京都大学 / 0048 / 新制・課程博士 / 博士(理学) / 甲第18800号 / 理博第4058号 / 新制||理||1584(附属図書館) / 31751 / 京都大学大学院理学研究科地球惑星科学専攻 / (主査)教授 平原 和朗, 教授 澁谷 拓郎, 准教授 久家 慶子 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DGAM

Voltage Impasse Region (VIR) is a phenomenon in power systemswhose dynamics are describe by a set of Differential AlgebraicEquations (DAE). VIR denotes a state-space area where voltagecausality is lost, i.e. the Jacobian of the algebraic part of DAEis singular. In a Time Domain Simulation (TDS) once system trajectoriesenter VIR, TDS experiences non-convergence of the solution.Then, there is no reason to continue with the simulation. Thisis why it is important to understand the mechanisms that introduceVIR. It is known that VIR appears in relation to static, non-linearload models. However, it remained unknown what the cumulativeeffect of several static, non-linear loads would be.This master thesis has further expanded the concept of VIRby carrying out a structured study on how the load modelling affectsVIR. For this purpose, this thesis proposes a quasi-dynamicmethodology to map VIR in the relative rotor angle space. Themethodology introduces a new discrete index called Voltage ImpasseRegion Flag (VIRflag), which allows to determine if the algebraicequations of DAE are solvable or not and, thus, to locate VIR.A test system is used to test the proposed quasi-dynamic approach.The VIRflag was first used to map VIR for various load combinations.Then, the relationship between TDS non-convergence issuesand the intersection of a trajectory with VIR is examined toverify the proposed methodology.The proposed method has been proved to be efficient in the determinationof VIR regardless of the number of non-linear loads inthe power system. Among the static exponential load models, theConstant Power (CP) load component has been identified as theone with the largest influence on VIR appearance and shape. TheConstant Current (CC) loads induce ”smaller" VIR areas and theConstant Impedance (CI) load can only alter the shape of VIR inthe presence of non-linear load models. / VIR (Voltage Impasse Regions) är ett fenomen i kraftsystem varsdynamiska förlöp beskrivs av differential-algebraiska ekvationer(DAE). VIR betecknar ett område i tillståndsrummet där går förlorad,dvs Jakobianen av den algebraiska delen av DAE är singulärI tidsdomän-simuleringar (TDS) när en trajektoria träffar VIR,konvergerar TDS inte till en lösning. Då finns ingen anledning attfortsätta med simuleringen. Därför är det viktigt att förstå mekanismernasom introducerar VIR. Det är känt att VIR är relateradetill statiska, icke-linjära lastmodeller. Det var dock okänt vadden kumulativa effekten av flera statiska, icke-linjära belastningarskulle vara.Denna uppsats har vidareutvecklat begreppet VIR genom attgenomföra en strukturerad studie om hur lastmodellering påverkarVIR. För detta ändamål föreslår denna avhandling en kvasidynamiskmetod för att kartlägga VIR i det relativa rotorvinkelrummet.Metoden introducerar ett nytt diskret index som heterVoltage Impasse Region Flag (VIRflag), vilket gör det möjligt attbestämma om den algebraiska delen av DAE är lösbar eller inteoch därmed lokalisera VIR. Ett används för att testa det föreslagnakvasi-dynamiska tillvägagångssättet. VIRflag användes först för attkartlägga VIR för olika belastningskombinationer. Därefter granskasförhållandet mellan konvergensproblem i TDS och korsningenmellan en trajektoria och VIR för att verifiera den föreslagna metoden.Den föreslagna metoden har visat sig vara effektiv vid bestämningav VIR, oberoende av antalet icke-linjära belastningar. Bland destatiska exponentiella belastningsmodellerna har konstanteffektlast(CP) haridentifierats som den som har störst inflytande påVIR;s form. Den konstantströmlasten (CC) inducerar mindre"VIRområdenoch konstantimpedanslasten (CI) kan endast ändra formenav VIR i närvaro av icke-linjära belastningsmodeller.

本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策，發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思，亦即風險性資產中債券與股票之比率於不同壽險公司間有差異，與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數，試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果，並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示： 1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時，投資於股票之比例會減少、投資於債券之比例會增加。 2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現，本資公司之風險態度較外資公司積極，本資公司應提高其債券之持有比例。 本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在，本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的，但因風險態度較為趨避之公司，投資於風險性資產比率下降、提高避險部位之配置，導致整體之股票與債券比率增加。 關鍵字：資產負債管理、策略性資產配置、擬似動態規劃法。

本研究探討長期信託基金（諸如退休基金，人壽保險公司等）之固定收益債券多期資產配置，利用時間可加性之效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適效益目標，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金到期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek隨機模型表示，本文以給定金融市場之情境假設，說明不同到期日之債券為適當之獲利投資及避險工具，本研究之多期資產配置模型主要參考Cox與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。 / This study attempts to investigate the hedging behavior through multi-period asset allocation strategy for the long-term fund manager, i.e., pension fund managers, life insurers, etc. Time additive utility function is employed to depict the risk preference of the investors during his investment time horizon. Based on their long-duration liabilities, assets held by the fund manager are employed in hedging and speculating under dynamic complete market assumption. To fully reflect the financial risks from the market, a risk management mechanism is implemented to monitor the long-term financial soundness. Short-term interest rate model proposed by Vasicek is employed to characterize the diffusion pattern of the invested assets. Current financial market information are incorporated and investigated to portray the hedging strategy through fixed income securities with various maturities. The quasi-dynamic approach proposed in Cox and Huang (1989, 1991) and Sorensen (1999) are implemented to construct the optimal asset allocation model. The optimal strategy is examined through maximizing the indirect utility function through the optimal growth portfolio. Finally, the hedging behaviors are compared and fully explored under various market scenarios.

El concentrador solar Fixed Mirror Solar Concentrator (FMSC) apareció en los años 70 con la finalidad de reducir costes en la producción de energía termoeléctrica. Este diseño consiste en un concentrador de reflector estacionario y foco móvil, presenta buena integrabilidad en cubiertas, y es capaz de alcanzar temperaturas entre 100 y 200ºC manteniendo una eficiencia aceptable. En esta tesis se expone una metodología para determinar el comportamiento del FMSC. Se ha desarrollado una herramienta de cálculo basada en el método de ray-tracing, que simula el trazado de los rayos solares en el sistema óptico. Con esta herramienta se ha analizado el comportamiento óptico y térmico del FMSC, y de la versión con espejos curvos Curved Slats Fixed Mirror Solar Concentrator (CSFMSC). Se ha realizado un análisis paramétrico para conocer la influencia de los distintos parámetros en el modificador de ángulo (IAM), y para obtener los diseños óptimos a una temperatura de 200ºC para tres climas en diferentes latitudes. Se han comparado los valores teóricos obtenidos mediante ray-tracing con dos prototipos ensayados, obteniendo un buen ajuste en ambos casos. Los ensayos han sido utilizados para determinar la curva de rendimiento de uno de los prototipos. Se ha hecho uso del método propuesto en la norma EN-12975-2:2006, combinado con valores de IAM obtenidos mediante ray-tracing. Se prueba que esta combinación puede ser útil para obtener la curva de rendimiento de colectores complejos con un modelo biaxial para el IAM. / The Fixed Mirror Solar Concentrator (FMSC) appeared during the 70s with the aim of reducing costs in the production of electricity in solar thermal power plants. This design consists of a concentrator with fixed reflector and moving receiver, has a very good integrability into building roofs and can reach temperatures between 100 and 200ºC with an acceptable efficiency. In this Thesis a methodology is presented for the determination of the behaviour of the FMSC. A simulation tool based on the forward ray-tracing method has been developed. The optical and thermal behaviour of the FMSC and its curved mirror variation called the Curved Slats Fixed Mirror Solar Concentrator (CSFMSC), have been analyzed with this tool. A parametric analysis has been carried out in order to determine the influence of the different parameters on the Incidence Angle Modifier (IAM) and to determine the optimal designs at a temperature of 200ºC for three different climates at different latitudes. The theoretical values obtained from the ray-tracing code have been compared with two experimental prototypes. The experimental and numerical results obtained show a good fit. The efficiency curve of one of the prototypes has been determined from the experimental tests. The methodology proposed in the norm EN-12975-2:2006 has been used in combination with IAM values obtained by ray-tracing. It has been shown that this combination can be effectively used to obtain the efficiency curve of complex collectors with a bi-axial IAM model.