Submitted by Rosivalda Pereira (mrs.pereira@ufma.br) on 2017-05-16T18:46:41Z No. of bitstreams: 1 HerculesAraujo.pdf: 4155547 bytes, checksum: a184b99018c0f978ec408861bdd090df (MD5) / Made available in DSpace on 2017-05-16T18:46:41Z (GMT). No. of bitstreams: 1 HerculesAraujo.pdf: 4155547 bytes, checksum: a184b99018c0f978ec408861bdd090df (MD5) Previous issue date: 2017-03-13 / Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPQ) / This work proposes a topology of isolated microgrids with hybrid network (part in DC and part in AC) of electric power distribution. This topology can serve as an alternative model to the conventional AC distribution network model for the electrical service of isolated communities. The topology consists of using a main system of DC power distribution and subsystems with an AC distribution. DC/AC converters are strategically distributed along the DC main network, forming AC subsystems, in order to serve a certain number of consumers with AC loads. Although there are loads that can be fed in DC, this is not a reality for household loads, which are basically AC powered. Thus, the interest of this work is to evaluate the possible advantages of this topology over the conventional microrredes with distribution network in low voltage in AC. In this contexto, the analysis parameters to be studied are: the increasing the extension of the distribution network without the need to use transformers, electric conductors with larger cross sections or distributed generation; the efficiency in the distribution of energy, evaluating the losses, and the reduction of implantation and operation costs. In order to compare the microgrid with hybrid distribution network, an isolated microgrid with purely CA distribution network was adopted as reference: the microgrid with solar-wind generation of Lençóis Island, located in the northeast of Brazil, which has been in operation since July 2008. / Este trabalho propõe uma topologia de microrredes isoladas com rede híbrida (parte em CC e parte em CA) de distribuição de energia elétrica. Essa topologia pode servir como modelo alternativo ao modelo convencional de rede de distribuição de energia totalmente em CA para o atendimento elétrico de comunidades isoladas. A topologia consiste em utilizar um sistema tronco de distribuição de energia em CC e de subsistemas com distribuição CA. Conversores CC/CA são distribuídos estrategicamente ao longo da rede tronco CC, formando subsistemas CA, com a finalidade de atender determinado número de consumidores com carga em CA. Apesar de existirem cargas que podem ser alimentadas em CC, essa não é uma realidade para as cargas de uso doméstico, que basicamente são alimentadas em CA. Assim, o interesse deste trabalho é avaliar as possíveis vantagens dessa topologia sobre as convencionais microrredes com rede de distribuição em baixa tensão em CA. Neste contexto, os parâmetros de análise a serem estudados são o aumento da extensão da rede de distribuição sem a necessidade de se utilizar transformadores, condutores elétricos com seções transversais maiores ou geração distribuída; a eficiência na distribuição de energia, avaliando as perdas, e a redução de custos de implantação e operação. Para se comparar a microrrede com rede de distribuição híbrida, adotouse como referência uma microrrede isolada com rede de distribuição somente CA: a microrrede com geração eólica-solar da Ilha de Lençóis está localizada no nordeste do Brasil, a qual está em operação desde julho de 2008.

On-load tap changers and static synchronous compensators (STATCOM) are the main components for voltage regulation and power quality optimization in the power system. STATCOMs are used in both industrial applications and utility to stabilize the grid and reduce downtime. STATCOM is based on power electronics that is put together as a voltage source converter. However, as STATCOMs are connected in shunt, they provide voltage regulation indirect, by the injection of reactive power. Which might be insufficient for emerging grid codes and power systems with less inertia. This thesis’s purpose is to investigate a series voltage source converter (SVSC), which is connected in series with the grid. Series connected devices may provide better voltage regulating capabilities than shunt devices with the same amount of reactive power compensation, as it can regulate the voltage directly. The SVSC can also be used for power system compensation and power flow control. The SVSC consists of a Chain-Link Modular Multilevel Converter that is connected directly in series with the power system without a coupling transformer. The SVSC injects a voltage in quadrature with the current through the SVSC, this gives the SVSC the ability to emulate a reactance, along with increasing the voltage. The maximum injected voltage from the SVSC is 30% of the system voltage. As the voltage is injected in quadrature with the current, the SVSC can change to voltage more if the power factor is low. The SVSC is able to keep the voltage on the load side constant in several different load and grid scenarios. Furthermore, the SVSC was able to emulate both a capacitance and an inductance, and control the active power flow. However, the SVSC was not able to regulate the voltage as desired when the power factor is close to 1. / Lindningsomkopplare och static synchronous compensators (STATCOM) är de huvudsakliga komponenterna för spänningsreglering och elkvalité optimering i elnätet. STATCOMs används i både industrin och av elnätsägare för att stabilisera elnätet och minska driftstopp. STATCOM är baserat på kraftelektronik som är byggt till en voltage source converter. I alla fall, eftersom STATCOMs är anslutna i shunt med elnätet, kan de endast spänningsreglera indirekt, genom att tillföra reaktiv effekt. Vilket kan vara otillräckligt med nya elnätsregler och elnät med lägre tröghet. Den här avhandlingens syfte är att undersöka en series voltage source converter (SVSC), som är ansluten i serie med elnätet. Enheter som är anslutna i serie med elnätet kan leverera bättre spänningsreglering än enheter som är anslutna i shunt med samma mängd reaktiv effekt kompensering. SVSC:n kan också användas för lednings kompensering och effektflödes kontroll. SVSC:n består av en Chain-Link Modular Multilevel Converter som är ansluten i serie med elnätet utan en kopplingstransformator. SVSC genererar en spännings som är i kvadratur med strömmen genom SVSC:n, det gör att SVSC kan emulera en reaktans, men även öka spänningen. Den maximala spänningen från SVSC:n är 30% av systemspänningen. Eftersom spänningen är i kvadratur med strömmen, så kan SVSC ändra spänningen mer om effektfaktorn är låg. SVSC:n kan hålla spänningen konstant på last sidan under flera olika last- och elnäts scenarier. Dessutom kunde SVSC:n emulera både en induktans och kapacitans, och kontrollera det aktive effektflödet. Men, SVSC:n kunde inte reglera spänningen som önskat när effektfaktorn var nära 1.

Face à la forte concurrence internationale, de nombreuses entreprises manufacturières orientent leurs investissements vers les marchés africains pour accroître leur part de marché et rester compétitives sur le marché mondial. Ces marchés sont effet en plein essor mais demandent des produits de grande diversité. En dépit de cette attractivité, les flux commerciaux en Afrique demeurent faibles en raison de la faible qualité des infrastructures et de l’absence d’écosystèmes logistiques régionaux connectant les pays africains de manière fiable et efficace.C’est pourquoi cette thèse de doctorat s’intéresse à la modélisation et à la résolution du problème de conception de réseaux de distribution hybrides en Afrique, intégrant des plateformes de distribution et de personnalisation finale des produits. Ces réseaux incluent, en amont, des hubs régionaux servant de porte d’entrée vers les marchés d’une région continentale. Le report de la personnalisation finale en aval du réseau logistique permet de réduire les délais de livraison aux marchés et le coût de distribution tout en maintenant une économie d’échelle. La méthodologie que nous proposons repose sur deux grands axes de recherche :▪ Le premier axe vise à définir la localisation des hubs logistiques régionaux, sur la base d’une analyse multicritères floue, version améliorée de TOPSIS floue et d'AHP ;▪ Le deuxième axe aborde conception de réseaux de distribution hybrides servant des marchés fortement diversifiés (exemple : marchés des engrais). Nous avons proposé deux nouveaux modèles d'optimisation multi-objectifs minimisant le coût total d’exploitation et d’investissement, maximisant la proximité des produits aux marchés et minimisant les dommages sur les produits finis durant leur distribution. Le premier modèle est déterministe tandis que le deuxième propose une conception flexible alignée sur la dynamique et l’incertitude de l’évolution des marchés africains. / In the context of intense international competition, many manufacturing firms are directing their investments toward African markets to increase their market share and maintain their competitiveness in the global market. These markets are rapidly growing but require customized products. Despite their attractivity, trade flows in Africa remain low due to the poor quality of infrastructure and the lack of regional logistic ecosystems, connecting African countries through reliable and efficient services.This doctoral thesis therefore focuses on modelling and solving the problem of designing hybrid distribution networks in Africa, integrating distribution and final customization platforms. These networks incorporate, upstream, regional hubs that serve as gateways to regional markets. The postponement of final customization downstream of the logistics network reduces the delivery times and downstream distribution costs while maintaining upstream economies of scale.The methodology we suggest is based on two main areas of research:▪ The first axis aims to define the location of regional logistics hubs, based on a fuzzy multi-criteria analysis approach, which is an improved version of TOPSIS fuzzy and AHP;▪ The second axis focuses on the design of hybrid distribution networks serving highly diversified markets in Africa (for example: fertilizer markets). To this aim, we propose two new multi-objective optimization models minimizing total operating and investment costs, maximizing product proximity to markets and minimizing damage to finished products during their distribution. The first model is deterministic while the second one proposes a flexible design in response to the dynamics and uncertainty of the evolution of African markets.

The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). It proposes to use Expected Shortfall (ES) as risk measure instead of the currently used Value at Risk (VaR), as well as applying varying liquidity horizons based on the various risk levels of the assets involved. A major difficulty of implementing the FRTB lies within the backtesting of ES. Righi and Ceretta proposes a robust ES backtest based on Monte Carlo simulation. It is flexible since it does not assume any probability distribution and can be performed without waiting for an entire backtesting period. Implementing some commonly used VaR backtests as well as the ES backtest by Righi and Ceretta, yield a perception of which risk models that are the most accurate from both a VaR and an ES backtesting perspective. It can be concluded that a model that is satisfactory from a VaR backtesting perspective does not necessarily remain so from an ES backtesting perspective and vice versa. Overall, the models that are satisfactory from a VaR backtesting perspective turn out to be probably too conservative from an ES backtesting perspective. Considering the confidence levels proposed by the FRTB, from a VaR backtesting perspective, a risk measure model with a normal copula and a hybrid distribution with the generalized Pareto distribution in the tails and the empirical distribution in the center along with GARCH filtration is the most accurate one, as from an ES backtesting perspective a risk measure model with univariate Student’s t distribution with ⱱ ≈ 7 together with GARCH filtration is the most accurate one for implementation. Thus, when implementing the FRTB, the bank will need to compromise between obtaining a good VaR model, potentially resulting in conservative ES estimates, and obtaining a less satisfactory VaR model, possibly resulting in more accurate ES estimates. The thesis was performed at SAS Institute, an American IT company that develops software for risk management among others. Targeted customers are banks and other financial institutions. Investigating the FRTB acts a potential advantage for the company when approaching customers that are to implement the regulation framework in a near future. / Den globala finanskrisen som inleddes år 2007 ledde till flertalet ändringar vad gäller riskreglering för banker. En omfattande förändring som beräknas implementeras år 2019, utgörs av Fundamental Review of the Trading Book (FRTB). Denna föreslår bland annat användande av Expected Shortfall (ES) som riskmått istället för Value at Risk (VaR) som används idag, liksom tillämpandet av varierande likviditetshorisonter beroende på risknivåerna för tillgångarna i fråga. Den huvudsakliga svårigheten med att implementera FRTB ligger i backtestingen av ES. Righi och Ceretta föreslår ett robust ES backtest som baserar sig på Monte Carlo-simulering. Det är flexibelt i den mening att det inte antar någon specifik sannolikhetsfördelning samt att det går att implementera utan att man behöver vänta en hel backtestingperiod. Vid implementation av olika standardbacktest för VaR, liksom backtestet för ES av Righi och Ceretta, fås en uppfattning av vilka riskmåttsmodeller som ger de mest korrekta resultaten från både ett VaR- och ES-backtestingperspektiv. Sammanfattningsvis kan man konstatera att en modell som är acceptabel från ett VaR-backtestingperspektiv inte nödvändigtvis är det från ett ES-backtestingperspektiv och vice versa. I det hela taget har det visat sig att de modeller som är acceptabla ur ett VaR-backtestingperspektiv troligtvis är för konservativa från ett ESbacktestingperspektiv. Om man betraktar de konfidensnivåer som föreslagits i FRTB, kan man ur ett VaR-backtestingperspektiv konstatera att en riskmåttsmodell med normal-copula och en hybridfördelning med generaliserad Pareto-fördelning i svansarna och empirisk fördelning i centrum tillsammans med GARCH-filtrering är den bäst lämpade, medan det från ett ES-backtestingperspektiv är att föredra en riskmåttsmodell med univariat Student t-fördelning med ⱱ ≈ 7 tillsammans med GARCH-filtrering. Detta innebär att när banker ska implementera FRTB kommer de behöva kompromissa mellan att uppnå en bra VaR-modell som potentiellt resulterar i för konservativa ES-estimat och en modell som är mindre bra ur ett VaRperspektiv men som resulterar i rimligare ES-estimat. Examensarbetet genomfördes vid SAS Institute, ett amerikanskt IT-företag som bland annat utvecklar mjukvara för riskhantering. Tänkbara kunder är banker och andra finansinstitut. Denna studie av FRTB innebär en potentiell fördel för företaget vid kontakt med kunder som planerar implementera regelverket inom en snar framtid. / Riskhantering, finansiella tidsserier, Value at Risk, Expected Shortfall, Monte Carlo-simulering, GARCH-modellering, Copulas, hybrida distributioner, generaliserad Pareto-fördelning, extremvärdesteori, Backtesting, likviditetshorisonter, Basels regelverk