The main objective of this thesis is to investigate risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems. The purpose of hydrothermal system operation planning is to define an operation strategy which, for each stage of the planning period, given the system state at the beginning of the stage, produces generation targets for each plant. This problem can be formulated as a large scale multistage stochastic linear programming problem. The energy rationing that took place in Brazil in the period 2001/2002 raised the question of whether a policy that is based on a criterion of minimizing the expected cost (i.e. risk neutral approach) is a valid one when it comes to meet the day-to-day supply requirements and taking into account severe weather conditions that may occur. The risk averse methodology provides a suitable framework to remedy these deficiencies. This thesis attempts to provide a better understanding of the risk averse methodology from the practice perspective and suggests further possible alternatives using robust optimization techniques. The questions investigated and the contributions of this thesis are as follows. First, we suggest a multiplicative autoregressive time series model for the energy inflows that can be embedded into the optimization problem that we investigate. Then, computational aspects related to the stochastic dual dynamic programming (SDDP) algorithm are discussed. We investigate the stopping criteria of the algorithm and provide a framework for assessing the quality of the policy. The SDDP method works reasonably well when the number of state variables is relatively small while the number of stages can be large. However, as the number of state variables increases the convergence of the SDDP algorithm can become very slow. Afterwards, performance improvement techniques of the algorithm are discussed. We suggest a subroutine to eliminate the redundant cutting planes in the future cost functions description which allows a considerable speed up factor. Also, a design using high performance computing techniques is discussed. Moreover, an analysis of the obtained policy is outlined with focus on specific aspects of the long term operation planning problem. In the risk neutral framework, extreme events can occur and might cause considerable social costs. These costs can translate into blackouts or forced rationing similarly to what happened in 2001/2002 crisis. Finally, issues related to variability of the SAA problems and sensitivity to initial conditions are studied. No significant variability of the SAA problems is observed. Second, we analyze the risk averse approach and its application to the hydrothermal operation planning problem. A review of the methodology is suggested and a generic description of the SDDP method for coherent risk measures is presented. A detailed study of the risk averse policy is outlined for the hydrothermal operation planning problem using different risk measures. The adaptive risk averse approach is discussed under two different perspectives: one through the mean-$avr$ and the other through the mean-upper-semideviation risk measures. Computational aspects for the hydrothermal system operation planning problem of the Brazilian interconnected power system are discussed and the contributions of the risk averse methodology when compared to the risk neutral approach are presented. We have seen that the risk averse approach ensures a reduction in the high quantile values of the individual stage costs. This protection comes with an increase of the average policy value - the price of risk aversion. Furthermore, both of the risk averse approaches come with practically no extra computational effort and, similarly to the risk neutral method, there was no significant variability of the SAA problems. Finally, a methodology that combines robust and stochastic programming approaches is investigated. In many situations, such as the operation planning problem, the involved uncertain parameters can be naturally divided into two groups, for one group the robust approach makes sense while for the other the stochastic programming approach is more appropriate. The basic ideas are discussed in the multistage setting and a formulation with the corresponding dynamic programming equations is presented. A variant of the SDDP algorithm for solving this class of problems is suggested. The contributions of this methodology are illustrated with computational experiments of the hydrothermal operation planning problem and a comparison with the risk neutral and risk averse approaches is presented. The worst-case-expectation approach constructs a policy that is less sensitive to unexpected demand increase with a reasonable loss on average when compared to the risk neutral method. Also, we comp are the suggested method with a risk averse approach based on coherent risk measures. On the one hand, the idea behind the risk averse method is to allow a trade off between loss on average and immunity against unexpected extreme scenarios. On the other hand, the worst-case-expectation approach consists in a trade off between a loss on average and immunity against unanticipated demand increase. In some sense, there is a certain equivalence between the policies constructed using each of these methods.

Syftet är att konstruera en handelsstrategi baserad på Contracts-For-Difference (CFD) för att utnyttja de möjliga samband som föreligger mellan oljepris och SEK/USD växlingskurs. Uppsatsen baseras på en induktiv ansats med kvantitativ metod. Slutsatser dras från utifrån de data som har bearbetats. Korrelationen mellan olja och valutan SEK/USD är starkt negativ. Funktionaliteten hos ”Moving Average” som indikator för trendskiften bedöms som relativt hög. Handelsstrategin som har konstruerats uppvisar positivt resultat efter fem års simulerad handel. Handelsstrategin skulle kunna automatiseras och automatisering av denna bedöms som mindre komplicerat. / The purpose is to construct a trading strategy based on Contracts-For-Difference (CFD) to exploit the possible correlations between oil price and SEK/USD spot rate. The thesis is based on an inductive approach with a quantitative methodology. Conclusions are drawn from the data that has been processed. The correlation between oil and currency SEK/USD has a strong negative value. The functionality of "Moving Average" as an indicator for showing trend shifts are assessed as relatively high. The constructed trade strategy gave positive results after five years of simulated trading. The trade strategy could be automated and the automation of this is considered less complicated.

本文改良金融投資技術分析操作方法中, 傳統的「單一移動平均」選股法為「多重移動平均」選股法, 其係以道氏理論上, 所謂的市場同時存在三種趨勢 (主要趨勢, 次級趨勢, 小型趨勢) 為基礎, 建立多重時間架構, 輔以移動平均線為股價趨勢判斷, 以及葛蘭碧八大法則之股價突破 (或跌破) 判斷原則作為操作訊號, 所彚整而提出。實證上, 採用2014年12月31日台灣證券交易所公告之台灣50、中型100, 以及富櫃50成分股為樣本, 並以2001年1月1日至2014年12月31日為回溯期間。在進行策略交易的模擬分析與績效差異檢定後, 實證結果發現, 多重移動平均選股法投資策略績效, 在統計分析上並無法較單一周期投資策略績效為優, 但卻能有效過濾沒必要的交易行為, 使突破買進之假訊號降低, 間接的降低交易次數及減少交易成本。 / This study enhanced from the traditional single period moving average for stock selection into multiple-period moving average counterpart. The theoretical foundation comes from the Dow Theory, which states that there exist three trends simultaneously, that is, major trend, secondary trend, and minor trend. Also, the Granville Rules suggest stock price breaking out may serve as entry and exit signal for trading. Our sample are grouped into three subsamples, Taiwan 50, Mid-Cap 100, Gretai 50. The sample period ranges from 2001/1/1 to 2014/12/31. Our empirical backtesting and performance test suggests that, contrary to our expectations, the multiple period method does not outperform its single period counterpart. However, the multiple period stock selection method may filter out false signals, and thereby reduce not only possible price risk associated with noisy trades but the accompanying transaction costs. / 摘要 I Abstract II 致謝詞 III 目錄 V 圖次 VII 表次 VIII 第一章　緒論 1 第一節　研究背景及動機 1 第二節　研究目的 2 第三節　研究對象與範圍 2 第四節　研究流程 4 第二章　文獻回顧 6 第一節　技術分析理論 6 一、技術分析基本邏輯 6 二、技術分析主要的型態類型 7 第二節　移動平均線的原理 9 一、簡單移動平均線的計算 9 二、移動平均線的常見應用 9 第三節　多重移動平均理論及選股法 11 一、多重移動平均的原理 11 二、多重移動平均的選股模式 11 第四節　相關研究文獻回顧與評析 11 一、過去研究文獻 11 二、文獻評析 16 三、本文假說推論 16 第三章　研究方法 17 第一節　傳統移動平均線選股模式 17 第二節　YC指標選股模式 17 第三節　選股模式績效差異檢定 19 第四節　資料來源與變數選取 19 第四章　實證分析 20 第一節　操作策略績效估計 20 第二節　操作策略績效比較 28 第三節　多重策略模型之適性歸納–由規模的角度 36 第五章　結論與建議 43 參考文獻 44 中文部份 44 英文部份 46 參考網址 46 圖次 圖1-4-1 研究流程圖 5 圖2-1-1 型態類技術理論的基本分類 6 圖2-1-2 市場同時存在三種趨勢 7 圖2-1-3 K線的基本構造 8 圖2-2-1 葛蘭碧(Granville)八大法則概念圖 10 表次 表1-3-1 台股之台灣50成分股 2 表1-3-2 台股之中型100成分股 3 表1-3-3 台股之富櫃50成分股 3 表2-4-1 過去研究文獻的整理 14 表4-1-1 台灣50成份股總交易次數及成本 20 表4-1-2 中型100成份股總交易次數及成本 22 表4-1-3 富櫃50成份股總交易次數及成本 26 表4-1-4 單一與多重模式下交易次數與進出場交易成本彚整 28 表4-2-1 台灣50成份股總報酬及總報酬率 28 表4-2-2 中型100成份股總報酬及總報酬率 30 表4-2-3 富櫃50成份股總報酬及總報酬率 34 表4-2-4 單一與多重策略下的平均總報酬與平均總報酬率彚整 36 表4-3-1 多重策略下總報酬率與市值之迴歸分析 36 表4-3-2 多重策略下總報酬率與股本之迴歸分析 37 表4-3-3 台灣50股本前20%成份股之策略績效及差異比較 37 表4-3-4 台灣50股本後20%成份股之策略績效及差異比較 38 表4-3-5 中型100股本前20%成份股之策略績效及差異比較 39 表4-3-6 中型100股本後20%成份股之策略績效及差異比較 40 表4-3-7 富櫃50股本前20%成份股之策略績效及差異比較 41 表4-3-8 富櫃50股本後20%成份股之策略績效及差異比較 42

L’évolution des systèmes de télécommunications, liée à une demande sans cesse croissante en termes de débit et de volume de données, se concrétise par le développement de systèmes proposant des bandes passantes très larges, des modulations à très hautes efficacités spectrales, de la flexibilité en puissance et en fréquence d’émission. Par ailleurs, la mise en œuvre de ces dispositifs doit se faire avec un souci permanent d’économie d’énergie d’où la problématique récurrente de l’amplification de puissance RF qui consiste à allier au mieux rendement, linéarité et bande passante. L’architecture conventionnelle d’une chaine d’émission RF consiste dans une première étape à réaliser l’opération de modulation-conversion de fréquence (Modulateur IQ) puis dans une deuxième étape l’opération de conversion d’énergie DC-RF (Amplificateur de Puissance), ces deux étapes étant traditionnellement traitées de manière indépendante. L’objectif de ces travaux de thèse est de proposer une approche alternative qui consiste à combiner ces deux opérations dans une seule et même fonction : le modulateur vectoriel de puissance à haute efficacité énergétique. Le cœur du dispositif, conçu en technologie GaN, repose sur un circuit à deux étages de transistors HEMT permettant d’obtenir un gain en puissance variable en régime de saturation. Il est associé à un modulateur de polarisation multi-niveaux spécifique également en technologie GaN. Le dispositif réalisé a permis de générer directement, à une fréquence de 2.5 GHz, une modulation vectorielle 16QAM (100Msymb/s) de puissance moyenne 13 W, de puissance crête 25W avec un rendement global de 40% et une linéarité mesurée par un EVM à 5%. / The evolution of telecommunications systems, linked to a constantly increasing demand in terms of data rate and volume, leads to the development of systems offering very wide bandwidths, modulations with very high spectral efficiencies, increased power and frequency flexibilities in transmitters. Moreover, the implementation of such systems must be done with a permanent concern for energy saving, hence the recurring goal of the RF power amplification which is to combine the best efficiency, linearity and bandwidth. Conventional architectures of RF emitter front-ends consist in a first step in performing the frequency modulation-conversion operation (IQ Modulator) and then in a second step the DC-RF energy conversion operation (Power Amplifier), these two steps being usually managed independently. The aim of this thesis is to propose an alternative approach that consists in combining these two operations in only one function: a high efficiency vector power modulator. The core of the proposed system is based on a two-stage GaN HEMT circuit to obtain a variable power gain operating at saturation. It is associated with a specific multi-level bias modulator also design using GaN technology. The fabricated device generates, at a frequency of 2.5 GHz, a 16QAM modulation (100Msymb/s) with 13W average power, 25W peak power, with an overall efficiency of 40% and 5% EVM.

Made available in DSpace on 2016-04-18T21:31:32Z (GMT). No. of bitstreams: 2 Magali Borges1.pdf: 28809 bytes, checksum: ef0efd46043571ea6cba0d0ece8a26b0 (MD5) Magali Borges2.pdf: 605172 bytes, checksum: 3dd5ac42e2a2af985495e01debdb2de4 (MD5) Previous issue date: 2007-04-19 / The present research had for objective to investigate the process of professional development and learning of the teaching of a group of teachers of the public of education of the city of Carapicuíba, from the program of continued formation Ensino Médio em Rede fase I they offered during the years of 2004 and 2005. It was broken of the existing theories concerning the reflective professional, the thought of the teacher, therefore if it intended to investigate where measured the formation continued for teachers it can and it must be a reflection instrument so that the same ones can face the quandaries of the profession appeared in this beginning of century where the educative dimension of the teaching work becomes each bigger and more forceful time. The interpretative analisys of the data made it possible to outline the teachers processes and routes, as well as their significations and re-significations after the formative phase of the course. The gotten results had indicated which were the contribution of the program of formation analyzed for the evolution of the levels of profissionalization of the teachers and its importance for the process of professional development and learning of the teaching, perceived in the valuation of the relation with the profession, in the valuation of the identities of the involved teachers, in the desire to always continue learning and producing new knowledge pedagogical, thus increasing the teaching autonomy. / A presente pesquisa teve por objetivo investigar o processo de desenvolvimento profissional e aprendizagem da docência de um grupo de professores da rede pública de ensino do município de Carapicuíba, a partir do programa de formação continuada Ensino Médio em Rede fase I a eles oferecido durante os anos de 2004 e 2005. Partiu-se das teorias existentes acerca do profissional reflexivo, do pensamento do professor, epistemologia da prática, da formação continuada de professores baseada no desenvolvimento profissional e aprendizagem da docência a partir da própria instituição escolar; pretendeu-se investigar em que medida a formação continuada para professores pode e deve ser um instrumento de reflexão para que os mesmos possam enfrentar os dilemas da profissão surgidos neste início de século em que a dimensão educativa do trabalho docente torna-se cada vez maior e mais contundente. A análise interpretativa dos dados possibilitou configurar os percursos e processos dos professores pesquisados, bem como suas significações e re-significações após a etapa formativa do curso. Os resultados obtidos indicaram qual foi a contribuição do programa de formação analisado para a evolução dos níveis de profissionalidade dos docentes e sua importância para o processo de desenvolvimento profissional e aprendizagem da docência, percebidos na revalorização da relação com a profissão, na revitalização das identidades dos professores envolvidos, no desejo de continuar sempre aprendendo e produzindo novos conhecimentos pedagógicos, aumentando assim a autonomia docente.

Wireless Sensor Networks (WSNs) consist of a large number of resource constrained sensor nodes equipped with various sensing devices which can monitor events in the real world. There are various applications such as environmental monitoring, target tracking forest fire detection, etc., which require clock synchronization among the sensor nodes with certain accuracy. However, a major constraint in the design of clock synchronization protocols in WSNs is that sensor nodes of WSNs have limited energy and computing resources. Clock synchronization process in the WSNs is carried out at each sensor node either synchronously, i.e., periodically during the same real-time interval, which we call synchronization phase, or asynchronously, i.e., independently without worrying about what other nodes are doing for clock synchronization. A disadvantage of asynchronous clock synchronization protocols is that they require the sensor nodes to remain awake all the time. Therefore, they cannot be integrated with any sleep-wakeup scheduling scheme of sensor nodes, which is a major technique to reduce energy consumption in WSNs. On the other hand, synchronous clock synchronization protocols can be easily integrated with the synchronous sleep-wakeup scheduling scheme of sensor nodes, and at the same time, they can provide support to achieve sleep-wakeup scheduling of sensor nodes. Essentially, there are two ways to synchronize the clocks of a WSN, viz. internal clock synchronization and external clock synchronization. The existing approaches to internal clock synchronization in WSNs are mostly hop-by-hop in nature, which is difficult to maintain. There are also many application scenarios where external clock synchronization is the only option to synchronize the clocks of a WSN. Besides, it is also desired that the internal clock synchronization protocol used is fault-tolerant to message loss and node failures. Moreover, when the external source fails or reference node fails, the external clock synchronization protocol should revert back to internal clock synchronization protocol with/without using any reference node. Towards this goal, first we propose three fully distributed synchronous clock synchronization protocols, called Energy Efficient and Fault-tolerant Clock Synchronization (EFCS) protocol, Weighted Average Based Internal Clock Synchronization (WICS) protocol, and Weighted Average Based External Clock Synchronization (WECS) protocol, for WSNs making use of peer-to-peer approach. These three protocols are dynamically interchangeable depending upon the availability of external source or reference nodes. In order to ensure consistency of the synchronization error in the long run, the neighboring nodes need to be synchronized with each other at about the same real time, which requires that the synchronization phases of the neighboring nodes always overlap with each other. To realize this objective, we propose a novel technique of pullback, which ensures that the synchronization phases of the neighboring nodes always overlap. In order to further improve the synchronization accuracy of the EFCS, WICS, and WECS protocol, we have proposed a generic technique which can be applied to any of these protocols, and the improved protocols are referred as IEFCS, IWICS, and IWECS respectively. We then give an argument to show that the synchronization error in the improved protocols is much less than that in the original protocols. We have analyzed these protocols for bounds on synchronization error, and shown that the synchronization error is always upper bounded. We have evaluated the performance of these protocols through simulation and experimental studies, and shown that the synchronization accuracy achieved by these protocols is of the order of a few clock ticks even in very large networks. The proposed protocols make use of estimated drift rate to provide logical time from the physical clock value at any instant and at the same time ensure the monotonicity of logical time even though physical clock is updated at the end of each synchronization phase. We have also proposed an energy aware routing protocol with sleep scheduling, which can be integrated with the proposed clock synchronization protocols to reduce energy consumption in WSNs further.

Metodologias para obtenção do tamanho amostral para estimar a concentração de organismos em água de lastro e verificar normas internacionais são desenvolvidas sob uma abordagem bayesiana. Consideramos os critérios da cobertura média, do tamanho médio e da minimização do custo total sob os modelos Poisson com distribuição a priori gama e binomial negativo com distribuição a priori Pearson Tipo VI. Além disso, consideramos um processo Dirichlet como distribuição a priori no modelo Poisson com o propósito de obter maior flexibilidade e robustez. Para fins de aplicação, implementamos rotinas computacionais usando a linguagem R. / Sample size methodologies for estimating the organism concentration in ballast water and for verifying international standards are developed under a Bayesian approach. We consider the criteria of average coverage, of average length and of total cost minimization under the Poisson model with a gamma prior distribution and the negative binomial model with a Pearson type VI prior distribution. Furthermore, we consider a Dirichlet process as a prior distribution in the Poisson model with the purpose to gain more flexibility and robustness. For practical applications, we implemented computational routines using the R language.

The dissertation deals with simulations of the DC-DC converters in their basic configurations (Buck, Boost, Buck-boost, Cuk, SEPIC). In the first part of the thesis derivation of transfer functions Line-to-Output (LTO) and Control-To-Output (CTO) can be found. These symbolic responses are derived for three types of basic converters (Buck, Boost, Buck-boost) using well-known average model [1]. Derived expressions are very complicated. For reduction of these expressions symbolic approximation method was used, however the generality is lost. The average model was used to for decreasing the computational effort of analysis of DC-DC converters in the time domain. For these simulations VHDL-AMS language was used. The main topic of the thesis is harmonic balance method, which was adapted to DC-DC converters. Because conditions and assumptions for LTO and CTO functions are very different, harmonic balance method was derived into two variants. For obtaining of LTO response, duty cycle of switching signal can be considered as constant in time. Spectrum of this signal is simple as follows from well-known sinc function. For obtaining of CTO response PWM modulation must be used. Compared to sinc function spectrum of PWM modulation is richer (contains more combination frequencies). Many types of PWM modulation is described in [31]. For simulation PWM modulation with uniform sampling in two variants (single and double edge) was used. Non-ideal switching of PWM switch was modeled by PWM pulse with defined slew rate. Last section deals with comparison of all derived functions (LTO, CTO, modulation type, defined slew rate) with well-known averaged model.

The master’s thesis deals with trading the currency market. The aim of thesis is the creation of an automated trading system based on technical analysis. This thesis is divided into several parts. The theoretical aspects and analysis of current situation are followed by automated trading system proposal. The system is designed on basis of technical indicators and tested on historical data and then optimized.

In power electronics, the switched converter plays a fundamental role in the efficient conversion and dynamical control of electrical energy. Due to the switching operation of these systems, overlaid disturbances come into existence in addition to the desired behavior of the variables, causing deviations in the current and voltages. From a control perspective, these disturbances are of no interest since they cannot be compensated. They can even alter the measurements given to the control system, affecting its behavior. Furthermore, during the control design, averaged models are often used, by which the switching operation is somehow disregarded. They consider instead the average behavior of the system variables. Thus, it is essential that the measuring setup provides a measurement of the average value to the control system. To accomplish this goal, there are in practice different approaches. For example, the disturbances originated by the switching operation can be either suppressed using an analog or digital filter, or the sampling of the variables can be carried out in a suitable manner, synchronous to the carrier of the modulation method. Unfortunately, the use of filters adds an extra phase shift or delay to the control loop, reducing its dynamical performance. Moreover, the synchronous sampling method provides a good approximation of the average value only if certain conditions are met, otherwise a distortion due to aliasing takes place. A method is developed in this work to predict, in every switching cycle, the average value of the system variables in a switched power converter. In this context, the work presents an alternative method to carry out the measurement of the average value, avoiding the principal drawbacks of the standard measuring methods. To achieve this, a suitable model of the converter is used, incorporating the modulation method and the type of analog-to-digital converter, either a conventional sample-and-hold or a sigma-delta converter. The measurement given by the analog-to-digital converter is used to predict the time behavior of the system variables during the present switching period and then to evaluate its average value, before the period is completed. The method allows to obtain simultaneously the average value of currents and voltages, to get rid of the delay introduced by filtering, and to avoid the drawback of sampling in the measurement, i.e. aliasing. In this work, an overview of the standard measuring methods for switched power converters is first presented. The problematics that arise from the sampling process are also discussed. Next, the theoretical grounds of the method are developed and the tools needed to implement it are derived. To illustrate its applicability, the method is used first in DC-DC converters, where the case of the buck converter is analyzed in detail. Similarly, the method is applied to a three-phase two-level voltage source converter. In both cases, simulation results and experimental verification are presented for different operational modes. The usage of the method in open and closed loop is discussed, and its effect in the system behavior is shown. The performance of the prediction method is contrasted with other standard measuring methods.