro e quarto cenários disseram respeito sobre quais frigoríficos-abatedouros exportadores já instalados deveriam ser responsáveis pelo abastecimento dos mercados externos demandantes de carne bovina desossada congelada brasileira. Ambos consideraram na modelagem as localizações atuais dos frigoríficos abatedouros exportadores existentes nos seis principais estados exportadores do produto. No entanto, o último cenário refere-se a projeção de aumento de demanda externa futura por carne bovina. Nesses cenários, como não há custo de intalação dos frigoríficos-abatedouros exportadores a ser incorridos, a maior parcela dos custos logísticos decorreu da distribuição da carne bovina aos mercados externos. Os resultados do terceiro cenário revelaram que 12 frigoríficos-abatedouros exportadores seriam suficientes para atender plenamente os mercados externos, ao passo que o aumento da demanda externa futura exigirá 14 frigoríficos-abatedouros exportadores. / The theoretical framework of the Location Theory supports the dynamic optimization mathematical model developed in order to determine the potential sites for the installation of exporter slaughterhouses in Brazil, minimizing the costs associated with transportation and the costs associated with the installation of new slaughter industrial units, thereby increasing the competitiveness of the chain. The following three questions were addressed: (i) at what locations should slaughter industrial units be installed; (ii) what is the optimal-size and number of each slaughter industrial, and (iii) what are the flows of raw material required monthly to meet the exporter slaughterhouses demand and the monthly supplied amount by them in order to meet the importing countries demands? Thus, four alternative scenarios were simulated. The first two scenarios are related to determine the exporter slaughterhousess locations and the products flows in an ideal environment, i.e., the model determines where they should be installed. The difference between these scenarios is that the former considers in the modeling the Brazilian top ten exporter states of frozen boneless beef, while the second considers the six major states, excluding, thus, the states that belong to the Amazon region. In the first scenario, at least one exporter slaughterhouse should be installed in five out of ten states considered, while in the second scenario at least one exporter slaughterhouse should be installed in three out of six states considered. Both scenarios indicated that most of the exporter slaughterhouses should be installed in São Paulo. Moreover, in both scenarios the decomposition of logistics costs has shown that most of the minimum total cost obtained in the models processing was due to the installation of the exporter slaughterhouses, 76.3% of the minimum total cost obtained in the scenario 1 and 79, 4% of the minimum total cost obtained in the scenario 2, followed by the cost of transporting beef up to the foreign markets (14.9% and 14.1%) and by the cost of transporting beef up to the exporter ports (5.7% and 3 , 6%). The cost of transporting the raw material up to the exporter slaughterhouses was 1.9% and 1.2% of the minimum total cost obtained in scenario 1 and 2, respectively, while the cost of transporting beef up to the domestic markets was 1.2% and 1.7% of the minimum total cost, respectively. The third and fourth scenarios concerned about which exporter slaughterhouses already installed should be responsible for fulfilling the demands of the external markets for the Brazilian frozen boneless beef. Both scenarios considered in the modeling the actual locations of the existing exporter slaughterhouses in the six main exporter states of the product. However, the latter scenario considers an increase in the beef future demand of the external markets. Since there is no cost related to the installation of the exporter slaughterhouses to be incurred in these scenarios, the largest share of logistics costs was related to the distribution of beef up to the foreign markets. The results of the third scenario indicates that 12 exporter slaughterhouses would be enough to fully meet the demands of the foreign markets for frozen boneless beef, while the increase in the external demands will require 14 exporter slaughterhouses.

Submitted by Caroline Periotto (carol@ufscar.br) on 2016-09-09T19:56:20Z No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-13T14:05:42Z (GMT) No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-13T14:05:49Z (GMT) No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5) / Made available in DSpace on 2016-09-13T14:05:56Z (GMT). No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5) Previous issue date: 2015-12-07 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can be negotiated in order to protect (hedge) the risk of excessive losses or gains, making the purchase or sale assets, fair for both sides. The goal of this work consist in study Lévy pure-jump process with finite activity, also known as compound Poisson process, and its applications. Discovered by the French mathematician Paul Pierre Lévy, the Lévy processes admits jumps in paths, which is often observed in financial markets. We will define a hedging strategy for a market model with compound Poisson process using mean-variance hedging and dynamic programming. / Interessado em fazer com que o seu capital gere lucros, o investidor ao optar por negociar ativos, fica sujeito aos riscos econômicos de qualquer negociação, pois não existe uma certeza quanto a valorização ou desvalorização de um ativo. Eis que surge o mercado futuro, em que é possível negociar contratos a fim de se proteger (hedge) dos riscos de perdas ou ganhos excessivos, fazendo com que a compra ou venda de ativos, seja justa para ambas as partes. O objetivo deste trabalho consiste em estudar os processos de Lévy de puro salto de atividade finita, também conhecido como modelo de Poisson composto, e suas aplicações. Proposto pelo matemático francês Paul Pierre Lévy, os processos de Lévy tem como principal característica admitir saltos em sua trajetória, o que é frequentemente observado no mercado financeiro. Determinaremos uma estratégia de hedging no modelo de mercado com o processo de Poisson composto via o conceito de mean-variance hedging e princípio da programação dinâmica.