Submitted by Alberto Quialheiro de Oliveira null (beto.stanley@bol.com.br) on 2016-07-19T15:25:34Z No. of bitstreams: 1 DISSERTACAO_ALBERTO.pdf: 4270530 bytes, checksum: bf6cacf30d20ec8e3d50a33065d262a5 (MD5) / Approved for entry into archive by Ana Paula Grisoto (grisotoana@reitoria.unesp.br) on 2016-07-20T17:41:57Z (GMT) No. of bitstreams: 1 oliveira_aq_me_bauru.pdf: 4270530 bytes, checksum: bf6cacf30d20ec8e3d50a33065d262a5 (MD5) / Made available in DSpace on 2016-07-20T17:41:57Z (GMT). No. of bitstreams: 1 oliveira_aq_me_bauru.pdf: 4270530 bytes, checksum: bf6cacf30d20ec8e3d50a33065d262a5 (MD5) Previous issue date: 2016-06-10 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Neste trabalho propõe-se um modelo de leilão multiperíodo para um mercado pool do dia seguinte de sistemas hidrotérmicos, que leve em consideração as restrições intertemporais do sistema termelétrico (e.g. potência máxima disponível e limites de rampa e período mínimo de operação e desligamento) e restrições hidráulicas (e.g. defluência, volume e balanço de água, altura de queda, alturas de montante e jusante do reservatório, limites de rampa de vazão defluente e função de produção). Também foram introduzidas no modelo as restrições de rede de transmissão, tais como o balanço e limites de fluxo de potência e representação das perdas. São descritas as técnicas de linearização das funções de altura de queda líquida, função de produção e função de perdas no sistema de transmissão. O modelo proposto é formulado como um problema de programação linear inteiro-misto, tendo sido resolvido utilizando as plataformas GAMS - CPLEX e IBM ILOG CPLEX Optimization Studio. Os resultados apresentados têm como foco principal a análise do impacto das restrições hidráulicas nos preços de equilíbrio de mercado e no despacho de geração de sistemas hidrotérmicos. Mostra-se que a operação de uma cascata hidráulica para o dia seguinte é orientada com base nas ofertas fornecidas pelas companhias geradoras no mercado de energia. / This work presents a brief description of an energy market structure, as well as its agents, economic division and service and time horizon classification. The Brazilian mar-ket, single-period and multiperiod auction are also described, as much as a concise presen-tation of a hydroelectric generation system. It's proposed for a day-ahead pool market, a multiperiod auction for hydrothermal system which takes into account the intertempo-ral constraints from a thermoelectric system (e.g. maximum available power output and ramp rate limits, minimum up and down time) and hydraulic constraints (e.g. defluence, volume and water balance, net head, forebay and tailrace levels of reservoir, water release ramp rate limits and the unit performance curves). It was also associated to the problem the transmission constraints, such as balance and flow power limits and power loss. On account of being a problem with such features, the linearization techniques of the net head, unit performance curves and power loss function are described. The proposed mo-del is based on a mixed integer linear programming problem, which used the GAMS -CPLEX and IBM ILOG CPLEX Optimization Studio to its resolution. Finally there are two reported situations to analyze the impact of the hydraulic constrains on the bidding prices, as well as the in˛uence of the selling prices on the total spillage of the hydroelectric plants. The model is projected for a hydro predominance plant cascade.

A main thrust of this thesis is to develop and explore linearization-based numeric-analytic integration techniques in the context of stochastically driven nonlinear oscillators of relevance in structural dynamics. Unfortunately, unlike the case of deterministic oscillators, available numerical or numeric-analytic integration schemes for stochastically driven oscillators, often modelled through stochastic differential equations (SDE-s), have significantly poorer numerical accuracy. These schemes are generally derived through stochastic Taylor expansions and the limited accuracy results from difficulties in evaluating the multiple stochastic integrals. We propose a few higher-order methods based on the stochastic version of transversal linearization and another method of linearizing the nonlinear drift field based on a Girsanov change of measures. When these schemes are implemented within a Monte Carlo framework for computing the response statistics, one typically needs repeated simulations over a large ensemble. The statistical error due to the finiteness of the ensemble (of size N, say)is of order 1/√N, which implies a rather slow convergence as N→∞. Given the prohibitively large computational cost as N increases, a variance reduction strategy that enables computing accurate response statistics for small N is considered useful. This leads us to propose a weak variance reduction strategy. Finally, we use the explicit derivative-free linearization techniques for state and parameter estimations for structural systems using the extended Kalman filter (EKF). A two-stage version of the EKF (2-EKF) is also proposed so as to account for errors due to linearization and unmodelled dynamics. In Chapter 2, we develop higher order locally transversal linearization (LTL) techniques for strong and weak solutions of stochastically driven nonlinear oscillators. For developing the higher-order methods, we expand the non-linear drift and multiplicative diffusion fields based on backward Euler and Newmark expansions while simultaneously satisfying the original vector field at the forward time instant where we intend to find the discretized solution. Since the non-linear vector fields are conditioned on the solution we wish to determine, the methods are implicit. We also report explicit versions of such linearization schemes via simple modifications. Local error estimates are provided for weak solutions. Weak linearized solutions enable faster computation vis-à-vis their strong counterparts. In Chapter 3, we propose another weak linearization method for non-linear oscillators under stochastic excitations based on Girsanov transformation of measures. Here, the non-linear drift vector is appropriately linearized such that the resulting SDE is analytically solvable. In order to account for the error in replacing of non-linear drift terms, the linearized solutions are multiplied by scalar weighting function. The weighting function is the solution of a scalar SDE(i.e.,Radon-Nikodym derivative). Apart from numerically illustrating the method through applications to non-linear oscillators, we also use the Girsanov transformation of measures to correct the truncation errors in lower order discretizations. In order to achieve efficiency in the computation of response statistics via Monte Carlo simulation, we propose in Chapter 4 a weak variance reduction strategy such that the ensemble size is significantly reduced without seriously affecting the accuracy of the predicted expectations of any smooth function of the response vector. The basis of the variance reduction strategy is to appropriately augment the governing system equations and then weakly replace the associated stochastic forcing functions through variance-reduced functions. In the process, the additional computational cost due to system augmentation is generally far less besides the accrued advantages due to a drastically reduced ensemble size. The variance reduction scheme is illustrated through applications to several non-linear oscillators, including a 3-DOF system. Finally, in Chapter 5, we exploit the explicit forms of the LTL techniques for state and parameters estimations of non-linear oscillators of engineering interest using a novel derivative-free EKF and a 2-EKF. In the derivative-free EKF, we use one-term, Euler and Newmark replacements for linearizations of the non-linear drift terms. In the 2-EKF, we use bias terms to account for errors due to lower order linearization and unmodelled dynamics in the mathematical model. Numerical studies establish the relative advantages of EKF-DLL as well as 2-EKF over the conventional forms of EKF. The thesis is concluded in Chapter 6 with an overall summary of the contributions made and suggestions for future research.