Search results for "Horizon"
showing 10 items of 600 documents
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some specific examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon.
Smart multi-carrier energy system: Optimised energy management and investment analysis
2016
This paper proposes an optimised Energy Management System for a multi-carrier hub, which integrates two energy distribution networks, for hydrogen and electricity. The economic sustainability of a real-life instantiation of such a system has been analysed as well. The Energy Management System has been developed by means of a multi-objective optimisation algorithm, the Non-dominated Sorting Genetic Algorithm II, implemented using MATLAB®. The achieved results consist in a series of set-points defining the working conditions of the plant for a chosen time horizon. Data provided by this process also show the effectiveness of the adopted optimisation approach. The financial analysis is performe…
A Self-Adapting Approach for Forecast-Less Scheduling of Electrical Energy Storage Systems in a Liberalized Energy Market
2013
In this paper, an original scheduling approach for optimal dispatch of electrical Energy Storage Systems (ESS) in modern distribution networks is proposed. The control system is based on fuzzy rules and does not use forecasts since it repairs the past history according to the real time data on the electrical energy cost, renewable energy production and load. When the system detects a worsening of performances, the fuzzy logic rule-based control system self-adapts its membership functions using an economic indicator. The common use, in the relevant literature, of forecasted values in such systems can lead to large errors and economic losses. Moreover the speed of calculation guaranteed by th…
Hydropower Optimization Using Split-Window, Meta-Heuristic and Genetic Algorithms
2019
In this paper, we try to find the most efficient optimization algorithm that can be used to resolve the hydropower optimization problem. We propose a novel optimization technique is called the Split-window method. The method is relatively simple and reduces the complexity of the optimization problem by split-ting the planning horizon (and datasets) into equal windows and assigning the same values to policies(actions) within each part. After splitting, a meta-heuristic technique is used to optimize the actions, and the dataset is split again until a split contains only one instance (timestep). The unique values to be optimized during each iteration is equal to the number of splits which make…
Fuzzy green vehicle routing problem for designing a three echelons supply chain
2020
Abstract In this study, a three-echelon fuzzy green vehicle routing problem (3E-FGVRP) is considered for designing a regional agri-food supply chain on a time horizon. To account for the variability associated with the quantities requested by customers, it is assumed that the demands are fuzzy numbers simulated by a time-dependent algorithm. Moreover, the vehicle fleet and distribution centres are considered with a defined capacity. The credibility theory of fuzzy sets is used to implement a multi-objective fuzzy chance-constrained programming model, where the total costs and carbon emissions are minimised. The resolution of the 3E-FGVRP is conducted by using a non-dominated sorting genetic…
Multiobjective ant colony search algorithm optimal electrical distribution system planning
2005
A dynamic multiobjective, MO, algorithm based on the ant colony search, the multiobjective ant colony search algorithm, MOACS, is presented. The application domain is that of dynamic planning for electrical distribution systems. A time horizon of H years has been considered during which the distribution system are modified according to the new internal (loads) and external (market, reliability, power quality) requirements. In this scenario, the objectives the Authors consider most important for utilities in strategical planning are: the quality requirement connected to the decrease of the expected number of interruptions per year and customer, in the considered time frame, and the choice fo…
Time-Dependent Multiple Depot Vehicle Routing Problem on Megapolis Network under Wardrop's Traffic Flow Assignment
2018
In this work multiple depot vehicle routing problem is considered in case of variable travel times between nodes on a metropolis network. This variant of the classic multiple depot vehicle routing problem is motivated by the fact that in urban contexts variable traffic conditions play an essential role and can not be ignored in order to perform a realistic optimization. Time-travel matrices corresponding to each period of planning horizon were formed by solving the traffic assignment problem in conjunction with shortest path problem. Routing problem instances include from 20 to 100 customers randomly chosen from a road network of Saint-Petersburg. The results demonstrate that taking into ac…
Seed Activation Scheduling for Influence Maximization in Social Networks
2018
This paper addresses the challenge of strategically maximizing the influence spread in a social network, by exploiting cascade propagators termed “seeds”. It introduces the Seed Activation Scheduling Problem (SASP) that chooses the timing of seed activation under a given budget, over a given time horizon, in the presence/absence of competition. The SASP is framed as a blogger-centric marketing problem on a two-level network, where the decisions are made to buy sponsored posts from prominent bloggers at calculated points in time. A Bayesian evidence diffusion model – the Partial Parallel Cascade (PPC) model – allows the network nodes to be partially activated, proportional to their accumulat…
Polynomial and horizontally polynomial functions on Lie groups
2022
We generalize both the notion of polynomial functions on Lie groups and the notion of horizontally affine maps on Carnot groups. We fix a subset $S$ of the algebra $\mathfrak g$ of left-invariant vector fields on a Lie group $\mathbb G$ and we assume that $S$ Lie generates $\mathfrak g$. We say that a function $f:\mathbb G\to \mathbb R$ (or more generally a distribution on $\mathbb G$) is $S$-polynomial if for all $X\in S$ there exists $k\in \mathbb N$ such that the iterated derivative $X^k f$ is zero in the sense of distributions. First, we show that all $S$-polynomial functions (as well as distributions) are represented by analytic functions and, if the exponent $k$ in the previous defini…
The Central Area of a“ Square” from the Time of Turdaș Culture Turdaș-Luncă. 2011 Campaign. Sector C The Architectural Horizon before the great Migra…
2020
Abstract The preventive excavation from 2011, at Turdaș-Luncă, led to the discovery of over 2000 archaeological features. Among them is feature 959. Through this article we want to continue the series of publications related to the preventive excavation of 2011 and highlight certain aspects related to a possible organization of the communities that lived here.