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Sample records for optimal investment strategies

  1. Optimal Deterministic Investment Strategies for Insurers

    Ulrich Rieder

    2013-11-01

    Full Text Available We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be deterministic. This leads to deterministic control problems, which are quite easy to solve. Moreover, it turns out that there are some interesting links between the optimal investment strategies of these problems. Finally, we also show that this approach works in the Lévy process framework.

  2. Long-run savings and investment strategy optimization.

    Gerrard, Russell; Guillén, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M

    2014-01-01

    We focus on automatic strategies to optimize life cycle savings and investment. Classical optimal savings theory establishes that, given the level of risk aversion, a saver would keep the same relative amount invested in risky assets at any given time. We show that, when optimizing lifecycle investment, performance and risk assessment have to take into account the investor's risk aversion and the maximum amount the investor could lose, simultaneously. When risk aversion and maximum possible loss are considered jointly, an optimal savings strategy is obtained, which follows from constant rather than relative absolute risk aversion. This result is fundamental to prove that if risk aversion and the maximum possible loss are both high, then holding a constant amount invested in the risky asset is optimal for a standard lifetime saving/pension process and outperforms some other simple strategies. Performance comparisons are based on downside risk-adjusted equivalence that is used in our illustration.

  3. Long-Run Savings and Investment Strategy Optimization

    Russell Gerrard

    2014-01-01

    Full Text Available We focus on automatic strategies to optimize life cycle savings and investment. Classical optimal savings theory establishes that, given the level of risk aversion, a saver would keep the same relative amount invested in risky assets at any given time. We show that, when optimizing lifecycle investment, performance and risk assessment have to take into account the investor’s risk aversion and the maximum amount the investor could lose, simultaneously. When risk aversion and maximum possible loss are considered jointly, an optimal savings strategy is obtained, which follows from constant rather than relative absolute risk aversion. This result is fundamental to prove that if risk aversion and the maximum possible loss are both high, then holding a constant amount invested in the risky asset is optimal for a standard lifetime saving/pension process and outperforms some other simple strategies. Performance comparisons are based on downside risk-adjusted equivalence that is used in our illustration.

  4. Investment Strategies Optimization based on a SAX-GA Methodology

    Canelas, António M L; Horta, Nuno C G

    2013-01-01

    This book presents a new computational finance approach combining a Symbolic Aggregate approXimation (SAX) technique with an optimization kernel based on genetic algorithms (GA). While the SAX representation is used to describe the financial time series, the evolutionary optimization kernel is used in order to identify the most relevant patterns and generate investment rules. The proposed approach considers several different chromosomes structures in order to achieve better results on the trading platform The methodology presented in this book has great potential on investment markets.

  5. An Optimal Stochastic Investment and Consumption Strategy with ...

    This paper considers a single investor who owns a production plant that generates units of consumption goods in a capitalist economy. The goal is to choose optimal investment and consumption policies that maximize the finite horizon expected discounted logarithmic utility of consumption and terminal wealth. A dynamical ...

  6. An Optimal Investment Strategy for Insurers in Incomplete Markets

    Mohamed Badaoui

    2018-04-01

    Full Text Available In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic factor and the remaining surplus in a bank account. The price of the risky asset and the economic factor are modeled by a system of correlated stochastic differential equations. In a finite horizon framework and assuming that the market is incomplete, we study the problem of maximizing the expected utility of terminal wealth. When the insurer’s preferences are exponential, an existence and uniqueness theorem is proven for the non-linear Hamilton-Jacobi-Bellman equation (HJB. The optimal strategy and the value function have been produced in closed form. In addition and in order to show the connection between the insurer’s decision and the correlation coefficient we present two numerical approaches: A Monte-Carlo method based on the stochastic representation of the solution of the insurer problem via Feynman-Kac’s formula, and a mixed Finite Difference Monte-Carlo one. Finally the results are presented in the case of Scott model.

  7. Optimal investment strategies in decentralized renewable power generation under uncertainty

    Fleten, S.-E.; Maribu, K.M.; Wangensteen, I.

    2007-01-01

    This paper presents a method for evaluating investments in decentralized renewable power generation under price un certainty. The analysis is applicable for a client with an electricity load and a renewable resource that can be utilized for power generation. The investor has a deferrable opportunity to invest in one local power generating unit, with the objective to maximize the profits from the opportunity. Renewable electricity generation can serve local load when generation and load coincide in time, and surplus power can be exported to the grid. The problem is to find the price intervals and the capacity of the generator at which to invest. Results from a case with wind power generation for an office building suggests it is optimal to wait for higher prices than the net present value break-even price under price uncertainty, and that capacity choice can depend on the current market price and the price volatility. With low price volatility there can be more than one investment price interval for different units with intermediate waiting regions between them. High price volatility increases the value of the investment opportunity, and therefore makes it more attractive to postpone investment until larger units are profitable. (author)

  8. Optimal investment strategies and hedging of derivatives in the presence of transaction costs (Invited Paper)

    Muratore-Ginanneschi, Paolo

    2005-05-01

    Investment strategies in multiplicative Markovian market models with transaction costs are defined using growth optimal criteria. The optimal strategy is shown to consist in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon. The inclusion of financial derivatives in the models is also considered. All the results presented in this contributions were previously derived in collaboration with E. Aurell.

  9. Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

    Daheng Peng

    2017-10-01

    Full Text Available In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.

  10. The CEV Model and Its Application in a Study of Optimal Investment Strategy

    Aiyin Wang

    2014-01-01

    Full Text Available The constant elasticity of variance (CEV model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman (HJB equation which describes the optimal investment strategies, we obtain a partial differential equation. Applying the Legendre transform, we transform the equation into a dual problem and obtain an approximation solution and an optimal investment strategies for the exponential utility function.

  11. Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

    Daheng Peng; Fang Zhang

    2017-01-01

    In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.

  12. Communication strategies to optimize commitments and investments in iron programming.

    Griffiths, Marcia

    2002-04-01

    There is consensus that a communications component is crucial to the success of iron supplementation and fortification programs. However, in many instances, we have not applied what we know about successful advocacy and program communications to iron programs. Communication must play a larger and more central role in iron programs to overcome several common shortcomings and allow the use of new commitments and investments in iron programming to optimum advantage. One shortcoming is that iron program communication has been driven primarily by the supply side of the supply-demand continuum. That is, technical information has been given without thought for what people want to know or do. To overcome this, the communication component, which should be responsive to the consumer perspective, must be considered at program inception, not enlisted late in the program cycle as a remedy when interventions fail to reach their targets. Another shortcoming is the lack of program focus on behavior. Because the "technology" of iron, a supplement, or fortified or specific local food must be combined with appropriate consumer behavior, it is not enough to promote the technology. The appropriate use of technology must be ensured, and this requires precise and strategically crafted communications. A small number of projects from countries as diverse as Indonesia, Egypt, Nicaragua and Peru offer examples of successful communications efforts and strategies for adaptation by other countries.

  13. Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market

    Huiling Wu

    2016-01-01

    Full Text Available This paper studies an investment-consumption problem under inflation. The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain. The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented. The analytical expression of the optimal investment strategy is derived. The existence, boundedness, and feasibility of the optimal consumption are proven. Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.

  14. An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks

    Grant E. Muller

    2018-01-01

    Full Text Available We employ the method of stochastic optimal control to derive the optimal investment strategy for maximizing an expected exponential utility of a commercial bank’s capital at some future date T>0. In addition, we derive a multiperiod deposit insurance (DI pricing model that incorporates the explicit solution of the optimal control problem and an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. By way of numerical simulations, we study the effects of changes in the DI coverage horizon, the risk associated with the asset portfolio of the bank, and the bank’s initial leverage level (deposit-to-asset ratio on the DI premium while the optimal investment strategy is followed.

  15. Oscillating between Conservation and Investment: A Grounded Theory of Students’ Strategies for Optimizing Personal Resources

    Katja Hakel

    2015-06-01

    Full Text Available Students’ use of time and effort during their studies has been discussed exhaustively in mass media and educational research. In most cases, researchers try to give advice to teachers on how to get their students to become more active and engaged. The grounded theory presented in this article, however, challenges this approach by focusing on the students’ point of view. When interviewing students for this study, I soon realized that students only have a limited amount of time and effort at their disposal. Optimizing these personal resources emerged as their main concern. For the students, investing resources into one study activity always means having to reduce the amount of time and effort they can spend on other activities. They resolve their main concern by oscillating between conservation and investment strategies. Their decision regarding which type of strategy to use depends strongly on the students’ evaluation of their current situation.

  16. Inflation Protected Investment Strategies

    Mirco Mahlstedt

    2016-03-01

    Full Text Available In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the inflation hedging potential of stocks, bonds, real estate, commodities and gold are investigated. Within each regime, we determine optimal investment portfolios driven by the investment idea of protection from losses due to changing inflation if inflation is rising or high, but decoupling the performance from inflation if inflation is low. The results clearly indicate that these asset classes behave differently in different stock market and inflation regimes. Whereas in the long-run, we agree with the general opinion in the literature that stocks and bonds are a suitable hedge against inflation, we observe for short time horizons that the hedging potential of each asset class, especially of real estate and commodities, depend strongly on the state of the current market environment. Thus, our approach provides a possible explanation for different statements in the literature regarding the inflation hedging properties of these asset classes. A dynamic inflation-protected investment strategy is developed, which combines inflation protection and upside potential. This strategy outperforms standard buy-and-hold strategies, as well as the well-known 1 N -portfolio.

  17. Optimal Responsible Investment

    Jessen, Pernille

    The paper studies retail Socially Responsible Investment and portfolio allocation. It extends conventional portfolio theory by allowing for a personal value based investment decision. When preferences for responsibility enter the framework for mean-variance analysis, it yields an optimal...... responsible investment model. An example of index investing illustrates the theory. Results show that it is crucial for the responsible investor to consider portfolio risk, expected return, and responsibility simultaneously in order to obtain an optimal portfolio. The model enables responsible investors...

  18. Portfolio optimization in the cryptocurrency market : an evaluation of the performance of momentum strategies in the cryptocurrency market and cryptocurrency’s place in an optimized investment portfolio

    Bjordal, Andreas; Opdahl, Espen

    2017-01-01

    In this paper, we rigorously investigate the benefit of utilizing an active investment strategy based on momentum when investing in cryptocurrencies. We also examine how including cryptocurrencies in a more traditional asset allocation can optimize an investment portfolio. First, we create strategies with the use of exponential moving averages and simple average filters to generate a trading signal. Second, we provide evidence that the active strategies receive positive return,...

  19. Optimal Strategies for Low Carbon Supply Chain with Strategic Customer Behavior and Green Technology Investment

    Wen Jiang

    2016-01-01

    Full Text Available Climate change is mainly caused by excessive emissions of carbon dioxide and other greenhouse gases. In order to reduce carbon emissions, cap and trade policy is implemented by governments in many countries, which has significant impacts on the decisions of companies at all levels of the low carbon supply chain. This paper investigates the decision-making and coordination of a low carbon supply chain consisting of a low carbon manufacturer who produces one product and is allowed to invest in green technology to reduce carbon emissions in production and a retailer who faces stochastic demands formed by homogeneous strategic customers. We investigate the optimal production, pricing, carbon trading, and green technology investment strategies of the low carbon supply chain in centralized (including Rational Expected Equilibrium scenario and quantity commitment scenario and decentralized settings. It is demonstrated that quantity commitment strategy can improve the profit of the low carbon supply chain with strategic customer behavior. We also show that the performance of decentralized supply chain is lower than that of quantity commitment scenario. We prove that the low carbon supply chain cannot be coordinated by revenue sharing contract but by revenue sharing-cost sharing contract.

  20. Optimal Responsible Investment

    Jessen, Pernille

    Numerous institutions are now engaged in Socially Responsible Investment or have signed the "UN Principles for Responsible Investment". Retail investors, however, are still lacking behind. This is peculiar since the sector constitutes key stakeholders in environmental, social and governmental...... standards. This paper considers optimal responsible investment for a small retail investor. It extends conventional portfolio theory by allowing for a personal-value based investment decision. Preferences for responsibility are defined in the framework of mean-variance analysis and an optimal responsible...... investment model identified. Implications of the altered investment problem are investigated when the dynamics between portfolio risk, expected return and responsibility is considered. Relying on the definition of a responsible investor, it is shown how superior investment opportunities can emerge when...

  1. Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts

    De-Lei Sheng

    2014-01-01

    Full Text Available Defined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”. Under the Heston’s stochastic volatility model, this paper focuses on mean-variance insurers with the return of premiums clauses to study the optimal time-consistent investment strategy for the DC pension merged with an annuity contract. Both accumulation phase before retirement and distribution phase after retirement are studied. In the time-consistent framework, the extended Hamilton-Jacobi-Bellman equations associated with the optimization problem are established. Applying stochastic optimal control technique, the time-consistent explicit solutions of the optimal strategies and the efficient frontiers are obtained. In addition, numerical analysis illustrates our results and also deepens our knowledge or understanding of the research results.

  2. Using genetic algorithms to determine near-optimal pricing, investment and operating strategies in the electric power industry

    Wu, Dongjun

    Network industries have technologies characterized by a spatial hierarchy, the "network," with capital-intensive interconnections and time-dependent, capacity-limited flows of products and services through the network to customers. This dissertation studies service pricing, investment and business operating strategies for the electric power network. First-best solutions for a variety of pricing and investment problems have been studied. The evaluation of genetic algorithms (GA, which are methods based on the idea of natural evolution) as a primary means of solving complicated network problems, both w.r.t. pricing: as well as w.r.t. investment and other operating decisions, has been conducted. New constraint-handling techniques in GAs have been studied and tested. The actual application of such constraint-handling techniques in solving practical non-linear optimization problems has been tested on several complex network design problems with encouraging initial results. Genetic algorithms provide solutions that are feasible and close to optimal when the optimal solution is know; in some instances, the near-optimal solutions for small problems by the proposed GA approach can only be tested by pushing the limits of currently available non-linear optimization software. The performance is far better than several commercially available GA programs, which are generally inadequate in solving any of the problems studied in this dissertation, primarily because of their poor handling of constraints. Genetic algorithms, if carefully designed, seem very promising in solving difficult problems which are intractable by traditional analytic methods.

  3. Optimal investment horizons

    Simonsen, I.; Jensen, M. H.; Johansen, A.

    2002-06-01

    In stochastic finance, one traditionally considers the return as a competitive measure of an asset, i.e., the profit generated by that asset after some fixed time span Δt, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established that the distribution of returns exhibits ``fat tails'' indicating that large returns occur more frequently than what is expected from standard Gaussian stochastic processes [1-3]. Instead of estimating this ``fat tail'' distribution of returns, we propose here an alternative approach, which is outlined by addressing the following question: What is the smallest time interval needed for an asset to cross a fixed return level of say 10%? For a particular asset, we refer to this time as the investment horizon and the corresponding distribution as the investment horizon distribution. This latter distribution complements that of returns and provides new and possibly crucial information for portfolio design and risk-management, as well as for pricing of more exotic options. By considering historical financial data, exemplified by the Dow Jones Industrial Average, we obtain a novel set of probability distributions for the investment horizons which can be used to estimate the optimal investment horizon for a stock or a future contract.

  4. Optimal Regulation of Lumpy Investments

    Zwart, G.; Broer, D.P.

    2012-01-01

    When a monopolist has discretion over the timing of infrastructure investments, regulation of post-investment prices interferes with incentivizing socially optimal investment timing. In a model of regulated lumpy investment under uncertainty, we study regulation when the regulator can condition

  5. Essays on optimal hedging and investment strategies and on derivative pricing

    van den Goorbergh, R.W.J.

    2004-01-01

    This dissertation encompasses four essays on various topics within the field of finance. Chapter 1 presents an overview of the contributions of each essay. Chapter 2, titled Risk Aversion, Price Uncertainty, and Irreversible Investments, extends the theory of irreversible investment under

  6. Credit Rating via Dynamic Slack-Based Measure And It´s Optimal Investment Strategy

    A. Delavarkhalafi

    2015-01-01

    Full Text Available In this paper we check the credit rating of firms applied for a loan. In this regard we introduce a model, named Dynamic Slack-Based Measure (DSBM for measuring credit rating of applicant companies. Selection of financial ratios that represent the financial state of a company -in the best possible way- is one of the most challenging parts of any credit rating analysis. At first, ranking needs to identify the appropriate variables. Therefore we introduce five financial variables to provide a ranking. As noted above, we assess the performance of these firms. Then we introduce the dynamic model of SBM and theorems, also we discuss the overall structure of DSBM. Then we will present the implementation and the simulation model. After that, we propose a stochastic controlled dynamic system model to express the optimal strategy. Banks expect companies selected with DSBM model, act in accordance with this strategy. This stochastic dynamic system is originated from the balance sheets of firms applying for a loan. Finally we evaluate the performance of the system and strategy problem.

  7. Analysis of stage-investing strategy in equity financing market

    XUN Minghui

    2007-01-01

    Stage-investing strategy is a primary measure to mitigate asymmetric information during equity investment. This paper attempts to investigate the problem faced by equity investors wishing to make optimal investment decision under stage-investing strategy.A serial investment-decision making model will be designed to help investors to take the best choice.

  8. Optimal Investment in Structured Bonds

    Jessen, Pernille; Jørgensen, Peter Løchte

    The paper examines the role of structured bonds in the optimal portfolio of a small retail investor. We consider the typical structured bond essentially repacking an exotic option and a zero coupon bond, i.e. an investment with portfolio insurance. The optimal portfolio is found when the investment...

  9. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model

    Lidong Zhang

    2014-01-01

    Full Text Available We are concerned with optimal investment strategy for a dual risk model. We assume that the company can invest into a risk-free asset and a risky asset. Short-selling and borrowing money are allowed. Due to lack of iterated-expectation property, the Bellman Optimization Principle does not hold. Thus we investigate the precommitted strategy and time-consistent strategy, respectively. We take three steps to derive the precommitted investment strategy. Furthermore, the time-consistent investment strategy is also obtained by solving the extended Hamilton-Jacobi-Bellman equations. We compare the precommitted strategy with time-consistent strategy and find that these different strategies have different advantages: the former can make value function maximized at the original time t=0 and the latter strategy is time-consistent for the whole time horizon. Finally, numerical analysis is presented for our results.

  10. Optimal Cost Avoidance Investment and Pricing Strategies for Performance-Based Post-Production Service Contracts

    2011-04-30

    a BS degree in Mathematics and an MS degree in Statistics and Financial and Actuarial Mathematics from Kiev National Taras Shevchenko University...degrees from Rutgers University in Industrial Engineering (PhD and MS) and Statistics (MS) and from Universidad Nacional Autonoma de Mexico in Actuarial ...Science. His research efforts focus on developing mathematical models for the analysis, computation, and optimization of system performance with

  11. Some topics in mathematical finance: Asian basket option pricing, Optimal investment strategies

    Diallo, Ibrahima

    2010-01-01

    This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates.In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach f...

  12. Effects of tax depreciation on optimal firm investments

    Wielhouwer, J.L.; Kort, P.M.; De Waegenaere, A.M.B.

    1999-01-01

    This paper studies how the difference between technical depreciation and tax depreciation affects the firm's optimal investment strategy. The objective is maximization of shareholder value. When tax depreciation differs from technical depreciation, an additional investment not only generates value

  13. Optimal security investments and extreme risk.

    Mohtadi, Hamid; Agiwal, Swati

    2012-08-01

    In the aftermath of 9/11, concern over security increased dramatically in both the public and the private sector. Yet, no clear algorithm exists to inform firms on the amount and the timing of security investments to mitigate the impact of catastrophic risks. The goal of this article is to devise an optimum investment strategy for firms to mitigate exposure to catastrophic risks, focusing on how much to invest and when to invest. The latter question addresses the issue of whether postponing a risk mitigating decision is an optimal strategy or not. Accordingly, we develop and estimate both a one-period model and a multiperiod model within the framework of extreme value theory (EVT). We calibrate these models using probability measures for catastrophic terrorism risks associated with attacks on the food sector. We then compare our findings with the purchase of catastrophic risk insurance. © 2012 Society for Risk Analysis.

  14. Dispositional optimism and stock investments

    Angelini, Viola; Cavapozzi, D.

    This paper analyzes the relationship between dispositional optimism and stock investments, controlling for cognitive skills and personality traits such as trust, social interactions and risk aversion. We use data from the Survey of Health, Ageing and Retirement in Europe (SHARE) on investors aged

  15. Optimal lag in dynamical investments

    Serva, M.

    1998-01-01

    A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of optimal-growth investment formulated by Kelly. In presence of transaction costs, the optimal composition changes and, more important, it turns out that the frequency of transactions must be reduced. This simple observation leads to the definition of an optimal lag...

  16. Low-beta investment strategies

    Korn, Olaf; Kuntz, Laura-Chloé

    2015-01-01

    This paper investigates investment strategies that exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the investment portfolio. Our empirical results for US large-cap stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. W...

  17. The error of fixed strategies in IT innovation investment decisions

    Häckel, Björn; Isakovic, Vasko; Moser, Florian

    2013-01-01

    Allocating an IT Innovation budget to technologies in different maturity stages (mature vs. fashionable IT innovations) is a demanding task for companies. Due to the dynamic innovation cycles with new emerging technologies, many IT innovation investment decisions follow a bandwagon behavior or fixed investment strategies. Instead of optimizing the IT innovation budget’s allocation to mature or fashionable IT innovations and following a mindful investment strategy, fixed strategies with naïve ...

  18. Investment under uncertainty : Timing and capacity optimization

    Wen, Xingang

    2017-01-01

    This thesis consists of three chapters on analyzing the optimal investment timing and investment capacity for the firm(s) undertaking irreversible investment in an uncertain environment. Chapter 2 studies the investment decision of a monopoly firm when it can adjust output quantity in a market with

  19. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion

    Lidong Zhang

    2014-01-01

    Full Text Available We mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively. A lagrange method is proposed to derive the precommitted investment strategy. Meanwhile from the game theoretical perspective, we find the time-consistent investment strategy by solving the extended Hamilton-Jacobi-Bellman equations. By comparing the precommitted strategy with the time-consistent strategy, we find that the company under the time-consistent strategy has to give up the better current utility in order to keep a consistent satisfaction over the whole time horizon. Furthermore, we theoretically and numerically provide the effect of the parameters on these two optimal strategies and the corresponding value functions.

  20. Investment Strategy and Efficiency of Investment Activity of European Insurers

    Zhabynets Olga Yo.

    2014-02-01

    Full Text Available The article studies investment strategy and efficiency of investment activity of European insurance companies. In particular, it analyses the share of investments of insurance companies of Europe in GDP, investment portfolio of European insurers and its structure, contribution of insurance companies – leaders of investment activity – into the European investment portfolio. It studies influence of the financial crisis upon investment strategy of European insurers and analyses efficiency of investment activity of European insurers in risk insurance and life insurance. The article proves that investment business models of insurance companies are capable of resisting crisis phenomena more efficiently than other financial institutions. It marks out that measures of insurance companies that are directed at increase of profitability of investments require from them both significant expenditures on creation of the system of investment risk management and open access to different categories of financial assets and markets, which influences the general risk level, taken upon by an insurance company. The author draws a conclusion that, taking into account recent developments, European insurers should focus on equity and investment risk management, finding new possibilities for their (investments growth and also adaptation of new systems and operations for solution of these important tasks.

  1. Optimal Priority Structure, Capital Structure, and Investment

    Dirk Hackbarth; David C. Mauer

    2012-01-01

    We study the interaction between financing and investment decisions in a dynamic model, where the firm has multiple debt issues and equityholders choose the timing of investment. Jointly optimal capital and priority structures can virtually eliminate investment distortions because debt priority serves as a dynamically optimal contract. Examining the relative efficiency of priority rules observed in practice, we develop several predictions about how firms adjust their priority structure in res...

  2. Deterministic mean-variance-optimal consumption and investment

    Christiansen, Marcus; Steffensen, Mogens

    2013-01-01

    In dynamic optimal consumption–investment problems one typically aims to find an optimal control from the set of adapted processes. This is also the natural starting point in case of a mean-variance objective. In contrast, we solve the optimization problem with the special feature that the consum......In dynamic optimal consumption–investment problems one typically aims to find an optimal control from the set of adapted processes. This is also the natural starting point in case of a mean-variance objective. In contrast, we solve the optimization problem with the special feature...... that the consumption rate and the investment proportion are constrained to be deterministic processes. As a result we get rid of a series of unwanted features of the stochastic solution including diffusive consumption, satisfaction points and consistency problems. Deterministic strategies typically appear in unit......-linked life insurance contracts, where the life-cycle investment strategy is age dependent but wealth independent. We explain how optimal deterministic strategies can be found numerically and present an example from life insurance where we compare the optimal solution with suboptimal deterministic strategies...

  3. Optimal Investment in Structured Bonds

    Jessen, Pernille; Jørgensen, Peter Løchte

    2012-01-01

    of the article is to provide possible explanations for the puzzle of why small retail investors hold structured bonds. The investment universe consists of a stock index, a risk-free bank account, and a structured bond containing an option written on another index. We apply expected utility maximization...

  4. Optimal Strategy and Business Models

    Johnson, Peter; Foss, Nicolai Juul

    2016-01-01

    This study picks up on earlier suggestions that control theory may further the study of strategy. Strategy can be formally interpreted as an idealized path optimizing heterogeneous resource deployment to produce maximum financial gain. Using standard matrix methods to describe the firm Hamiltonia...... variable of firm path, suggesting in turn that the firm's business model is the codification of the application of investment resources used to control the strategic path of value realization....

  5. Optimization of Investment Planning Based on Game-Theoretic Approach

    Elena Vladimirovna Butsenko

    2018-03-01

    Full Text Available The game-theoretic approach has a vast potential in solving economic problems. On the other hand, the theory of games itself can be enriched by the studies of real problems of decision-making. Hence, this study is aimed at developing and testing the game-theoretic technique to optimize the management of investment planning. This technique enables to forecast the results and manage the processes of investment planning. The proposed method of optimizing the management of investment planning allows to choose the best development strategy of an enterprise. This technique uses the “game with nature” model, and the Wald criterion, the maximum criterion and the Hurwitz criterion as criteria. The article presents a new algorithm for constructing the proposed econometric method to optimize investment project management. This algorithm combines the methods of matrix games. Furthermore, I show the implementation of this technique in a block diagram. The algorithm includes the formation of initial data, the elements of the payment matrix, as well as the definition of maximin, maximal, compromise and optimal management strategies. The methodology is tested on the example of the passenger transportation enterprise of the Sverdlovsk Railway in Ekaterinburg. The application of the proposed methodology and the corresponding algorithm allowed to obtain an optimal price strategy for transporting passengers for one direction of traffic. This price strategy contributes to an increase in the company’s income with minimal risk from the launch of this direction. The obtained results and conclusions show the effectiveness of using the developed methodology for optimizing the management of investment processes in the enterprise. The results of the research can be used as a basis for the development of an appropriate tool and applied by any economic entity in its investment activities.

  6. Optimal Investment Control of Macroeconomic Systems

    ZHAO Ke-jie; LIU Chuan-zhe

    2006-01-01

    Economic growth is always accompanied by economic fluctuation. The target of macroeconomic control is to keep a basic balance of economic growth, accelerate the optimization of economic structures and to lead a rapid, sustainable and healthy development of national economies, in order to propel society forward. In order to realize the above goal, investment control must be regarded as the most important policy for economic stability. Readjustment and control of investment includes not only control of aggregate investment, but also structural control which depends on economic-technology relationships between various industries of a national economy. On the basis of the theory of a generalized system, an optimal investment control model for government has been developed. In order to provide a scientific basis for government to formulate a macroeconomic control policy, the model investigates the balance of total supply and aggregate demand through an adjustment in investment decisions realizes a sustainable and stable growth of the national economy. The optimal investment decision function proposed by this study has a unique and specific expression, high regulating precision and computable characteristics.

  7. Capital investment strategies in health care systems.

    Reiter, K L; Smith, D G; Wheeler, J R; Rivenson, H L

    2000-01-01

    Capital investment decisions are among the most important decisions made by firms. They determine the firm's capacity for providing services and commit the firm's cash for an extended period of time. Interviews with chief financial officers of leading health care systems reveal capital investment strategies that generally follow the recommendations of modern finance theory. Still, there is substantial variation in capital budgeting techniques, methods of risk adjustment, and the importance of qualitative considerations in investment decision making. There is also variation in delegation of investment decision making to operating units and methods of performance evaluation. Health care systems face the same challenges as other organizations in developing and implementing capital investment strategies that use consistent methods for evaluation of projects that have inconsistent aims and outcomes.

  8. The Heterogeneous Investment Horizon and Dynamic Strategies for Asset Allocation

    Xiong, Heping; Xu, Yiheng; Xiao, Yi

    This paper discusses the influence of the portfolio rebalancing strategy on the efficiency of long-term investment portfolios under the assumption of independent stationary distribution of returns. By comparing the efficient sets of the stochastic rebalancing strategy, the simple rebalancing strategy and the buy-and-hold strategy with specific data examples, we find that the stochastic rebalancing strategy is optimal, while the simple rebalancing strategy is of the lowest efficiency. In addition, the simple rebalancing strategy lowers the efficiency of the portfolio instead of improving it.

  9. R and D investment strategy for climate change

    Blanford, Geoffrey J.

    2009-01-01

    The economic costs of stabilizing greenhouse gas concentrations over the coming century depend critically on the development of new technologies in the energy sector. Our research and development (R and D) investment strategy is the control variable for technology availability. This paper proposes an analytic framework for determining optimal R and D investment allocation and presents some numerical results to demonstrate the implementation of the methodology. The value of technological advance in three targeted areas-fossil-based generation, renewables, and carbon capture and storage-is represented by the increase in expected welfare in the presence of an emissions policy constraint of initially uncertain stringency. R and D expenditure increases the probability of advance. Optimal investment is determined by its relationship with success probability, which is assumed to exhibit decreasing returns to scale, relative to the value of success. While the numerical results are speculative, the paper offers insights into the nature of an optimal technology strategy for addressing climate change. (author)

  10. Optimal diversity in investments with recombinant innovation

    Zeppini, P.; van den Bergh, J.C.J.M.

    2013-01-01

    The notion of dynamic, endogenous diversity and its role in theories of investment and technological innovation is addressed. We develop a formal model of an innovation arising from the combination of two existing modules, with the objective to optimize the net benefits of diversity. The model takes

  11. Optimal diversity in investments with recombinant innovation

    Zeppini-Rossi, P.; van den Bergh, J.C.J.M.

    2008-01-01

    The notion of dynamic, endogenous diversity and its role in theories of investment and technological innovation is addressed. We develop a formal model of an innovation arising from the combination of two existing modules with the objective to optimize the net benefits of diversity. The model takes

  12. Dynamic Investment Strategies and Leadership in Product Innovation

    Dawid, H.; Keoula, M.Y.; Kopel, M.; Kort, Peter

    2017-01-01

    We employ a dynamic market model with endogenous creation of submarkets to study the optimal product innovation strategies of incumbent firms. Firms invest in production capacity and R&D knowledge stock, where the latter determines the hazard rate of innovation. We find that under Markov Perfect

  13. An Analysis of a Free Cashflow Portfolio Investment Strategy ...

    An Analysis of a Free Cashflow Portfolio Investment Strategy. ... African Journal of Finance and Management ... risks that are less than one, so without additional risk, the investment strategy yields higher returns than an international investment ...

  14. Optimization of investments in gas networks

    Andre, J.

    2010-09-01

    The natural gas networks require very important investments to cope with a still growing demand and to satisfy the new regulatory constraints. The gas market deregulation imposed to the gas network operators, first, transparency rules of a natural monopoly to justify their costs and ultimately their tariffs, and, second, market fluidity objectives in order to facilitate access for competition to the end-users. These major investments are the main reasons for the use of optimization techniques aiming at reducing the costs. Due to the discrete choices (investment location, limited choice of additional capacities, timing) crossed with physical non linear constraints (flow/pressures relations in the pipe or operating ranges of compressors), the programs to solve are Large Mixed Non Linear Programs (MINLP). As these types of programs are known to be hard to solve exactly in polynomial times (NP-hard), advanced optimization methods have to be implemented to obtain realistic results. The objectives of this thesis are threefold. First, one states several investment problems modeling of natural gas networks from industrial world motivations. Second, one identifies the most suitable methods and algorithms to the formulated problems. Third, one exposes the main advantages and drawbacks of these methods with the help of numerical applications on real cases. (author)

  15. The Optimal Nash Equilibrium Strategies Under Competition

    孟力; 王崇喜; 汪定伟; 张爱玲

    2004-01-01

    This paper presented a game theoretic model to study the competition for a single investment oppertunity under uncertainty. It models the hazard rate of investment as a function of competitors' trigger level. Under uncertainty and different information structure, the option and game theory was applied to researching the optimal Nash equilibrium strategies of one or more firm. By means of Matlab software, the paper simulates a real estate developing project example and illustrates how parameter affects investment strategies. The paper's work will contribute to the present investment practice in China.

  16. Capital optimization: linking investment with strategic intent.

    Fine, Allan; Bacchetti, J Alex

    2004-01-01

    With operating margins showing some improvement in 2003, Y2K being a distant memory, and many critical capital investment decisions delayed as long as possible, hospitals have been on a relative spending spree, building new facilities, renovating operating rooms and inpatient units, and investing in new medical and information technologies. However, with pressure on both cost and revenue expected to continue, if not increase, this spending spree may be short-lived, and hospitals must improve their capital planning efforts; align them with their mission, vision, and strategies; and ensure that capital is available when unplanned or even expected needs arise. This article explores some of the challenges that hospitals face in their capital planning efforts and, more importantly, suggests the necessity for hospitals to integrate capital and strategic planning. Capital planning must be driven by an organization's strategies; however, we also argue that an organization's ability to execute its strategies is highly dependent on the existence of a cohesive capital prioritization and planning process. In this article, we explore a number of issues critical to developing a comprehensive capital plan, including estimating capital costs, evaluating and designing strategies to contend with risk, saving for the proverbial "rainy day," and recognizing the role and value of philanthropy, while challenging some conventional thinking of hospital executives with respect to investment, growth, and planning.

  17. Optimizing power system investments and resilience against attacks

    Fang, Yiping; Sansavini, Giovanni

    2017-01-01

    This paper studies the combination of capacity expansion and switch installation in electric systems that ensures optimum performance under nominal operations and attacks. The planner–attacker–defender model is adopted to develop decisions that minimize investment and operating costs, and functionality loss after attacks. The model bridges long-term system planning for transmission expansion and short-term switching operations in reaction to attacks. The mixed-integer optimization is solved by decomposition via two-layer cutting plane algorithm. Numerical results on an IEEE system shows that small investments in transmission line switching enhance resilience by responding to disruptions via system reconfiguration. Sensitivity analyses show that transmission planning under the assumption of small-scale attacks provides the most robust strategy, i.e. the minimum-regret planning, if many constraints and limited investment budget affect the planning. On the other hand, the assumption of large-scale attacks provides the most robust strategy if the planning process involves large flexibility and budget. - Highlights: • Investment optimization in power systems under attacks is presented. • Capacity expansion and switch installation for system reconfiguration are combined. • The problem is solved by decomposition via two-layer cutting plane algorithm. • Small investments in switch installation enhance resilience by response to attacks. • Sensitivity analyses identify robust planning against different attack scenarios.

  18. A Diversified Investment Strategy Using Autonomous Agents

    Barbosa, Rui Pedro; Belo, Orlando

    In a previously published article, we presented an architecture for implementing agents with the ability to trade autonomously in the Forex market. At the core of this architecture is an ensemble of classification and regression models that is used to predict the direction of the price of a currency pair. In this paper, we will describe a diversified investment strategy consisting of five agents which were implemented using that architecture. By simulating trades with 18 months of out-of-sample data, we will demonstrate that data mining models can produce profitable predictions, and that the trading risk can be diminished through investment diversification.

  19. Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints

    Shinzato, Takashi

    2017-02-01

    In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the investment concentration constraint (as well as the budget constraint), it is intuitive that the minimal investment risk for the problem with an investment concentration constraint can be larger than that without the constraint (that is, with only the budget constraint). Moreover, a numerical experiment shows the effectiveness of our proposed analysis. In contrast, the standard operations research approach failed to identify accurately the minimal investment risk of the portfolio optimization problem.

  20. How to integrate Investment strategies and Finance strategies. Case: Messukeskus

    Kolodiy, Oleg

    2013-01-01

    This Bachelor’s thesis examines an integration process of strategic planning, where an investment strategy is defined with financial planning in order to ensure long-term company success. The primary objective of the study is to determine present and emerging instruments available for a case company to finance their investments activities. The thesis consists of a theory section and an empirical section that deals with the commissioning party, a cooperative by form. The theory sectio...

  1. VALUE-ADDED SERVICE INVESTING AND PRICING STRATEGIES FOR A TWO-SIDED PLATFORM UNDER INVESTING RESOURCE CONSTRAINT

    Guowei Dou; Ping He

    2017-01-01

    Investing on value-added service (VAS) amplifies users' participation and platform profit.However,the investing resource is usually limited in practice.This paper investigates VAS investing and pricing strategies for a two-sided platform under investing resource constraint.We reveal that with VAS investment,Subsidizing can still be done to enlarge users' demand,even when the investing cost becomes higher.For optimal pricing strategies,the network effect will be the dominating determinant if the gap between two marginal cross-side benefits (i.e.the benefit that users obtain when each new user join the other side of the platform) is large.Interestingly,we show that with the increase of the marginal investing cost,users might either be priced higher or lower.If the marginal investing cost increases to a high level,and the gap between the two marginal cross-side benefits is large,lowering the access fee for users possessing the higher cross-side network effect does not necessarily compensate more profit loss caused by higher cost.Moreover,after VAS is developed,raising the access fee for those whose marginal investing benefit is large does not necessarily generate more profit as well.The opposite strategy further enlarges users' utility,and promotes the investment to benefit more users.

  2. GREEN INVESTMENT: A STRATEGY FOR SUSTAINABLE ECONOMIC GROWTH AND INVESTMENT

    Jaya Shukla

    2014-01-01

    Full Text Available Sustainable economic development has become an important area of concern due to climatic change with its long term effects. Climatic change has posed several challenges for economic sustainability of economies. Now major development projects have to comply with international environmental norms. Failure to do so may result in the delay of a project, fines including penalties for environmental damage or charges for remedial action, that affect the viability of a project or the value of any security taken. This paper investigates with help of secondary date using descriptive statistical technique opportunities and challenges of green investment. Here it is developed into suitable model for developing economies for successfully adopting green investment without much cost to their economies. The paper concludes that green investment involving direct investment and portfolio investment in firms adopting and following environmental protection norms will lead to sustainable growth and investment for economy.

  3. Optimum investment strategy in the power industry mathematical models

    Bartnik, Ryszard; Hnydiuk-Stefan, Anna

    2016-01-01

    This book presents an innovative methodology for identifying optimum investment strategies in the power industry. To do so, it examines results including, among others, the impact of oxy-fuel technology on CO2 emissions prices, and the specific cost of electricity production. The technical and economic analysis presented here extend the available knowledge in the field of investment optimization in energy engineering, while also enabling investors to make decisions involving its application. Individual chapters explore the potential impacts of different factors like environmental charges on costs connected with investments in the power sector, as well as discussing the available technologies for heat and power generation. The book offers a valuable resource for researchers, market analysts, decision makers, power engineers and students alike.

  4. Port Investment Strategies under Uncertainty: The Case of a Southeast Asian Multipurpose Port1

    Ioannis N. Lagoudis

    2014-12-01

    The methodology has been applied on the expansion evaluation of warehousing facilities in a multipurpose port. For the evaluation of the alternatives, the expected net present value (ENPV is based on earnings before interest, tax, depreciation and amortization (EBITDA. Results show that the investment strategy for a new 4-level warehouse with a flexible option was the optimal choice when compared with strategies of similar scale. However, depending on the emphasis placed on the various investment metrics the optimal investment strategy seems to be closer to a non-flexible 5-level warehouse.

  5. Optimal Investment in Age-Structured Goodwill

    Silvia Faggian; Luca Grosset

    2012-01-01

    Segmentation is a core strategy in modern marketing, and age-specific segmentation based on the age of the consumers is very common in practice. Age-specific segmentation enables the change of the segments composition during time and can be studied only by means of dynamic advertising models. Here we assume that a firm wants to optimally promote and sell a single product in an age-segmented market and we model the awareness of this product using an infinite dimensional Nerlove-Arrow goodwill ...

  6. Information Technology Investment Strategy Planning: Balance Scorecard Approach

    Henny Hendarti

    2011-05-01

    Full Text Available Purpose of this research are to prepare the IT investment strategy using Balanced Scorecard approach in the company where the appropriate planning of this IT investment strategy can maximize the competitive benefit in the company, and it also to recommended a strategy of IT investment that can be implemented and measure the rate of return from the IT investment in the company. Research Method used book studies, field studies, and analysis system. Book studies from the books and journal. Field studies done by observation, interview, and questioner, and analysis system done by analyzed the ongoing system in the company. The result from this analysis is a recommendation in investment IT such as sales module, payment module, and report module. Then for the conclusion, this information technology investment planning can be develop to another investment implementation such authorized website of the company and using PDA (Personal Digital AssistantIndex Terms - Planning, Information Technology, Investment, Balance Scorecard

  7. Czech OFDI: investment strategies and motivation to invest abroad

    Zemplinerová, Alena

    2012-01-01

    Roč. 50, č. 2 (2012), s. 22-40 ISSN 0012-8775 R&D Projects: GA MŠk(CZ) OC10062; GA ČR(CZ) GAP402/11/2362 Institutional research plan: CEZ:AV0Z70850503 Keywords : outward foreign direct investment * geographical and sectoral structures * company case studies Subject RIV: AH - Economics Impact factor: 0.211, year: 2012

  8. Optimal GENCO bidding strategy

    Gao, Feng

    Electricity industries worldwide are undergoing a period of profound upheaval. The conventional vertically integrated mechanism is being replaced by a competitive market environment. Generation companies have incentives to apply novel technologies to lower production costs, for example: Combined Cycle units. Economic dispatch with Combined Cycle units becomes a non-convex optimization problem, which is difficult if not impossible to solve by conventional methods. Several techniques are proposed here: Mixed Integer Linear Programming, a hybrid method, as well as Evolutionary Algorithms. Evolutionary Algorithms share a common mechanism, stochastic searching per generation. The stochastic property makes evolutionary algorithms robust and adaptive enough to solve a non-convex optimization problem. This research implements GA, EP, and PS algorithms for economic dispatch with Combined Cycle units, and makes a comparison with classical Mixed Integer Linear Programming. The electricity market equilibrium model not only helps Independent System Operator/Regulator analyze market performance and market power, but also provides Market Participants the ability to build optimal bidding strategies based on Microeconomics analysis. Supply Function Equilibrium (SFE) is attractive compared to traditional models. This research identifies a proper SFE model, which can be applied to a multiple period situation. The equilibrium condition using discrete time optimal control is then developed for fuel resource constraints. Finally, the research discusses the issues of multiple equilibria and mixed strategies, which are caused by the transmission network. Additionally, an advantage of the proposed model for merchant transmission planning is discussed. A market simulator is a valuable training and evaluation tool to assist sellers, buyers, and regulators to understand market performance and make better decisions. A traditional optimization model may not be enough to consider the distributed

  9. Optimal intermittent search strategies

    Rojo, F; Budde, C E; Wio, H S

    2009-01-01

    We study the search kinetics of a single fixed target by a set of searchers performing an intermittent random walk, jumping between different internal states. Exploiting concepts of multi-state and continuous-time random walks we have calculated the survival probability of a target up to time t, and have 'optimized' (minimized) it with regard to the transition probability among internal states. Our model shows that intermittent strategies always improve target detection, even for simple diffusion states of motion

  10. Quantitative investment strategies and portfolio management

    Guo, J.

    2012-01-01

    This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment

  11. On the Payoff Valuations of Investment Strategies: A Case of ...

    We also determine among the companies, which of them yield the highest returns at time t. We find that investors may not invest in some of the companies as a result of poor performance that arises from the high risk involve in the investments. Keywords: Payoff valuation; Investment strategy; Stock price; Stochastic.

  12. Optimizing investment fund allocation using vehicle routing problem framework

    Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah Rozita

    2014-07-01

    The objective of investment is to maximize total returns or minimize total risks. To determine the optimum order of investment, vehicle routing problem method is used. The method which is widely used in the field of resource distribution shares almost similar characteristics with the problem of investment fund allocation. In this paper we describe and elucidate the concept of using vehicle routing problem framework in optimizing the allocation of investment fund. To better illustrate these similarities, sectorial data from FTSE Bursa Malaysia is used. Results show that different values of utility for risk-averse investors generate the same investment routes.

  13. Optimal Time to Invest Energy Storage System under Uncertainty Conditions

    Yongma Moon

    2014-04-01

    Full Text Available This paper proposes a model to determine the optimal investment time for energy storage systems (ESSs in a price arbitrage trade application under conditions of uncertainty over future profits. The adoption of ESSs can generate profits from price arbitrage trade, which are uncertain because the future marginal prices of electricity will change depending on supply and demand. In addition, since the investment is optional, an investor can delay adopting an ESS until it becomes profitable, and can decide the optimal time. Thus, when we evaluate this investment, we need to incorporate the investor’s option which is not captured by traditional evaluation methods. In order to incorporate these aspects, we applied real option theory to our proposed model, which provides an optimal investment threshold. Our results concerning the optimal time to invest show that if future profits that are expected to be obtained from arbitrage trade become more uncertain, an investor needs to wait longer to invest. Also, improvement in efficiency of ESSs can reduce the uncertainty of arbitrage profit and, consequently, the reduced uncertainty enables earlier ESS investment, even for the same power capacity. Besides, when a higher rate of profits is expected and ESS costs are higher, an investor needs to wait longer. Also, by comparing a widely used net present value model to our real option model, we show that the net present value method underestimates the value for ESS investment and misleads the investor to make an investment earlier.

  14. Optimal fuel inventory strategies

    Caspary, P.J.; Hollibaugh, J.B.; Licklider, P.L.; Patel, K.P.

    1990-01-01

    In an effort to maintain their competitive edge, most utilities are reevaluating many of their conventional practices and policies in an effort to further minimize customer revenue requirements without sacrificing system reliability. Over the past several years, Illinois Power has been rethinking its traditional fuel inventory strategies, recognizing that coal supplies are competitive and plentiful and that carrying charges on inventory are expensive. To help the Company achieve one of its strategic corporate goals, an optimal fuel inventory study was performed for its five major coal-fired generating stations. The purpose of this paper is to briefly describe Illinois Power's system and past practices concerning coal inventories, highlight the analytical process behind the optimal fuel inventory study, and discuss some of the recent experiences affecting coal deliveries and economic dispatch

  15. Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case

    Zongyuan Huang

    2013-01-01

    Full Text Available We present the model of corporate optimal investment with consideration of the influence of inflation and the difference between the market opening and market closure. In our model, the investor has three market activities of his or her choice: investment in project A, investment in project B, and consumption. The optimal strategy for the investor is obtained using the Hamilton-Jacobi-Bellman equation which is derived using the dynamic programming principle. Further along, a specific case, the Hyperbolic Absolute Risk Aversion case, is discussed in detail, where the explicit optimal strategy can be obtained using a very simple and direct method. At the very end, we present some simulation results along with a brief analysis of the relationship between the optimal strategy and other factors.

  16. Optimal intermittent search strategies

    Rojo, F; Budde, C E [FaMAF, Universidad Nacional de Cordoba, Ciudad Universitaria, X5000HUA Cordoba (Argentina); Wio, H S [Instituto de Fisica de Cantabria, Universidad de Cantabria and CSIC E-39005 Santander (Spain)

    2009-03-27

    We study the search kinetics of a single fixed target by a set of searchers performing an intermittent random walk, jumping between different internal states. Exploiting concepts of multi-state and continuous-time random walks we have calculated the survival probability of a target up to time t, and have 'optimized' (minimized) it with regard to the transition probability among internal states. Our model shows that intermittent strategies always improve target detection, even for simple diffusion states of motion.

  17. Considerations on Optimal Financial Invest ment into Infrastructural Facilities

    2002-01-01

    The enlargement of government's investment into infrastructural construction is both a help medicine curing economic contraction and an effective measure to accumulate long-term economic growth.. However, the investment by finance into infrastructure also has a problem of optimization and reasonable selection. In view of market economic requirements, the policy direction of financial investment into infrastructural industries must be doing something at the expense of some other things. In the process of the adjustment and optimization of economic structure, state financial investment into infrastructural facilities has to first of all solve the problem of delimitating the best fields and selecting trades. As to the infrastructure facilities producing and selling pure public products, the development must be made by financial investment;As to the production fields of subpublic products, finance should ensure reasonable investment; As to the infrastructural facilities of pure privite production, finance should completely, in principle, pull out and let market supply. On this basis, selections should be made on best capital soureces and investment ways. The capital sources should be mainly from tax and regulational income and direct investment may be made. As to the production fields of most subpublic production, the best capital sources are national debt income and indirect investment may be made. In addition, the optimization of financial investment into infrastructural facilities must reform the managerial system of infrastructural facilities and raise investment efficiency. Only by scientifically selecting and arranging the financing ways and managerial system in investment fields,can the maximum economic efficiency and social welfare results be realized in carrying out financial investment into infrastructural facilities.

  18. The investment strategy of commercial banks on the financial markets

    Ercegovac Dajana

    2012-01-01

    Full Text Available In contemporary market conditions classical deposit-loan strategy is not enough anymore in order to ensure survival of the commercial banks on the financial market and to reach profit that is high enough. Besides the loan placements strategy, it is necessary to adopt an adequate investment strategy which will contribute to the profitability, liquidity and safety of gross asset portfolio. Commercial banks, unlike investment banks, invest smaller part of their resources into securities of diverse maturity on financial markets. However, with the harsh competition of banks and other non-banking institutions, significance of investment portfolio grows as an alternative that ensures additional sources of revenue, assures liquidity, diversification of placements and decreases risk exposure. Banks have at their disposal vast range of investment strategies that can be combined depending on their investment objectives and risk aversion, such as passive and active strategy, strategy of ladder, weights strategy etc. Therefore, the aim of this paper is to present the significance of investment portfolio in commercial banks and the basic management strategies of investment portfolio that can be used by commercial banks.

  19. A model for optimization of process integration investments under uncertainty

    Svensson, Elin; Stroemberg, Ann-Brith; Patriksson, Michael

    2011-01-01

    The long-term economic outcome of energy-related industrial investment projects is difficult to evaluate because of uncertain energy market conditions. In this article, a general, multistage, stochastic programming model for the optimization of investments in process integration and industrial energy technologies is proposed. The problem is formulated as a mixed-binary linear programming model where uncertainties are modelled using a scenario-based approach. The objective is to maximize the expected net present value of the investments which enables heat savings and decreased energy imports or increased energy exports at an industrial plant. The proposed modelling approach enables a long-term planning of industrial, energy-related investments through the simultaneous optimization of immediate and later decisions. The stochastic programming approach is also suitable for modelling what is possibly complex process integration constraints. The general model formulation presented here is a suitable basis for more specialized case studies dealing with optimization of investments in energy efficiency. -- Highlights: → Stochastic programming approach to long-term planning of process integration investments. → Extensive mathematical model formulation. → Multi-stage investment decisions and scenario-based modelling of uncertain energy prices. → Results illustrate how investments made now affect later investment and operation opportunities. → Approach for evaluation of robustness with respect to variations in probability distribution.

  20. A framework for social investment strategies

    Kvist, Jon

    2015-01-01

    and multidimensional nature of social issues and social investments. Theoretically, this article establishes such a framework consisting of generational, life course and gender perspectives on social investments. The generational perspective brings out that social investments involve horizontal redistribution......, underpin the productive and reproductive social contract between generations, and the increased diversity within generations. The life course perspective demonstrates how social issues and social investments in one life stage depend on the situation in prior life stages and affect the situation in later...... life stages and, possibly, in multiple dimensions. The gender perspective shows how social investments can improve economic and social returns when gender and ageing over the life course are taken into consideration. Empirically, cross-national patterns indicate a positive relation between social...

  1. Optimization of the investment casting process

    M. Martinez-Hernandez

    2012-04-01

    Full Text Available Rapid prototyping is an important technique for manufacturing. This work refers to the manufacture of hollow patterns made of polymeric materials by rapid prototyping technologies for its use in the preparation of ceramic molds in the investment casting process. This work is focused on the development of a process for manufacturing patterns different from those that currently exist due to its hollow interior design, allowing its direct use in the fabrication of ceramic molds; avoiding cracking and fracture during the investment casting process, which is an important process for the foundry industry.

  2. Applications of polynomial optimization in financial risk investment

    Zeng, Meilan; Fu, Hongwei

    2017-09-01

    Recently, polynomial optimization has many important applications in optimization, financial economics and eigenvalues of tensor, etc. This paper studies the applications of polynomial optimization in financial risk investment. We consider the standard mean-variance risk measurement model and the mean-variance risk measurement model with transaction costs. We use Lasserre's hierarchy of semidefinite programming (SDP) relaxations to solve the specific cases. The results show that polynomial optimization is effective for some financial optimization problems.

  3. Optimization Research of Generation Investment Based on Linear Programming Model

    Wu, Juan; Ge, Xueqian

    Linear programming is an important branch of operational research and it is a mathematical method to assist the people to carry out scientific management. GAMS is an advanced simulation and optimization modeling language and it will combine a large number of complex mathematical programming, such as linear programming LP, nonlinear programming NLP, MIP and other mixed-integer programming with the system simulation. In this paper, based on the linear programming model, the optimized investment decision-making of generation is simulated and analyzed. At last, the optimal installed capacity of power plants and the final total cost are got, which provides the rational decision-making basis for optimized investments.

  4. Purchasing and inventory management techniques for optimizing inventory investment

    McFarlane, I.; Gehshan, T.

    1993-01-01

    In an effort to reduce operations and maintenance costs among nuclear plants, many utilities are taking a closer look at their inventory investment. Various approaches for inventory reduction have been used and discussed, but these approaches are often limited to an inventory management perspective. Interaction with purchasing and planning personnel to reduce inventory investment is a necessity in utility efforts to become more cost competitive. This paper addresses the activities that purchasing and inventory management personnel should conduct in an effort to optimize inventory investment while maintaining service-level goals. Other functions within a materials management organization, such as the warehousing and investment recovery functions, can contribute to optimizing inventory investment. However, these are not addressed in this paper because their contributions often come after inventory management and purchasing decisions have been made

  5. Structure Optimization of Safety Investment of Petrochemical Port Enterprises

    Zhiqiang Hou

    2017-01-01

    Full Text Available Safety investment is an essential guarantee to identify and manage potential security problems in petrochemical port enterprises. The reasonability of safety investment structure determines overall security risks in an enterprise. Based on the definition of risks, combining Cobb-Douglas production function with FTA probability model, and taking Gompertz curve model as the constraint condition, structure optimization model of safety investment is built in order to minimize risks and work out the safety investment structure of petrochemical port enterprises. According to the case study, the calculations indicate that safety investment in corporate management presents a larger growth rate than past years and that unsafe act of human being is the main factor accounting for the greatest probability of occurrence, which is consistent with previous accident investigation results as well as enterprise reality. This testifies that the model is effective and that the results can guide the allocation of safety investment of petrochemical port enterprises scientifically.

  6. Optimal investment with fixed refinancing costs

    Jason G. Cummins; Ingmar Nyman

    2001-01-01

    Case studies show that corporate managers seek financial independence to avoid interference by outside financiers. We incorporate this financial xenophobia as a fixed cost in a simple dynamic model of financing and investment. To avoid refinancing in the future, the firm alters its behavior depending on the extent of its financial xenophobia and the realization of a revenue shock. With a sufficiently adverse shock, the firm holds no liquidity. Otherwise, the firm precautionarily saves and hol...

  7. Optimal Investment by Financially Xenophobic Managers

    Jason G. Cummins; Ingmar Nyman

    2000-01-01

    Case studies show that corporate managers seek financial independence to avoid interference by outside financiers. We incorporate this financial xenophobia as a fixed cost in a simple dynamic model of financing and investment. To avoid refinancing in the future, the firm alters its behavior depending on the extent of its financial xenophobia and the realization of a revenue shock. With a sufficiently adverse shock, the firm holds no liquidity. Otherwise, the firm precautionarily saves and hol...

  8. MANAGING RISK BY COORDINATING INVESTMENT, MARKETING, AND PRODUCTION STRATEGIES

    Johnson, Donald A.; Boehlje, Michael

    1983-01-01

    This study of the farm firm integrates long run investment and financial decisions, and short-run production and marketing decisions into a single decision framework that includes both time and risk. The results suggest that the use of various strategies for managing market risks allow the entrepreneur to accept mores risk in investing and producing; and that an integrated analysis of production, marketing and investment-financing alternatives is essential to make accurate recommendations abo...

  9. Investment Strategy in an Inflationary Environment

    Zvi Bodie

    1981-01-01

    This paper addresses the issue of how an investor concerned about the real rate of return on his investment portfolio should allocate his funds among four major asset classes: stocks, bonds, bills and commodity futures contracts. It employs the Markowitz mean-variance framework to derive estimates of the pre-tax, real risk-return tradeoff curve currently facing an investor in the U.S. capital markets. Some of the major findings are: 1) Bills are the cornerstone of any low-risk investment stra...

  10. Applying risk management strategies to strengthen an IDS's investment policy.

    Fine, R P

    1998-11-01

    The increased financial risk that not-for-profit integrated delivery systems have assumed to function under managed care has required them to become increasingly reliant on income and gains from their investment portfolios. This reliance underscores the need for these organizations to take steps to effectively manage their investment risk. Not-for-profit IDSs should establish a systematic approach to investment risk management that is based on maintaining a sound fiduciary infrastructure and having a clear understanding of risk exposures, the most important of which are policy and market risk. Applying reasonable and common-sense risk management strategies to investment policy will enhance an IDS's overall financial and competitive strength.

  11. Supply Inventory Management: Defense Logistics Agency Aviation Investment Strategy Program

    2002-01-01

    The audit objective was to evaluate the effectiveness of the DLA investment strategy to improve supply support to aviation weapon systems by increasing the stockage levels of consumable repair parts...

  12. Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process

    Hanlei Hu

    2018-01-01

    Full Text Available The optimal reinsurance-investment strategies considering the interests of both the insurer and reinsurer are investigated. The surplus process is assumed to follow a jump-diffusion process and the insurer is permitted to purchase proportional reinsurance from the reinsurer. Applying dynamic programming approach and dual theory, the corresponding Hamilton-Jacobi-Bellman equations are derived and the optimal strategies for exponential utility function are obtained. In addition, several sensitivity analyses and numerical illustrations in the case with exponential claiming distributions are presented to analyze the effects of parameters about the optimal strategies.

  13. The Investment Strategy of With-Profits Life Insurance Firms

    Jaafar, Karim Chawki

    2008-01-01

    Abstract Within the context of an increasingly fragile life insurance industry, this paper conducts a quantitative investigation on the determinants of investment strategy within with profit life assurers in the UK, a dominant segment within the global industry. Examining a range of possible defining characteristics on investment strategy of such firms including size, financial strength (solvency), proprietary/mutual status, open/closed status and the level of guaranteed liabilities, th...

  14. Investing in CIS: obstacles and strategies

    Anon.

    1996-01-01

    The CIS (Community of Independent States) needs the help of foreign investments to develop its huge hydrocarbon potentialities. Because of the uncertainties concerning the legal and fiscal context of their activities, the role of the international oil companies has remained limited so far. These problems were discussed in May 1996 during an important ''General Session'' of the OTC 96 congress. Proven and explored onshore oil reserves in Russia are enormous, in particular in Western and Eastern Siberia. However, the economically most interesting resources are located in the offshore zones of the Barents, Pechora and Kara seas and of Eastern Siberia and Okhotsk. This paper describes the last years decay of oil production in CIS and its causes, in particular the obstacles to foreign investments (exportation and transport taxes), the recent contracts and joint-ventures with American major companies (Exxon, Amoco..), and the situation of the Russian industry in petroleum engineering and field exploitation materials. (J.S.)

  15. Financial optimization of investments in maritime structures

    Bischoff van Heemskerck, W.C.; Booy, N.

    1969-01-01

    The designing engineer often comes across the economic decision problem in which the "benefit" of a higher design criterion must be weighed against the "cost". Several methods have been developed to deal with this optimization problem; none of them, however, offer the possibility of introducing the

  16. Corporate Strategies in Global Investment Business

    Tetiana Frolova

    2012-02-01

    Full Text Available The article deals with topical issues of the development of corporate strategies for businesses. We proposed the classification and defined the ways to implement corporate strategies. We also analysed the current trends in the development of global corporate strategies mainly implemented through mergers and acquisitions.

  17. Optimizing investments in coupled offshore wind -electrolytic hydrogen storage systems in Denmark

    Hou, Peng; Enevoldsen, Peter; Eichman, Joshua

    2017-01-01

    , electrolyzers, and hydrogen fuel cells is explored. This research reveals the investment potential of coupling offshore wind farms with different hydrogen systems. The benefits in terms of a return on investment are demonstrated with data from the Danish electricity markets. This research also investigates......In response to electricity markets with growing levels of wind energy production and varying electricity prices, this research examines incentives for investments in integrated renewable energy power systems. A strategy for using optimization methods for a power system consisting of wind turbines...

  18. CHARACTERISTICS OF INVESTMENT PORTFOLIOS PASSIVE MANAGEMENT STRATEGY ON THE CAPITAL MARKET

    MIHAELA SUDACEVSCHI

    2013-05-01

    Full Text Available The strategies of investment portfolios management on the capital market involves a range of transactions with different financial securities, aimed at optimizing the results. On a developed and efficient capital market, with a high liquidity level, portfolio management primarly depends on investor’s targeted level of return and the risk profile of the investor. Passive strategy of investment portfolios management is applied especially by risk aversion investors, who are taking into account all existing risks in the capital market and seeking to preserve the value of investments, rather than increasing its value. This strategy presume that the investor has no information about the prices and the return of securities that would make him to give to his investment portfolio a different structure from the structure of capital market portfolio. Therefore, he will seek a return level equal to the return on the market portfolio, minimizing the portfolio risk up to eliminating the specific risk.

  19. Investing in the Future World Order: Geoeconomic Strategy and Foreign Direct Investment

    2017-06-01

    Geoeconomic Strategies and FDI Regulation Thus, what is of supreme importance in war is to attack the enemy’s strategy. Sun Tzu Sun Tzu’s infamous...106 BIBLIOGRAPHY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112...Investment, 262. 111 Bibliography “About Us | International Forum of Sovereign Wealth Funds.” Accessed May 21, 2017. http://www.ifswf.org

  20. Implementing optimal thinning strategies

    Kurt H. Riitters; J. Douglas Brodie

    1984-01-01

    Optimal thinning regimes for achieving several management objectives were derived from two stand-growth simulators by dynamic programming. Residual mean tree volumes were then plotted against stand density management diagrams. The results supported the use of density management diagrams for comparing, checking, and implementing the results of optimization analyses....

  1. Three Target Sectors for a European Investment Strategy

    Janin, Lionel; Douillard, Pierre

    2014-11-01

    While the president of the European Commission is getting ready to present the 'Juncker package' announced in July 2014, to revive activity in Europe through investment, what are the sectors in which these investments may be concentrated? The overall analysis of investment gaps in the euro zone has confirmed the requirement for a European macro-economic revival effort that involves investment, public or private, undertaken very quickly, even though this diagnosis varies depending on the country. The drivers of a European investment strategy are fiscal, regulatory and financial and are based on the selection of projects for the future. This third 'Note d'analyse' addresses the topic of investment potential in three key sectors: transport, energy and the digital sector, for which the amount of additional investment could reach euro 120 billion per year and thus, over three years, be higher than the forecasts in the Juncker plan. This maximalist amount mainly corresponds to the implementation of an ambitious energy-climate policy. Given current budgetary constraints, carefully selecting the desired investments, for which their social utility must be validated, is imperative: socioeconomic evaluation is the appropriate approach, particularly for taking into account the environmental externalities that now justify significant investments in the ecological transition. (authors)

  2. Optimal Investment Planning of Bulk Energy Storage Systems

    Dina Khastieva

    2018-02-01

    Full Text Available Many countries have the ambition to increase the share of renewable sources in electricity generation. However, continuously varying renewable sources, such as wind power or solar energy, require that the power system can manage the variability and uncertainty of the power generation. One solution to increase flexibility of the system is to use various forms of energy storage, which can provide flexibility to the system at different time ranges and smooth the effect of variability of the renewable generation. In this paper, we investigate three questions connected to investment planning of energy storage systems. First, how the existing flexibility in the system will affect the need for energy storage investments. Second, how presence of energy storage will affect renewable generation expansion and affect electricity prices. Third, who should be responsible for energy storage investments planning. This paper proposes to assess these questions through two different mathematical models. The first model is designed for centralized investment planning and the second model deals with a decentralized investment approach where a single independent profit maximizing utility is responsible for energy storage investments. The models have been applied in various case studies with different generation mixes and flexibility levels. The results show that energy storage system is beneficial for power system operation. However, additional regulation should be considered to achieve optimal investment and allocation of energy storage.

  3. Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty

    Xiangbo Meng

    2016-01-01

    Full Text Available In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the “worst-case” scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies.

  4. NASA ESTO Lidar Technologies Investment Strategy: 2016 Decadal Update

    Valinia, Azita; Komar, George J.; Tratt, David M.; Lotshaw, William T.; Gaab, Kevin M.

    2017-01-01

    The NASA Earth Science Technology Office (ESTO) recently updated its investment strategy in the area of lidar technologies as it pertains to NASA's Earth Science measurement goals in the next decade. The last ESTO lidar strategy was documented in 2006. The current (2016) report assesses the state-of-the-art in lidar technologies a decade later. Lidar technology maturation in the past decade has been evaluated, and the ESTO investment strategy is updated and laid out in this report according to current NASA Earth science measurement needs and new emerging technologies.

  5. Empirical analysis of investment strategies for institutional investors

    Swinkels, L.A.P.

    2003-01-01

    This thesis consists of three parts that examine several topics concerning institutional asset management. In Part I, investment strategies based on stock returns in previous months known as momentum strategies are investigated in more detail. More specifically, the driving forces behind these

  6. DEA investment strategy in the Brazilian stock market

    Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes

    2008-01-01

    This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

  7. Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon

    Ailing Gu

    2014-01-01

    state hits the barrier. The objective of the insurer is to maximize the expected discounted exponential utility of her terminal wealth. By dynamic programming approach and Feynman-Kac representation theorem, we derive the expressions for optimal value functions and optimal investment-reinsurance strategies in two special cases. Furthermore, an example is considered under the diffusion-approximation model, which shows some interesting results.

  8. Optimal investment and consumption when allowing terminal debt

    Chen, A.; Vellekoop, M.

    2017-01-01

    We analyze a dynamic optimization problem which involves the consumption and investment of an investor with constant relative risk aversion for consumption but with a risk aversion for final wealth which does not necessarily imply that terminal wealth must always be positive. We require risk

  9. Concepts of investment risks and strategies in electricity generation

    De Joode, J.; Boots, M.G.

    2005-06-01

    This report deals with the specific investment risks in electricity generation and discusses the problems associated with energy investments in general and focus on the additional or changing risks resulting from electricity market liberalisation. The focus is on (1) risks under the control of the electricity company, and on (2) market risks, such as the risk of price changes. Ultimately, some of the approaches and strategies that enable electricity producers to counter or mitigate these risks are discussed

  10. Contrarian Investment Strategies in a European Context

    Brouwer, I.; van der Put, J.; Veld, C.H.

    1996-01-01

    In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market

  11. Optimizing decommissioning strategies

    Passant, F.H.

    1993-01-01

    Many different approaches can be considered for achieving satisfactory decommissioning of nuclear installations. These can embrace several different engineering actions at several stages, with time variations between the stages. Multi-attribute analysis can be used to help in the decision making process and to establish the optimum strategy. It has been used in the Usa and the UK to help in selecting preferred sites for radioactive waste repositories, and also in UK to help with the choice of preferred sites for locating PWR stations, and in selecting optimum decommissioning strategies

  12. Pedagogical Strategies for Incorporating Behavioral Finance Concepts in Investment Courses

    Adams, Michael; Mullins, Terry; Thornton, Barry

    2007-01-01

    The traditional approach to teaching a course in investments is predicated upon the efficient market hypothesis, modern portfolio theory, and the assumption that decision-makers are rational, wealth optimizing entities. Recent developments in the arena of behavioral finance (BF) have raised questions about this approach. Although the idea of…

  13. Optimal coal import strategy

    Chen, C.Y.; Shih, L.H.

    1992-01-01

    Recently, the main power company in Taiwan has shifted the primary energy resource from oil to coal and tried to diversify the coal supply from various sources. The company wants to have the imported coal meet the environmental standards and operation requirements as well as to have high heating value. In order to achieve these objectives, establishment of a coal blending system for Taiwan is necessary. A mathematical model using mixed integer programming technique is used to model the import strategy and the blending system. 6 refs., 1 tab

  14. Optimal Housing, Consumption, and Investment Decisions over the Life Cycle

    Kraft, Holger; Munk, Claus

    2011-01-01

    We derive explicit solutions to life-cycle utility maximization problems involving stock and bond investment, perishable consumption, and the rental and ownership of residential real estate. Prices of houses, stocks and bonds, and labor income are correlated. Because of a positive correlation...... between house prices and labor income, young individuals want little exposure to house price risk and tend to rent their home. Later in life the desired housing investment increases and will eventually reach and exceed the desired consumption, suggesting that the individual should buy his home—and either...... additional housing units (for renting out) or house price–linked financial assets. In the final years, preferences shift back to home rental. The derived strategies are still useful if housing positions are only reset infrequently. Our results suggest that markets for real estate investment trusts or other...

  15. Optimal control, investment and utilization schemes for energy storage under uncertainty

    Mirhosseini, Niloufar Sadat

    Energy storage has the potential to offer new means for added flexibility on the electricity systems. This flexibility can be used in a number of ways, including adding value towards asset management, power quality and reliability, integration of renewable resources and energy bill savings for the end users. However, uncertainty about system states and volatility in system dynamics can complicate the question of when to invest in energy storage and how best to manage and utilize it. This work proposes models to address different problems associated with energy storage within a microgrid, including optimal control, investment, and utilization. Electric load, renewable resources output, storage technology cost and electricity day-ahead and spot prices are the factors that bring uncertainty to the problem. A number of analytical methodologies have been adopted to develop the aforementioned models. Model Predictive Control and discretized dynamic programming, along with a new decomposition algorithm are used to develop optimal control schemes for energy storage for two different levels of renewable penetration. Real option theory and Monte Carlo simulation, coupled with an optimal control approach, are used to obtain optimal incremental investment decisions, considering multiple sources of uncertainty. Two stage stochastic programming is used to develop a novel and holistic methodology, including utilization of energy storage within a microgrid, in order to optimally interact with energy market. Energy storage can contribute in terms of value generation and risk reduction for the microgrid. The integration of the models developed here are the basis for a framework which extends from long term investments in storage capacity to short term operational control (charge/discharge) of storage within a microgrid. In particular, the following practical goals are achieved: (i) optimal investment on storage capacity over time to maximize savings during normal and emergency

  16. An Analysis of a Free Cashflow Portfolio Investment Strategy ...

    Many investment strategies are based on information derived from, or expectations related to, information in financial statements. Generally Accepted Accounting Practice (GAAP) are interpreted differently in various countries and this reduces the reliability of financial statements for international investors. This paper uses a ...

  17. Success in Investing: Integrating Spending Policy into Asset Allocation Strategy.

    Morrell, Louis R.

    1996-01-01

    Successful college and university investments hinge on an asset allocation strategy capable of meeting the institution's needs for income and growth in principal at the lowest possible risk. Periodic adjustments must be made when there is a shift in the institution's risk tolerance, modification in need for income distribution, and changes in…

  18. Behavioral investment strategy matters: a statistical arbitrage approach

    Sun, David; Tsai, Shih-Chuan; Wang, Wei

    2011-01-01

    In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method produces more clearly that momentum strategies work only in longer formation and holding periods. Also they yield positive significant returns in an up market, but negative yet insignificant returns in a down...

  19. Research on optimal investment path of transmission corridor under the global energy Internet

    Huang, Yuehui; Li, Pai; Wang, Qi; Liu, Jichun; Gao, Han

    2018-02-01

    Under the background of the global energy Internet, the investment planning of transmission corridor from XinJiang to Germany is studied in this article, which passes through four countries: Kazakhstan, Russia, Belarus and Poland. Taking the specific situation of different countries into account, including the length of transmission line, unit construction cost, completion time, transmission price, state tariff, inflation rate and so on, this paper constructed a power transmission investment model. Finally, the dynamic programming method is used to simulate the example, and the optimal strategies under different objective functions are obtained.

  20. Carry trade as a speculative investment strategy in Serbia

    Bungin Sanja

    2012-12-01

    Full Text Available This paper is analyses causes and the consequences of a speculative investment carry trade strategy in the exchange market in Serbia. The presence of such type of investor is related to high yields of risk free securities denominated in dinars, as well as the perception of future movements of dinar exchange rate related to currency that serves as source of investment. The consequences of carry trade may significantly influence exchange rate movements when monetary policy has limited facilities to combat negative and sudden shocks.

  1. Selection of the Bank Investment Strategy on the Basis of the Hierarchy Analysis Method

    Zhytar Maksym O.

    2014-02-01

    Full Text Available The goal of the article lies in identification of a methodical approach to selection of the investment strategy of banks on the basis of factors of its formation with the use of the hierarchy analysis method. Factors of formation of the bank’s investment strategy were identified in the result of the study. The article demonstrates that selection of the investment strategy of the bank could be efficiently realised on the basis of the hierarchy analysis method, which is the most popular under conditions of a multi-criteria assessment of the search for optimal solution of the set task. The article offers a hierarchical structure of decision making, which could be a basis of selection of the bank’s investment strategy with consideration of the institutional flexibility. The prospect of further study in this direction is development of an optimisation model of the bank’s investment portfolio with consideration of not only institutional, but also market flexibility of decision making.

  2. Switching strategies to optimize search

    Shlesinger, Michael F

    2016-01-01

    Search strategies are explored when the search time is fixed, success is probabilistic and the estimate for success can diminish with time if there is not a successful result. Under the time constraint the problem is to find the optimal time to switch a search strategy or search location. Several variables are taken into account, including cost, gain, rate of success if a target is present and the probability that a target is present. (paper: interdisciplinary statistical mechanics)

  3. Sovereign wealth funds: Investment objectives and asset allocation strategies

    Daniil Wagner

    2014-05-01

    Full Text Available Sovereign Wealth Funds (SWFs have steadily increased their importance in the global financial system in the last decade and especially during the financial crisis period. Although the objectives and investment strategies of SWFs are quite diverse, I propose to sort them into three main groups, depending on their sponsor countries’ endowment with resources and investment objectives. I present case studies and empirical analyses that reflect SWF investment activities and try to elaborate on the special role of each SWF group. Special emphasis is given to the recent financial crisis, where SWFs also acted as bailout investors by injecting substantial capital into global financial institutions, filling a financing gap that other institutional investors could not close

  4. H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

    Nagai, Hideo, E-mail: nagaih@kansai-u.ac.jp [Kansai University, Department of Mathematics, Faculty of Engineering Science (Japan)

    2015-04-15

    We consider a consumption-investment problem on infinite time horizon maximizing discounted expected HARA utility for a general incomplete market model. Based on dynamic programming approach we derive the relevant H–J–B equation and study the existence and uniqueness of the solution to the nonlinear partial differential equation. By using the smooth solution we construct the optimal consumption rate and portfolio strategy and then prove the verification theorems under certain general settings.

  5. H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

    Nagai, Hideo

    2015-01-01

    We consider a consumption-investment problem on infinite time horizon maximizing discounted expected HARA utility for a general incomplete market model. Based on dynamic programming approach we derive the relevant H–J–B equation and study the existence and uniqueness of the solution to the nonlinear partial differential equation. By using the smooth solution we construct the optimal consumption rate and portfolio strategy and then prove the verification theorems under certain general settings

  6. The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

    Jian-wei Gao

    2007-10-01

    Full Text Available Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB equation, the analytic solution of the optimal investment strategy problem is derived.

  7. The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

    Gao, Jian-wei; Guo, Hong-zhen; Ye, Yan-cheng

    2007-01-01

    Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optimal investment model is established under the minimum expectation of loss function. In the light of the Hamilton-Jacobi-Bellman (HJB) equation, the analytic solution of the optimal investment strategy problem is derived.

  8. Investment Strategy Based on Aviation Accidents: Are there abnormal returns?

    Marcos Rosa Costa

    2013-06-01

    Full Text Available This article investigates whether an investment strategy based on aviation accidents can generate abnormal returns. We performed an event study considering all the aviation accidents with more than 10 fatalities in the period from 1998 to 2009 and the stock market performance of the respective airlines and aircraft manufacturers in the days after the event. The tests performed were based on the model of Campbell, Lo & MacKinlay (1997 for definition of abnormal returns, by means of linear regression between the firms’ stock returns and the return of a market portfolio used as a benchmark. This enabled projecting the expected future returns of the airlines and aircraft makers, for comparison with the observed returns after each event. The result obtained suggests that an investment strategy based on aviation accidents is feasible because abnormal returns can be obtained in the period immediately following an aviation disaster.

  9. CREATION OF OPTIMAL PERFORMANCE OF AN INVESTMENT PROJECT

    Višnja Vojvodić Rosenzweig

    2010-12-01

    Full Text Available The selection of an investment project is formulated as a multi-criteria decision-making problem. This paper presents a case in which the decision-maker uses nine criteria or rather attributes (Net Present Value, Internal Rate of Return, Payback Period, Accounting Rate of Return, Cumulative Cash Flows, Return on Investment, Net Profit Margin, Interest Coverage Ratio and Current Ratio. Individual utility functions are constructed for each attribute separately, as well as a global utility function representing a weighted sum of individual utility functions. For every attribute a finite set of ordered pairs or utility points is determined, taking into account the decision-maker’s assessment. The given points are then approximated by the utility function. Finally, according to the decision-maker’s assessment the optimization problem is solved with the purpose of achieving an optimal performance for each project. By way of negotiation the performances on offer approach the optimal performance of the project with the purpose of realising an agreement between the decision-maker and the investor.

  10. Development Strategies for Tourism Destinations: Tourism Sophistication vs. Resource Investments

    Rainer Andergassen; Guido Candela

    2010-01-01

    This paper investigates the effectiveness of development strategies for tourism destinations. We argue that resource investments unambiguously increase tourism revenues and that increasing the degree of tourism sophistication, that is increasing the variety of tourism related goods and services, increases tourism activity and decreases the perceived quality of the destination's resource endowment, leading to an ambiguous effect on tourism revenues. We disentangle these two effects and charact...

  11. Positive Feedback Investment Strategies and Destabilizing Rational Speculation

    J. Bradford De Long; Andrei Shleifer; Lawrence H. Summers; Robert J. Waldmann

    1989-01-01

    Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not necessarily hold when noise traders follow positive-feedback investment strategies buy when prices rise and sell when prices fall. In such cases, it may pay rational speculators to try to jump on the bandwagon early and to purchase ahead of noise trader demand. If rational speculators' attempts t...

  12. Optimizing investments in coupled offshore wind -electrolytic hydrogen storage systems in Denmark

    Hou, Peng; Enevoldsen, Peter; Eichman, Joshua; Hu, Weihao; Jacobson, Mark Z.; Chen, Zhe

    2017-08-01

    In response to electricity markets with growing levels of wind energy production and varying electricity prices, this research examines incentives for investments in integrated renewable energy power systems. A strategy for using optimization methods for a power system consisting of wind turbines, electrolyzers, and hydrogen fuel cells is explored. This research reveals the investment potential of coupling offshore wind farms with different hydrogen systems. The benefits in terms of a return on investment are demonstrated with data from the Danish electricity markets. This research also investigates the tradeoffs between selling the hydrogen directly to customers or using it as a storage medium to re-generate electricity at a time when it is more valuable. This research finds that the most beneficial configuration is to produce hydrogen at a time that complements the wind farm and sell the hydrogen directly to end users.

  13. Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

    Tunc, Sait; Donmez, Mehmet Ali; Kozat, Suleyman Serdar

    2013-06-01

    We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any investment period. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. We achieve this using "threshold rebalanced portfolios", where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. Our derivations can be readily extended to markets having more than two stocks, where these extensions are pointed out in the paper. As predicted from our derivations, we significantly improve the achieved wealth over portfolio selection algorithms from the literature on historical data sets.

  14. Natural Gas: Investment Strategies In An Uncertain World

    Soliman, M.; Darwish, M.

    2004-01-01

    Natural Gas investment projects in developing countries (of which Egypt is a typical example) are one of the key industries in the evolving and continually changing energy market. It seems clear that the natural gas industry today is no longer limited by national boundaries, and that countries as well as organizations need to have an adaptive investment strategy and a global perspective if they are to survive and prosper in this . uncertain world. Many strategies will succeed or fail on the basis of their ability to deal with this dynamic environment. Strategy decisions are by their nature complex, and involve many imponderables. The selection of a course of action depends on the availability and interpretation of information, analysis, intuition, emotion, political awareness and many other factors. Different individuals and groups emphasize different aspects and, in the sense that a strategy decision is an advance into tbe unknown, there is no correct course of action; all that can be done is to interpret the current situation, form expectations about the future, and act according to personal views on risk and the likely course of events. It is usually possible to identify courses of action which are unlikely to be successful, and in that sense the strategy process can have real benefits in helping to avoid disastrous courses of action

  15. Optimal Operations and Resilient Investments in Steam Networks

    Bungener, Stéphane L., E-mail: stephane.bungener@a3.epfl.ch [Industrial Process and Energy Systems Engineering, École Polytechnique Fédérale de Lausanne, Lausanne (Switzerland); Van Eetvelde, Greet [Environmental and Spatial Management, Faculty of Engineering and Architecture, Ghent University, Ghent (Belgium); Maréchal, François [Industrial Process and Energy Systems Engineering, École Polytechnique Fédérale de Lausanne, Lausanne (Switzerland)

    2016-01-20

    Steam is a key energy vector for industrial sites, most commonly used for process heating and cooling, cogeneration of heat and mechanical power as a motive fluid or for stripping. Steam networks are used to carry steam from producers to consumers and between pressure levels through letdowns and steam turbines. The steam producers (boilers, heat and power cogeneration units, heat exchangers, chemical reactors) should be sized to supply the consumers at nominal operating conditions as well as peak demand. First, this paper proposes an Mixed Integer Linear Programing formulation to optimize the operations of steam networks in normal operating conditions and exceptional demand (when operating reserves fall to zero), through the introduction of load shedding. Optimization of investments based on operational and investment costs are included in the formulation. Though rare, boiler failures can have a heavy impact on steam network operations and costs, leading to undercapacity and unit shutdowns. A method is therefore proposed to simulate steam network operations when facing boiler failures. Key performance indicators are introduced to quantify the network’s resilience. The proposed methods are applied and demonstrated in an industrial case study using industrial data. The results indicate the importance of oversizing key steam producing equipments and the value of industrial symbiosis to increase industrial site resilience.

  16. Optimal Operations and Resilient Investments in Steam Networks

    Bungener, Stéphane L.; Van Eetvelde, Greet; Maréchal, François

    2016-01-01

    Steam is a key energy vector for industrial sites, most commonly used for process heating and cooling, cogeneration of heat and mechanical power as a motive fluid or for stripping. Steam networks are used to carry steam from producers to consumers and between pressure levels through letdowns and steam turbines. The steam producers (boilers, heat and power cogeneration units, heat exchangers, chemical reactors) should be sized to supply the consumers at nominal operating conditions as well as peak demand. First, this paper proposes an Mixed Integer Linear Programing formulation to optimize the operations of steam networks in normal operating conditions and exceptional demand (when operating reserves fall to zero), through the introduction of load shedding. Optimization of investments based on operational and investment costs are included in the formulation. Though rare, boiler failures can have a heavy impact on steam network operations and costs, leading to undercapacity and unit shutdowns. A method is therefore proposed to simulate steam network operations when facing boiler failures. Key performance indicators are introduced to quantify the network’s resilience. The proposed methods are applied and demonstrated in an industrial case study using industrial data. The results indicate the importance of oversizing key steam producing equipments and the value of industrial symbiosis to increase industrial site resilience.

  17. Uncertainty modeling of CCS investment strategy in China's power sector

    Zhou, Wenji; Zhu, Bing; Fuss, Sabine; Szolgayova, Jana; Obersteiner, Michael; Fei, Weiyang

    2010-01-01

    The increasing pressure resulting from the need for CO 2 mitigation is in conflict with the predominance of coal in China's energy structure. A possible solution to this tension between climate change and fossil fuel consumption fact could be the introduction of the carbon capture and storage (CCS) technology. However, high cost and other problems give rise to great uncertainty in R and D and popularization of carbon capture technology. This paper presents a real options model incorporating policy uncertainty described by carbon price scenarios (including stochasticity), allowing for possible technological change. This model is further used to determine the best strategy for investing in CCS technology in an uncertain environment in China and the effect of climate policy on the decision-making process of investment into carbon-saving technologies.

  18. 7 CFR 1948.82 - Plan and State Investment Strategy approval procedure.

    2010-01-01

    ... the State Investment Strategy for Energy Impacted Areas. (c) Appropriate growth management and/or... 7 Agriculture 13 2010-01-01 2009-01-01 true Plan and State Investment Strategy approval procedure... Impacted Area Development Assistance Program § 1948.82 Plan and State Investment Strategy approval...

  19. Optimal Investment Timing and Size of a Logistics Park: A Real Options Perspective

    Dezhi Zhang

    2017-01-01

    Full Text Available This paper uses a real options approach to address optimal timing and size of a logistics park investment with logistics demand volatility. Two important problems are examined: when should an investment be introduced, and what size should it be? A real option model is proposed to explicitly incorporate the effect of government subsidies on logistics park investment. Logistic demand that triggers the threshold for investment in a logistics park project is explored analytically. Comparative static analyses of logistics park investment are also carried out. Our analytical results show that (1 investors will select smaller sized logistics parks and prepone the investment if government subsidies are considered; (2 the real option will postpone the optimal investment timing of logistics parks compared with net present value approach; and (3 logistic demands can significantly affect the optimal investment size and timing of logistics park investment.

  20. Design of investment management optimization system for power grid companies under new electricity reform

    Yang, Chunhui; Su, Zhixiong; Wang, Xin; Liu, Yang; Qi, Yongwei

    2017-03-01

    The new normalization of the economic situation and the implementation of a new round of electric power system reform put forward higher requirements to the daily operation of power grid companies. As an important day-to-day operation of power grid companies, investment management is directly related to the promotion of the company's operating efficiency and management level. In this context, the establishment of power grid company investment management optimization system will help to improve the level of investment management and control the company, which is of great significance for power gird companies to adapt to market environment changing as soon as possible and meet the policy environment requirements. Therefore, the purpose of this paper is to construct the investment management optimization system of power grid companies, which includes investment management system, investment process control system, investment structure optimization system, and investment project evaluation system and investment management information platform support system.

  1. The Application of Dividend Yield Based Investment Strategy in Indonesian Stock Exchange

    Ekaputra, Adriansyah; Sukarno, Subiakto

    2012-01-01

    Stock market development in Indonesia is growing rapidly, coupled with the increase of Indonesia's investment rating by investment research and rating companies such as Moody's and S&P, it makes Indonesian stock market look sexy in the eyes of investors from various countries. The investment strategy that simple and applicable is often sought by investors to maximize the investors' portfolio. One investment strategy is evolving but still not widely used in Indonesia is an investment strat...

  2. Investment and protection of the OAPEC surplus: a strategy

    Nuwayhid, H.S.

    1981-02-01

    The Arab countries could not absorb the surplus dollars when oil prices rose in the 1970s, nor were they prepared to move into Western financial markets without causing disruptions. A strategy for protecting these surpluses takes into account market realities and the responsibilities of Arab oil-exporting countries toward the Third World. The Organization of Arab Petroleum Exporting Countries (OAPEC) strategy mainly applies to those countries that cannot absorb their surpluses for internal development. Emphasizing asset protection rather than investment, the strategy suggests a new oil-pricing method, and a shift toward real assets, especially those in the Arab and Third World. Success will require help from the rest of the world to reform the International Monetary System, east stagflation, and recycle petrodollars. 6 references, 2 tables. (DCK)

  3. PORTFOLIO INSURANCE INVESTMENT STRATEGIES: A RISK-MANAGEMENT TOOL

    Elma Agic-Sabeta

    2017-06-01

    Full Text Available Unsystemic risks in financial markets may be reduced through diversification. Systemic risks relate to the overall economy, cannot be influenced by a single company, and require special attention. Empirical research on return distributions in the long-term shows that investing under the assumption of normal distribution of returns may be dangerous. The main objectives of this article are to describe portfolio insurance strategies and investigate their advantages and disadvantages. Furthermore, their use in financial markets in both developed and emerging markets is explored, with special consideration placed on southeast European markets. Theoretical models are reviewed, including recent research articles in the field. The results are analyzed, summarized, and presented in the form of tables and graphs. The main finding of the article is identification of strategies that could be used in southeast Europe. It concludes that implementation of portfolio insurance strategies by asset managers may reduce financial risks in southeast European markets if implementation is done professionally and, simultaneously, it is monitored during the entire investment horizon.

  4. EFFICIENCY OF THE INVESTMENT STRATEGY OF THE INSURANCE COMPANIES IN UKRAINE

    R. Pikus

    2015-04-01

    Full Text Available The article explores the theoretical basis for the formation of an effective investment strategy of the insurance company. It was determined that, depending on the insurer’s conduct and risk factor and yield of funds, investment strategy can be aggressive, moderate and conservative. The main factors that characterize conservative, aggressive and moderately conservative investment strategy are defined. The characteristic of the structure of the investment portfolio of domestic insurance companies is determined. There are insurance companies which conduct an aggressive, conservative and moderately conservative investment strategy. In the article defined the main directions of investments of insurance companies in Ukraine which include bank deposits, government securities and shares. Determined that majority of insurance companies in the insurance market of Ukraine followed a conservative investment strategy which is the least risky. It is noted that in view of difficult economic situation in Ukraine, insurance companies need to develop an effective investment strategy to ensure their ability to pay.

  5. Development of Investment Strategy Applying Corporate Social Responsibility

    Jekaterina Kuzmina

    2017-12-01

    Full Text Available Purpose of the article: Due to globalization processes and technological development, companies are having more influence on global society than ever. Therefore, business misconduct causes enormous harm to stakeholders, whereas ethical behavior is becoming an important issue. The goal of the following study is to verify and measure a positive effect from investments in social activities on financial attractiveness of companies in the form of its stock portfolio value growth. Methodology/methods: In order to achieve the goal of the research, quantitative analysis is used by comparing performance of stock portfolio of companies having long-term investments in social activities with market index increment. The quantitative results are accompanied with the review of corporate social responsibility definition and some practical issues on governmental and corporation level. Scientific aim: The conducted research contributes both to the scientific discussion about development of appropriate investment strategy in companies applying CSR principles as well as to the discussion of related terminology used in the field. Findings: The research has shown that engagement in the CSR activities tends to have strong positive effect on companies’ financial results and investors’ financial performance. The research proves this fact by comparing value increment of CSR-portfolio (+35.99% gained from January 2015 to March 2017 with market index (+22.37% in the same period. Conclusions: Regardless the positive result achieved in the study the authors have determined several gaps in the research, which will be discussed in the further studies on the field.

  6. Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies

    Bick, Björn; Kraft, Holger; Munk, Claus

    2013-01-01

    Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. Standard numerical methods are hard to implement in such cases. We propose a numerical...... procedure that combines the abstract idea of artificial, unconstrained complete markets, well-known closed-form solutions in affine or quadratic return models, straightforward Monte Carlo simulation, and a standard iterative optimization routine. Our method provides an upper bound on the wealth......-equivalent loss compared to the unknown optimal strategy, and it facilitates our understanding of the economic forces at play by building on closed-form expressions for the strategies considered. We illustrate and test our method on the life-cycle problem of an individual who receives unspanned labor income...

  7. A strategy for investment in space resource utilization

    Mendell, Wendell W.

    1992-01-01

    Considerations governing a strategy for investment in the utilization of space resources are discussed. It is suggested on the basis of an examination of current trends in terms of historical processes which operate on new frontiers that the limited markets and unfamiliar technologies associated with space commercialization today may change dramatically in 20 years when lunar resources are accessible. It is argued that the uncertainty of such projections discourages investment at a useful scale unless a strategy for technology development can be implemented which provides tangible and marketable benefits in the intermediate term. At present, technologies can be identified which will be required (and therefore valuable) at the time of lunar settlement, and whose development can be planned to yield marketable intermediate products on earth. It is concluded that the formation of precompetitive collaborative research consortia in the industrial sector could reduce technical and economic risk in the early stages and could promote a favorable political environment for the future growth of space activities.

  8. A stochastic dynamic model for optimal timing of investments in new generation capacity in restructured power systems

    Botterud, Audun; Korpaas, Magnus

    2007-01-01

    In this paper we formulate the power generation investment problem for a decentralised and profit-maximising investor operating in a restructured and competitive power system. In particular, we look at how uncertainty influences the optimal timing of investments in new power generation capacity. A real options approach is used to take long-term uncertainty in load growth, and its influence on future electricity prices, into account in the investment optimisation. In order to value the operational flexibility of a new power plant we use an electricity price model, where the spot price is a function of load level and installed generation capacity, in addition to short-term uncertainties and temporal fluctuations in the market. The investor's income from a capacity payment, which also can depend on the system's total capacity balance, can also be represented. Hence, with the optimisation model we can analyse power plant profitability and optimal timing of new investments under different market designs. In a case study from the Nordic electricity market we analyse the effect of uncertainty on optimal investment timing. We also examine how a fixed or variable capacity payment would influence the investment decision, and discuss the system consequences of the resulting investment strategies. (author)

  9. Optimal investment in a portfolio of HIV prevention programs.

    Zaric, G S; Brandeau, M L

    2001-01-01

    In this article, the authors determine the optimal allocation of HIV prevention funds and investigate the impact of different allocation methods on health outcomes. The authors present a resource allocation model that can be used to determine the allocation of HIV prevention funds that maximizes quality-adjusted life years (or life years) gained or HIV infections averted in a population over a specified time horizon. They apply the model to determine the allocation of a limited budget among 3 types of HIV prevention programs in a population of injection drug users and nonusers: needle exchange programs, methadone maintenance treatment, and condom availability programs. For each prevention program, the authors estimate a production function that relates the amount invested to the associated change in risky behavior. The authors determine the optimal allocation of funds for both objective functions for a high-prevalence population and a low-prevalence population. They also consider the allocation of funds under several common rules of thumb that are used to allocate HIV prevention resources. It is shown that simpler allocation methods (e.g., allocation based on HIV incidence or notions of equity among population groups) may lead to alloctions that do not yield the maximum health benefit. The optimal allocation of HIV prevention funds in a population depends on HIV prevalence and incidence, the objective function, the production functions for the prevention programs, and other factors. Consideration of cost, equity, and social and political norms may be important when allocating HIV prevention funds. The model presented in this article can help decision makers determine the health consequences of different allocations of funds.

  10. Investment strategy for low-carbon power generation

    Yamasaki, Yukihiro; Matsuhashi, Ryuji; Yoshida, Yoshikuni

    2011-01-01

    Recently, it is needed to reduce CO 2 emissions for prevention of global warming. In Japan, the power generation sector is the biggest part in terms of CO 2 emissions, therefore it is very important to cope with the reduction of the emissions from this sector. From this point of view, it is assumed that the nuclear power generation is the most practical option to reduce them. In order to evaluate the possibility of introduction of the nuclear power, we built a generation planning model and simulate to analyze the transition of the optimal generation mix. Also, we evaluate the investment in the introduction of the nuclear power quantitatively using the real option analysis. (author)

  11. Risk based economic optimization of investment decisions of regulated power distribution system operators; Risikobasierte wirtschaftliche Optimierung von Investitionsentscheidungen regulierter Stromnetzbetreiber

    John, Oliver

    2012-07-01

    The author of the contribution under consideration reports on risk-based economic optimization of investment decisions of regulated power distribution system operators. The focus is the economically rational decision behavior of operators under certain regulatory requirements. Investments in power distribution systems form the items subject to decisions. Starting from a description of theoretical and practical regulatory approaches, their financial implications are quantified at first. On this basis, optimization strategies are derived with respect to the investment behavior. For this purpose, an optimization algorithm is developed and applied to exemplary companies. Finally, effects of uncertainties in regulatory systems are investigated. In this context, Monte Carlo simulations are used in conjunction with real options analysis.

  12. A strategy for investment in space resource utilization

    Mendell, Wendell W.

    During the first quarter of the next Century, space transportation systems will be capable of routine flights of humans and cargo to the Moon. The general acceptance of permanent human presence in space, as exemplified by at least two manned stations in LEO at that time, will lead to one or more staffed outposts on the Moon. Whether such outposts evolve into sustained, growing settlements will depend, in part, on whether the economic context attracts substantial private investment. A planetary surface provides a material and gravitational environment distinct from that of an orbiting space station and thus provides a setting familiar to non-aerospace sectors of terrestrial industry. Examination of current trends in terms of historical processes which operate on new frontiers suggests that the limited markets and unfamiliar technologies associated with space commercialization today may change dramatically in 20 years when lunar resources are accessible. However, the uncertainty and vagueness of such projections discourages investment at a useful scale unless a strategy for technology development can be implemented which provides tangible and marketable benefits in the intermediate term. At the present time technologies can be identified (a) that will be required (and therefore valuable) at the time of lunar settlement and (b) whose development can be planned to yield marketable intermediate products on Earth. Formation of pre-competitive, collaborative research consortia in the industrial sector could reduce technical and economic risk in the early stages and could promote a favorable political environment for the future growth of space activities.

  13. An asymmetric parental investment conflict with continuous strategy sets.

    Yaniv, Osnat

    2005-12-07

    In the parental investment conflict each of the sexes decides how much to invest in its brood, where its decision influences both sexes' fitness. In nature, each species is usually characterized by a common parental care pattern, male-only care, female-only care or biparental care. A possible way for understanding the factors that have led each species to adopt its unique parental care pattern is to analyse a male's and a female's decision process using a game-theoretical model. This paper suggests a two-stage game-theoretical model with two types of players, male and female. During the game each parent makes three decisions. The interval between the beginning of the game, i.e. after mating and having offspring, and the moment a parent starts to care for them is a random variable. Thus, in the first stage a parent chooses the cumulative probability distribution of this interval, and its amount of parental care. In the second stage the other parent chooses its probability for cooperation. It is assumed that as long as parental care is not provided the offspring are at risk, and that parental caring accrues a different cost for each sex. We compute the Evolutionary Stable Strategies (ESS) under payoff-relevant asymmetry, and show that uniparental and biparental care are possible ESS. We also characterize cases where the sex having the lower cost "forces" the sex having the higher cost to care and vice versa.

  14. Evolution strategies for robust optimization

    Kruisselbrink, Johannes Willem

    2012-01-01

    Real-world (black-box) optimization problems often involve various types of uncertainties and noise emerging in different parts of the optimization problem. When this is not accounted for, optimization may fail or may yield solutions that are optimal in the classical strict notion of optimality, but

  15. Optimal investment and location decisions of a firm in a flood risk area using Impulse Control Theory

    Grames, Johanna; Grass, Dieter; Kort, Peter; Prskawetz, Alexia

    2017-04-01

    Flooding events can affect businesses close to rivers, lakes or coasts. This paper provides a partial equilibrium model which helps to understand the optimal location choice for a firm in flood risk areas and its investment strategies. How often, when and how much are firms willing to invest in flood risk protection measures? We apply Impulse Control Theory to solve the model analytically and develop a continuation algorithm to solve the model numerically. Firms always invest in flood defense. The investment increases the higher the flood risk and the more firms also value the future, i.e. the more sustainable they plan. Investments in production capital follow a similar path. Hence, planning in a sustainable way leads to economic growth. Sociohydrological feedbacks are crucial for the location choice of the firm, whereas different economic situations have an impact on investment strategies. If flood defense is already present, e.g. built up by the government, firms move closer to the water and invest less in flood defense, which allows firms to accrue higher expected profits. Firms with a large initial production capital surprisingly try not to keep their market advantage, but rather reduce flood risk by reducing exposed production capital.

  16. Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints

    Xiaojian Yu

    2014-01-01

    Full Text Available This paper deals with the problem of optimal portfolio strategy under the constraints of rolling economic maximum drawdown. A more practical strategy is developed by using rolling Sharpe ratio in computing the allocation proportion in contrast to existing models. Besides, another novel strategy named “REDP strategy” is further proposed, which replaces the rolling economic drawdown of the portfolio with the rolling economic drawdown of the risky asset. The simulation tests prove that REDP strategy can ensure the portfolio to satisfy the drawdown constraint and outperforms other strategies significantly. An empirical comparison research on the performances of different strategies is carried out by using the 23-year monthly data of SPTR, DJUBS, and 3-month T-bill. The investment cases of single risky asset and two risky assets are both studied in this paper. Empirical results indicate that the REDP strategy successfully controls the maximum drawdown within the given limit and performs best in both return and risk.

  17. Optimal investment for enhancing social concern about biodiversity conservation: a dynamic approach.

    Lee, Joung Hun; Iwasa, Yoh

    2012-11-01

    To maintain biodiversity conservation areas, we need to invest in activities, such as monitoring the condition of the ecosystem, preventing illegal exploitation, and removing harmful alien species. These require a constant supply of resources, the level of which is determined by the concern of the society about biodiversity conservation. In this paper, we study the optimal fraction of the resources to invest in activities for enhancing the social concern y(t) by environmental education, museum displays, publications, and media exposure. We search for the strategy that maximizes the time-integral of the quality of the conservation area x(t) with temporal discounting. Analyses based on dynamic programming and Pontryagin's maximum principle show that the optimal control consists of two phases: (1) in the first phase, the social concern level approaches to the final optimal value y(∗), (2) in the second phase, resources are allocated to both activities, and the social concern level is kept constant y(t) = y(∗). If the social concern starts from a low initial level, the optimal path includes a period in which the quality of the conservation area declines temporarily, because all the resources are invested to enhance the social concern. When the support rate increases with the quality of the conservation area itself x(t) as well as with the level of social concern y(t), both variables may increase simultaneously in the second phase. We discuss the implication of the results to good management of biodiversity conservation areas. 2012 Elsevier Inc. All rights reserved

  18. Strategy of Slovak Republic's government to use higher education as an investment into human capital

    Smereková, Erika

    2016-01-01

    Bc. Erika Smereková Strategy of Slovak Republic's Government to use higher education as an investment in human capital Abstract The Master thesis on the topic "Strategy of Slovak Republic's government to use higher education as an investment in human capital" presents results to the following research question: To what extent is it a part of strategy of Slovak Republic's educational policy to use higher education as an investment in human capital? The thesis specifically focuses on the idea o...

  19. Optimal R&D Investments of the Firm

    Kort, P.M.

    1996-01-01

    This paper examines irreversible decisions on innovative activities where it takes time to complete an R&D project. The totala mountof R&D investments that the firm needs to undertake in order to obtain the breakthrough in the innovation process is uncertain. R&D investments are limited by the

  20. Input price risk and optimal timing of energy investment: choice between fossil- and biofuels

    Murto, Pauli; Nese, Gjermund

    2002-05-01

    We consider energy investment, when a choice has to be made between fossil fuel and biomass fired production technologies. A dynamic model is presented to illustrate the effect of the different degrees of input price uncertainty on the choice of technology and the timing of the investment. It is shown that when the choice of technology is irreversible, it may be optimal to postpone the investment even if it would otherwise be optimal to invest in one or both of the plant types. We provide a numerical example based on cost, estimates of two different power plant types. (author)

  1. Input price risk and optimal timing of energy investment: choice between fossil- and biofuels

    Murto, Pauli; Nese, Gjermund

    2002-01-01

    We consider energy investment, when a choice has to be made between fossil fuel and biomass fired production technologies. A dynamic model is presented to illustrate the effect of the different degrees of input price uncertainty on the choice of technology and the timing of the investment. It is shown that when the choice of technology is irreversible, it may be optimal to postpone the investment even if it would otherwise be optimal to invest in one or both of the plant types. We provide a numerical example based on cost, estimates of two different power plant types. (author)

  2. Barriers to optimizing investments in the built environment to reduce youth obesity: policy-maker perspectives.

    Grant, Jill L; MacKay, Kathryn C; Manuel, Patricia M; McHugh, Tara-Leigh F

    2010-01-01

    To identify factors which limit the ability of local governments to make appropriate investments in the built environment to promote youth health and reduce obesity outcomes in Atlantic Canada. Policy-makers and professionals participated in focus groups to discuss the receptiveness of local governments to introducing health considerations into decision-making. Seven facilitated focus groups involved 44 participants from Atlantic Canada. Thematic discourse analysis of the meeting transcripts identified systemic barriers to creating a built environment that fosters health for youth aged 12-15 years. Participants consistently identified four categories of barriers. Financial barriers limit the capacities of local government to build, maintain and operate appropriate facilities. Legacy issues mean that communities inherit a built environment designed to facilitate car use, with inadequate zoning authority to control fast food outlets, and without the means to determine where schools are built or how they are used. Governance barriers derive from government departments with distinct and competing mandates, with a professional structure that privileges engineering, and with funding programs that encourage competition between municipalities. Cultural factors and values affect outcomes: people have adapted to car-oriented living; poverty reduces options for many families; parental fears limit children's mobility; youth receive limited priority in built environment investments. Participants indicated that health issues have increasing profile within local government, making this an opportune time to discuss strategies for optimizing investments in the built environment. The focus group method can foster mutual learning among professionals within government in ways that could advance health promotion.

  3. Investments

    Bodie, Zvi; Marcus, Alan J.

    2017-01-01

    The integrated solutions for Bodie, Kane, and Marcus' Investments set the standard for graduate/MBA investments textbooks. The unifying theme is that security markets are nearly efficient, meaning that most securities are priced appropriately given their risk and return attributes. The content places greater emphasis on asset allocation and offers a much broader and deeper treatment of futures, options, and other derivative security markets than most investment texts. Connect is the only integrated learning system that empowers students by continuously adapting to deliver precisely what they need, when they need it, and how they need it, so that your class time is more engaging and effective.

  4. Carbon capture and storage-Investment strategies for the future?

    Rammerstorfer, Margarethe; Eisl, Roland

    2011-01-01

    The following article deals with real options modeling for investing into carbon capture and storage technologies. Herein, we derive two separate models. The first model incorporates a constant convenience yield and dividend for the investment project. In the second model, the convenience yield is allowed to follow a mean reverting process which seems to be more realistic, but also increases the model's complexity. Both frameworks are to be solved numerically. Therefore, we calibrate our model with respect to empirical data and provide insights into the models' sensitivity toward the chosen parameter values. We found that given the recently observable prices for carbon dioxide, an investment into C O2-storage facilities is not profitable. - Highlights: → Real options modeling for investing into carbon capture and storage technologies. → Given the recently observable prices for carbon dioxide, an investment into CO 2 -storage facilities is not profitable. → Investment decision is mainly affected by risk free rate and volatility.

  5. Investments

    Bodie, Zvi

    2013-01-01

    The integrated solutions for Bodie, Kane, and Marcus' Investments set the standard for graduate/MBA investments textbooks. The unifying theme is that security markets are nearly efficient, meaning that most securities are priced appropriately given their risk and return attributes. The content places greater emphasis on asset allocation and offers a much broader and deeper treatment of futures, options, and other derivative security markets than most investment texts. McGraw-Hill's adaptive learning component, LearnSmart, provides assignable modules that help students master chapter core concepts and come to class more prepared. Bodie Investments' blend of practical and theoretical coverage combines with a complete digital solution to help your students achieve higher outcomes in the course

  6. Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy

    Ma, Junjun; Xiong, Xiong; He, Feng; Zhang, Wei

    2017-04-01

    The stock price fluctuation is studied in this paper with intrinsic time perspective. The event, directional change (DC) or overshoot, are considered as time scale of price time series. With this directional change law, its corresponding statistical properties and parameter estimation is tested in Chinese stock market. Furthermore, a directional change trading strategy is proposed for invest in the market portfolio in Chinese stock market, and both in-sample and out-of-sample performance are compared among the different method of model parameter estimation. We conclude that DC method can capture important fluctuations in Chinese stock market and gain profit due to the statistical property that average upturn overshoot size is bigger than average downturn directional change size. The optimal parameter of DC method is not fixed and we obtained 1.8% annual excess return with this DC-based trading strategy.

  7. Investment cash flow sensitivity under managerial optimism: new evidence from NYSE panel data firms

    Mohamed, Ezzeddine Ben; Fairchild, Richard; Bouri, Abdelfettah

    2014-01-01

    Investment cash flow sensitivity constitutes one important block of the corporate financial literature. While it is well documented in standard corporate finance, it is still young under behavioral corporate finance. In this paper, we test the investment cash flow sensitivity among panel data of American industrial firms during 1999-2010. Using Q-model of investment (Tobin, 1969), we construct and introduce a proxy of managerial optimism following Malmendier and Tate (2005a) to show the impac...

  8. Determining an optimal supply chain strategy

    Intaher M. Ambe

    2012-11-01

    Full Text Available In today’s business environment, many companies want to become efficient and flexible, but have struggled, in part, because they have not been able to formulate optimal supply chain strategies. Often this is as a result of insufficient knowledge about the costs involved in maintaining supply chains and the impact of the supply chain on their operations. Hence, these companies find it difficult to manufacture at a competitive cost and respond quickly and reliably to market demand. Mismatched strategies are the root cause of the problems that plague supply chains, and supply-chain strategies based on a one-size-fits-all strategy often fail. The purpose of this article is to suggest instruments to determine an optimal supply chain strategy. This article, which is conceptual in nature, provides a review of current supply chain strategies and suggests a framework for determining an optimal strategy.

  9. Role of Tax Instruments in Investment and Innovation Strategy of Development of Ukraine

    Demchyshak Nazar B.

    2014-02-01

    Full Text Available The article speaks about problems of formation of the investment and innovation potential in Ukraine. It identifies priority of development and introduction of the investment and innovation strategy for the national economy. It studies the role of state stimulation of the investment and innovation activity using direct and indirect methods. It considers foreign experience of tax stimulation of innovation activity. It analyses application of different tax preferences by different foreign states. It shows positive and negative sides of preferential taxation under conditions of financial instability of Ukrainian economy. In order to identify the level of investment activity the article analyses dynamics of change of the investment attractiveness index and shows problem aspects of attraction of foreign investments into the national economy. It identifies priorities of formation of efficient investment and innovation strategy of development of economy on the basis of a common system approach.

  10. Does investment in leaf defenses drive changes in leaf economic strategy? A focus on whole-plant ontogeny.

    Mason, Chase M; Donovan, Lisa A

    2015-04-01

    Leaf defenses have long been studied in the context of plant growth rate, resource availability, and optimal investment theory. Likewise, one of the central modern paradigms of plant ecophysiology, the leaf economics spectrum (LES), has been extensively studied in the context of these factors across ecological scales ranging from global species data sets to temporal shifts within individuals. Despite strong physiological links between LES strategy and leaf defenses in structure, function, and resource investment, the relationship between these trait classes has not been well explored. This study investigates the relationship between leaf defenses and LES strategy across whole-plant ontogeny in three diverse Helianthus species known to exhibit dramatic ontogenetic shifts in LES strategy, focusing primarily on physical and quantitative chemical defenses. Plants were grown under controlled environmental conditions and sampled for LES and defense traits at four ontogenetic stages. Defenses were found to shift strongly with ontogeny, and to correlate strongly with LES strategy. More advanced ontogenetic stages with more conservative LES strategy leaves had higher tannin activity and toughness in all species, and higher leaf dry matter content in two of three species. Modeling results in two species support the conclusion that changes in defenses drive changes in LES strategy through ontogeny, and in one species that changes in defenses and LES strategy are likely independently driven by ontogeny. Results of this study support the hypothesis that leaf-level allocation to defenses might be an important determinant of leaf economic traits, where high investment in defenses drives a conservative LES strategy.

  11. HIV Treatment and Prevention: A Simple Model to Determine Optimal Investment.

    Juusola, Jessie L; Brandeau, Margaret L

    2016-04-01

    To create a simple model to help public health decision makers determine how to best invest limited resources in HIV treatment scale-up and prevention. A linear model was developed for determining the optimal mix of investment in HIV treatment and prevention, given a fixed budget. The model incorporates estimates of secondary health benefits accruing from HIV treatment and prevention and allows for diseconomies of scale in program costs and subadditive benefits from concurrent program implementation. Data sources were published literature. The target population was individuals infected with HIV or at risk of acquiring it. Illustrative examples of interventions include preexposure prophylaxis (PrEP), community-based education (CBE), and antiretroviral therapy (ART) for men who have sex with men (MSM) in the US. Outcome measures were incremental cost, quality-adjusted life-years gained, and HIV infections averted. Base case analysis indicated that it is optimal to invest in ART before PrEP and to invest in CBE before scaling up ART. Diseconomies of scale reduced the optimal investment level. Subadditivity of benefits did not affect the optimal allocation for relatively low implementation levels. The sensitivity analysis indicated that investment in ART before PrEP was optimal in all scenarios tested. Investment in ART before CBE became optimal when CBE reduced risky behavior by 4% or less. Limitations of the study are that dynamic effects are approximated with a static model. Our model provides a simple yet accurate means of determining optimal investment in HIV prevention and treatment. For MSM in the US, HIV control funds should be prioritized on inexpensive, effective programs like CBE, then on ART scale-up, with only minimal investment in PrEP. © The Author(s) 2015.

  12. THE PARAMETER OPTIMIZATION MODEL OF INVESTMENT AND CONSTRUCTION PROJECTS AND MANAGERIAL FEASIBILITY OF THEIR BEHAVIOR

    P. Ye. Uvarov

    2009-09-01

    Full Text Available In the article the basic problem of substantiation of parameters of optimization model of organizationaltechnological solutions for investment-building projects in the system of project management is considered.

  13. Optimal management strategies in variable environments: Stochastic optimal control methods

    Williams, B.K.

    1985-01-01

    Dynamic optimization was used to investigate the optimal defoliation of salt desert shrubs in north-western Utah. Management was formulated in the context of optimal stochastic control theory, with objective functions composed of discounted or time-averaged biomass yields. Climatic variability and community patterns of salt desert shrublands make the application of stochastic optimal control both feasible and necessary. A primary production model was used to simulate shrub responses and harvest yields under a variety of climatic regimes and defoliation patterns. The simulation results then were used in an optimization model to determine optimal defoliation strategies. The latter model encodes an algorithm for finite state, finite action, infinite discrete time horizon Markov decision processes. Three questions were addressed: (i) What effect do changes in weather patterns have on optimal management strategies? (ii) What effect does the discounting of future returns have? (iii) How do the optimal strategies perform relative to certain fixed defoliation strategies? An analysis was performed for the three shrub species, winterfat (Ceratoides lanata), shadscale (Atriplex confertifolia) and big sagebrush (Artemisia tridentata). In general, the results indicate substantial differences among species in optimal control strategies, which are associated with differences in physiological and morphological characteristics. Optimal policies for big sagebrush varied less with variation in climate, reserve levels and discount rates than did either shadscale or winterfat. This was attributed primarily to the overwintering of photosynthetically active tissue and to metabolic activity early in the growing season. Optimal defoliation of shadscale and winterfat generally was more responsive to differences in plant vigor and climate, reflecting the sensitivity of these species to utilization and replenishment of carbohydrate reserves. Similarities could be seen in the influence of both

  14. Tactical Aircraft. DOD Needs a Joint and Integrated Investment Strategy

    2007-01-01

    .... DOD has already incurred substantial cost and schedule overruns in its acquisition of new systems, and further delays could require billions of dollars in additional investments to keep legacy...

  15. A Technical Note on Australian Default Superannuation Investment Strategies

    Loretta Iskra

    2012-06-01

    Full Text Available Superannuation has become more complex over time. Individual investors are inclined to seek the ‘path of least resistance’ and invest in default investment funds which are typically concentrated in high risk assets. Understanding how these funds will meet the individual needs of members relative to their changing circumstances can provide peace of mind and confidence in the market. Given the value of superannuation as an investment in terms of the economy, it is paramount than an appropriate mechanism be in place for default fund investors. This paper will clarify the existing position relative to default fund investment options and outline future research which will provide the impetus for change in terms ofgovernment policy, the financial planning profession and for industry superannuation funds.

  16. Controlled-risk foreign investment strategy can boost yields.

    Simms, R A

    2000-06-01

    Healthcare organizations that have invested in the U.S. stock market have enjoyed high returns in recent years. After such a performance, many investment managers see little reason to investigate overseas markets, believing that the U.S. market will continue to be profitable and economic uncertainties make overseas markets too risky. However, in 1999, markets in Europe, Australia, and the Far East outperformed the S&P 500 for the first time in five years. In addition, signs such as mounting price/earnings ratios may indicate that the U.S. stock market will be less profitable than it has been in recent years. Consequently, investment managers should revisit the idea of international investing.

  17. Benefits of using an optimization methodology for identifying robust process integration investments under uncertainty-A pulp mill example

    Svensson, Elin; Berntsson, Thore; Stroemberg, Ann-Brith

    2009-01-01

    This paper presents a case study on the optimization of process integration investments in a pulp mill considering uncertainties in future electricity and biofuel prices and CO 2 emissions charges. The work follows the methodology described in Svensson et al. [Svensson, E., Berntsson, T., Stroemberg, A.-B., Patriksson, M., 2008b. An optimization methodology for identifying robust process integration investments under uncertainty. Energy Policy, in press, (doi:10.1016/j.enpol.2008.10.023)] where a scenario-based approach is proposed for the modelling of uncertainties. The results show that the proposed methodology provides a way to handle the time dependence and the uncertainties of the parameters. For the analyzed case, a robust solution is found which turns out to be a combination of two opposing investment strategies. The difference between short-term and strategic views for the investment decision is analyzed and it is found that uncertainties are increasingly important to account for as a more strategic view is employed. Furthermore, the results imply that the obvious effect of policy instruments aimed at decreasing CO 2 emissions is, in applications like this, an increased profitability for all energy efficiency investments, and not as much a shift between different alternatives

  18. Benefits of using an optimization methodology for identifying robust process integration investments under uncertainty-A pulp mill example

    Svensson, Elin [Department of Energy and Environment, Division of Heat and Power Technology, Chalmers University of Technology, SE-412 96 Goeteborg (Sweden)], E-mail: elin.svensson@chalmers.se; Berntsson, Thore [Department of Energy and Environment, Division of Heat and Power Technology, Chalmers University of Technology, SE-412 96 Goeteborg (Sweden); Stroemberg, Ann-Brith [Fraunhofer-Chalmers Research Centre for Industrial Mathematics, Chalmers Science Park, SE-412 88 Gothenburg (Sweden)

    2009-03-15

    This paper presents a case study on the optimization of process integration investments in a pulp mill considering uncertainties in future electricity and biofuel prices and CO{sub 2} emissions charges. The work follows the methodology described in Svensson et al. [Svensson, E., Berntsson, T., Stroemberg, A.-B., Patriksson, M., 2008b. An optimization methodology for identifying robust process integration investments under uncertainty. Energy Policy, in press, (doi:10.1016/j.enpol.2008.10.023)] where a scenario-based approach is proposed for the modelling of uncertainties. The results show that the proposed methodology provides a way to handle the time dependence and the uncertainties of the parameters. For the analyzed case, a robust solution is found which turns out to be a combination of two opposing investment strategies. The difference between short-term and strategic views for the investment decision is analyzed and it is found that uncertainties are increasingly important to account for as a more strategic view is employed. Furthermore, the results imply that the obvious effect of policy instruments aimed at decreasing CO{sub 2} emissions is, in applications like this, an increased profitability for all energy efficiency investments, and not as much a shift between different alternatives.

  19. Benefits of using an optimization methodology for identifying robust process integration investments under uncertainty. A pulp mill example

    Svensson, Elin; Berntsson, Thore [Department of Energy and Environment, Division of Heat and Power Technology, Chalmers University of Technology, SE-412 96 Goeteborg (Sweden); Stroemberg, Ann-Brith [Fraunhofer-Chalmers Research Centre for Industrial Mathematics, Chalmers Science Park, SE-412 88 Gothenburg (Sweden)

    2009-03-15

    This paper presents a case study on the optimization of process integration investments in a pulp mill considering uncertainties in future electricity and biofuel prices and CO{sub 2} emissions charges. The work follows the methodology described in Svensson et al. [Svensson, E., Berntsson, T., Stroemberg, A.-B., Patriksson, M., 2008b. An optimization methodology for identifying robust process integration investments under uncertainty. Energy Policy, in press, doi:10.1016/j.enpol.2008.10.023] where a scenario-based approach is proposed for the modelling of uncertainties. The results show that the proposed methodology provides a way to handle the time dependence and the uncertainties of the parameters. For the analyzed case, a robust solution is found which turns out to be a combination of two opposing investment strategies. The difference between short-term and strategic views for the investment decision is analyzed and it is found that uncertainties are increasingly important to account for as a more strategic view is employed. Furthermore, the results imply that the obvious effect of policy instruments aimed at decreasing CO{sub 2} emissions is, in applications like this, an increased profitability for all energy efficiency investments, and not as much a shift between different alternatives. (author)

  20. Optimization strategies in complex systems

    Bussolari, L.; Contucci, P.; Giardinà, C.; Giberti, C.; Unguendoli, F.; Vernia, C.

    2003-01-01

    We consider a class of combinatorial optimization problems that emerge in a variety of domains among which: condensed matter physics, theory of financial risks, error correcting codes in information transmissions, molecular and protein conformation, image restoration. We show the performances of two

  1. An entry and exit model on the energy-saving investment strategy with real options

    Lin, Tyrone T.; Huang, S.-L.

    2010-01-01

    This paper presents an improved decision model based on the real options approach presented by for the firms that have not yet established energy-saving equipment under the entry and exit strategies. Furthermore, the proposed model takes account of the inevitable equipment renewal and the occurrence of unexpected events under the Poisson jump process. The timing for terminating an investment when continuous operations of that business are unprofitable is also explored to realize the optimal timing of implementing the energy-saving strategy. The future discounted benefit B follows the geometric Brownian motion with the Poisson jump process and the replacement of investment equipment. A numerical analysis is followed by a sensitivity study of various parameters to better realize their impacts on the entry and exit thresholds. The results show that for the jump case, the higher probability of occurrence of unfavorable events will result in a higher entry threshold and lower exit threshold. Investors are forced to request higher benefit thresholds to cover the higher probability of losses brought by unfavorable events.

  2. An optimization methodology for identifying robust process integration investments under uncertainty

    Svensson, Elin; Berntsson, Thore; Stroemberg, Ann-Brith; Patriksson, Michael

    2009-01-01

    Uncertainties in future energy prices and policies strongly affect decisions on investments in process integration measures in industry. In this paper, we present a five-step methodology for the identification of robust investment alternatives incorporating explicitly such uncertainties in the optimization model. Methods for optimization under uncertainty (or, stochastic programming) are thus combined with a deep understanding of process integration and process technology in order to achieve a framework for decision-making concerning the investment planning of process integration measures under uncertainty. The proposed methodology enables the optimization of investments in energy efficiency with respect to their net present value or an environmental objective. In particular, as a result of the optimization approach, complex investment alternatives, allowing for combinations of energy efficiency measures, can be analyzed. Uncertainties as well as time-dependent parameters, such as energy prices and policies, are modelled using a scenario-based approach, enabling the identification of robust investment solutions. The methodology is primarily an aid for decision-makers in industry, but it will also provide insight for policy-makers into how uncertainties regarding future price levels and policy instruments affect the decisions on investments in energy efficiency measures. (author)

  3. An optimization methodology for identifying robust process integration investments under uncertainty

    Svensson, Elin; Berntsson, Thore [Department of Energy and Environment, Division of Heat and Power Technology, Chalmers University of Technology, SE-412 96 Goeteborg (Sweden); Stroemberg, Ann-Brith [Fraunhofer-Chalmers Research Centre for Industrial Mathematics, Chalmers Science Park, SE-412 88 Gothenburg (Sweden); Patriksson, Michael [Department of Mathematical Sciences, Chalmers University of Technology and Department of Mathematical Sciences, University of Gothenburg, SE-412 96 Goeteborg (Sweden)

    2009-02-15

    Uncertainties in future energy prices and policies strongly affect decisions on investments in process integration measures in industry. In this paper, we present a five-step methodology for the identification of robust investment alternatives incorporating explicitly such uncertainties in the optimization model. Methods for optimization under uncertainty (or, stochastic programming) are thus combined with a deep understanding of process integration and process technology in order to achieve a framework for decision-making concerning the investment planning of process integration measures under uncertainty. The proposed methodology enables the optimization of investments in energy efficiency with respect to their net present value or an environmental objective. In particular, as a result of the optimization approach, complex investment alternatives, allowing for combinations of energy efficiency measures, can be analyzed. Uncertainties as well as time-dependent parameters, such as energy prices and policies, are modelled using a scenario-based approach, enabling the identification of robust investment solutions. The methodology is primarily an aid for decision-makers in industry, but it will also provide insight for policy-makers into how uncertainties regarding future price levels and policy instruments affect the decisions on investments in energy efficiency measures. (author)

  4. Optimal Advance Selling Strategy under Price Commitment

    Chenhang Zeng

    2012-01-01

    This paper considers a two-period model with experienced consumers and inexperienced consumers. The retailer determines both advance selling price and regular selling price at the beginning of the first period. I show that advance selling weekly dominates no advance selling, and the optimal advance selling price may be at a discount, at a premium or at the regular selling price. To help the retailer choose the optimal pricing strategy, conditions for each possible advance selling strategy to ...

  5. Strategic Energy Resource Investment Optimization for the US Army (Serious - A). Appendix D

    Anker, David

    2004-01-01

    The main analytical tool in the SERIOUS-A project for determining investment strategies for providing electrical power to critical mission facilities at an installation by distributed generation (DG...

  6. Optimal investment portfolio in renewable energy. The Spanish case

    Munoz, Jose Ignacio; Sanchez de la Nieta, Agustin A.; Contreras, Javier; Bernal-Agustin, Jose L.

    2009-01-01

    This article presents a model for investing in renewable energies in the framework of the Spanish electricity market in a way that risk is minimised for the investor while returns are maximised. The model outlined here is based on an economic model for calculating cash flows intended to obtain the internal rate of return (IRR) of the different energies being studied: wind, photovoltaic, mini hydro and thermo electrical. The IRRs obtained are considered the returns on investments, while their standard deviations are considered associated risks. In order to minimise risk, a comprehensive portfolio of investments is created that includes all of the available energies by means of a system of linear equations. The solution of the linear system is graphically checked using the efficient frontier method for the different financing options. Several case studies within the Renewable Energies Plan (PER is its Spanish abbreviation) that is in force in Spain in the period 2005-2010 are analysed in order to illustrate the method, as are other case studies using different types of financing, helping us to reach the pertinent conclusions. (author)

  7. State-of-the-art research: optimal investment in market-based electric power systems

    Hope, Einar; Skjeret, Frode

    2008-04-15

    The purpose of this state-of-the-art research paper is to surveying the literature on investment in market based electric power systems as a background for identifying and discussing some important issues in the optimal design and operation of such systems. A fundamental distinction has to be made between investment in the competitive part of the power system (generation and trading) on the one hand and the natural monopoly part (network infrastructure) on the other. The paper starts with a listing and discussion on market characteristics and properties of electric power and goes on to discussing performance criteria and potential sources of market failure for optimal electric power investment. After the literature survey there is a discussion of conditions under which optimal investment may occur. (author). 78 refs., figs

  8. Investments Portfolio Optimal Planning for industrial assets management: Method and Tool

    Lonchampt, Jerome; Fessart, Karine

    2012-01-01

    The purpose of this paper is to describe the method and tool dedicated to optimize investments planning for industrial assets. These investments may either be preventive maintenance tasks, asset enhancement or logistic investment such as spare parts purchase. The three methodological points to investigate in such an issue are: 1. The measure of the profitability of a portfolio of investments 2. The selection and planning of an optimal set of investments 3. The measure of the risk of a portfolio of investments The measure of the profitability of a set of investments in the IPOP (registered) tool is synthesised in the Net Present Value indicator. The NPV is the sum of the differences of discounted cash flows (direct costs, forced outages...) between the situations with and without a given investment. These cash flows are calculated through a pseudo-markov reliability model representing independently the components of the industrial asset and the spare parts inventories. The component model has been widely discussed over the years but the spare part model is a new one based on some approximations that will be discussed. This model, referred as the NPV function, takes for input an investments portfolio and gives its NPV. The second issue is to optimize the NPV. If all investments were independent, this optimization would be an easy calculation, unfortunately there are two sources of dependency. The first one is introduced by the spare part model, as if components are indeed independent in their reliability model, the fact that several components use the same inventory induces a dependency. The second dependency comes from economic, technical or logistic constraints, such as a global maintenance budget limit or a precedence constraint between two investments, making the aggregation of individual optimum not necessary feasible. The algorithm used to solve such a difficult optimization problem is a genetic algorithm. After a description of the features of the software a

  9. Research on Chinese Energy Investment in Turkey under the Silk Road Strategy

    Huang, Yiling

    2017-11-01

    In the context of China’s peaceful rise, the Silk Road strategy will promote China participation in Global trade and investment. The Turkish government has announced a new incentive plan to attract investor. Therefore, Chinese energy investment in Turkey is facing some precious opportunities. However, cultural differences, Turkey’s domestic economic problems, political turmoil and other multiple factors bring severe challenges to China’s energy investment in Turkey, which requires a constructive response.

  10. Dr. Alyce SU on China Overseas Investment Strategy

    2010-01-01

    @@ Brazil Brazil Investment Background Brazil's National Bank for Economic and Social Development (BNDES) (similar role to China Development Bank) is Brazil's leading long term loan provider to Brazilian domestic enterprises. BNDES's subsidiary BNDESPar holds shares of Brazil's listed and unlisted companies. Since 2010, BNDES and BNDESPar have been restructuring investment portfolio by selling shares in Fibria and 2.4% of Banco de Brasil for cash for making future loans. It's 5.3% shares in VALE is widely expected to be the next liquidity event.

  11. Decoding the IT value problem an executive guide for achieving optimal ROI on critical IT investments

    Fell, Gregory J

    2013-01-01

    Gain greater returns from your IT investments Revealing the secrets to proven, effective strategies that enable businesses to leverage the full value of highly expensive IT investments, Decoding the IT Value Problem is a no-nonsense guide for making smart IT investments and cutting through the noise of vendor marketing and media hype. Author Gregory Fell describes in rich detail the actual processes, frameworks, infrastructure and discipline required to develop and execute corporate IT strategies that areprofitable and sustainable.Provides a proven framework for develop

  12. Scaling up Evidence-Based Practices: Strategies from Investing in Innovation (i3)

    DeWire, Tom; McKithen, Clarissa; Carey, Rebecca

    2017-01-01

    What can the Investing in Innovation (i3) grantees tell us about scaling innovative educational practices? The newly released white paper "Scaling Up Evidence-Based Practices: Strategies from Investing in Innovation (i3)" captures the experiences of nine grantees whose projects collectively have reached over 1.2 million students across…

  13. Optimal value of a firm investing in exogeneous technology

    Pólvora, Pedro Ribeiro Coelho Fouto

    2012-01-01

    Mestrado em Matemática Financeira Neste trabalho estudamos o valor ótimo para uma Firma cujo valor função depende de um nível de tecnologia exógeno. Em qualquer ponto no tempo a Firma pode investir numa nova tecnologia incorrendo num custo imediato e em retorno passará a utilizar essa nova tecnologia gerando lucros a partir de uma dada função. Estudamos o tempo de paragem ótimo que corresponde ao ponto no tempo em que a empresa investe para obter a valorização ótima. Usamos uma abordagem d...

  14. Optimizing an Investment Solution in Conditions of Uncertainty and Risk as a Multicriterial Task

    Kotsyuba Oleksiy S.

    2017-10-01

    Full Text Available The article is concerned with the methodology for optimizing investment decisions in conditions of uncertainty and risk. The subject area of the study relates, first of all, to real investment. The problem of modeling an optimal investment solution is considered to be a multicriterial task. Also, the constructive part of the publication is based on the position that the multicriteriality of objectives of investment projecting is the result, first, of the complex nature of the category of economic attractiveness (efficiency of real investment, and secondly, of the need to take into account the risk factor, which is a vector measure, in the preparation of an investment solution. An attempt has been made to develop an instrumentarium to optimize investment decisions in a situation of uncertainty and the risk it engenders, based on the use of roll-up of the local criteria. As a result of its implementation, a model has been proposed, which has the advantage that it takes into account, to a greater extent than is the case for standardized roll-up options, the contensive and formal features of the local (detailed criteria.

  15. Tank Waste Remediation System optimized processing strategy

    Slaathaug, E.J.; Boldt, A.L.; Boomer, K.D.; Galbraith, J.D.; Leach, C.E.; Waldo, T.L.

    1996-03-01

    This report provides an alternative strategy evolved from the current Hanford Site Tank Waste Remediation System (TWRS) programmatic baseline for accomplishing the treatment and disposal of the Hanford Site tank wastes. This optimized processing strategy performs the major elements of the TWRS Program, but modifies the deployment of selected treatment technologies to reduce the program cost. The present program for development of waste retrieval, pretreatment, and vitrification technologies continues, but the optimized processing strategy reuses a single facility to accomplish the separations/low-activity waste (LAW) vitrification and the high-level waste (HLW) vitrification processes sequentially, thereby eliminating the need for a separate HLW vitrification facility

  16. Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy

    Maier, Sebastian; Street, Alexandre; McKinnon, Ken

    2016-01-01

    Investment decisions in renewable energy sources such as small hydro, wind power, biomass and solar are frequently made in the context of enormous uncertainty surrounding both intermittent generation and the highly volatile electricity spot prices that are used for clearing of trades. This paper presents a new portfolio-based approach for selecting long-term investments in small-scale renewable energy projects and matching contracts for the sale of the resulting electricity. Using this approach, we have formulated a stochastic optimisation model that maximises a holding company's risk-averse measure of value. Using an illustrative example representative of investment decisions within the Brazilian electricity system, we investigate the sensitivity of the optimised portfolio composition and commercialisation strategy to contract prices in the free contracting environment and to the decision maker's attitude towards risk. The numerical results demonstrate it is possible to reduce significantly financial risks, such as the price-quantity risk, not only by exploiting the complementarity of the considered renewable sources generation profiles, but also by selecting the optimal mix of commercialisation contracts from different markets. We find that the multi-market strategy generally results in appreciably higher optimal value than single-market strategies and can be applied to a wide range of renewable generators and contracts. - Highlights: • Gives a portfolio-based multi-market, multi-asset approach to renewable investment. • Details how to model currently used contract types in each of the Brazilian markets. • Presents a test case using realistic contract and real renewable data from Brazil. • Shows that the approach controls financial risks and boosts optimal values. • Explains how relative contract prices and attitude to risk affect optimal decisions.

  17. Optimal investment and scheduling of distributed energy resources with uncertainty in electric vehicles driving schedules

    Cardoso, Goncalo [Technical Univ. of Lisbon (Portugal); Stadler, Michael [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Center for Energy and Innovation Technologies (Austria); Bozchalui, Mohammed C. [NEC Laboratories American Inc., Irving, TX (United States); Sharma, Ratnesh [NEC Laboratories American Inc., Irving, TX (United States); Marnay, Chris [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbosa-Povoa, Ana [Technical Univ. of Lisbon (Portugal); Ferrao, Paulo [Technical Univ. of Lisbon (Portugal)

    2013-12-06

    The large scale penetration of electric vehicles (EVs) will introduce technical challenges to the distribution grid, but also carries the potential for vehicle-to-grid services. Namely, if available in large enough numbers, EVs can be used as a distributed energy resource (DER) and their presence can influence optimal DER investment and scheduling decisions in microgrids. In this work, a novel EV fleet aggregator model is introduced in a stochastic formulation of DER-CAM [1], an optimization tool used to address DER investment and scheduling problems. This is used to assess the impact of EV interconnections on optimal DER solutions considering uncertainty in EV driving schedules. Optimization results indicate that EVs can have a significant impact on DER investments, particularly if considering short payback periods. Furthermore, results suggest that uncertainty in driving schedules carries little significance to total energy costs, which is corroborated by results obtained using the stochastic formulation of the problem.

  18. Research on energy strategy and Chinese energy investment in the middle east

    Huang, Yiling

    2017-08-01

    The Middle East is a key node of “One Belt and One Road strategy”. Energy investment is an important part of Chinese investment in the Middle East. The political turmoil in the Middle East has brought the political risks to Chinese investors. In the future, with the globalization of Chinese resource distribution and the expansion of Chinese outward investment, it is significant for China to ensure its energy security. Based on the analysis of the situation of Chinese energy strategy in the Middle East, this paper tries to put forward some suggestion about Chinese energy investment in the Middle East in order to protect Chinese energy security effectively.

  19. 2016 Decadal Update of the NASA ESTO Lidar Technologies Investment Strategy

    Valinia, Azita; Tratt, David M.; Lotshaw, William T.; Gaab, Kevin M.; Komar, George J.; Rioux, Norman M.; Perez, Mario R.; Smith, Erin C.

    2016-01-01

    We describe the 2016 update of the NASA Earth Science Technology Office (ESTO) investment strategy in the area of lidar technologies as pertaining to NASAs Earth Science measurement goals in the next decade.

  20. Optimal control of anthracnose using mixed strategies.

    Fotsa Mbogne, David Jaures; Thron, Christopher

    2015-11-01

    In this paper we propose and study a spatial diffusion model for the control of anthracnose disease in a bounded domain. The model is a generalization of the one previously developed in [15]. We use the model to simulate two different types of control strategies against anthracnose disease. Strategies that employ chemical fungicides are modeled using a continuous control function; while strategies that rely on cultivational practices (such as pruning and removal of mummified fruits) are modeled with a control function which is discrete in time (though not in space). For comparative purposes, we perform our analyses for a spatially-averaged model as well as the space-dependent diffusion model. Under weak smoothness conditions on parameters we demonstrate the well-posedness of both models by verifying existence and uniqueness of the solution for the growth inhibition rate for given initial conditions. We also show that the set [0, 1] is positively invariant. We first study control by impulsive strategies, then analyze the simultaneous use of mixed continuous and pulse strategies. In each case we specify a cost functional to be minimized, and we demonstrate the existence of optimal control strategies. In the case of pulse-only strategies, we provide explicit algorithms for finding the optimal control strategies for both the spatially-averaged model and the space-dependent model. We verify the algorithms for both models via simulation, and discuss properties of the optimal solutions. Copyright © 2015 Elsevier Inc. All rights reserved.

  1. Momentum Investment Strategy : (An Empirical Study of the Canadian Stock Market and the Swedish Stock Market)

    Ludvigsson, Anita

    2008-01-01

    Abstract Market efficiency is a highly debated topic within the academic research field of finance. Several studies have presented that the return on stocks may be predictable by employing the momentum investment strategy, which contradicts the Efficient Market Hypothesis in exchange market. There is extensive international evidence, on an academic level that the momentum investment strategy yields positive abnormal returns when short-term periods are considered. This paper examines the profi...

  2. Optimal investment and scheduling of distributed energy resources with uncertainty in electric vehicle driving schedules

    Cardoso, G.; Stadler, M.; Bozchalui, M.C.; Sharma, R.; Marnay, C.; Barbosa-Póvoa, A.; Ferrão, P.

    2014-01-01

    The large scale penetration of electric vehicles (EVs) will introduce technical challenges to the distribution grid, but also carries the potential for vehicle-to-grid services. Namely, if available in large enough numbers, EVs can be used as a distributed energy resource (DER) and their presence can influence optimal DER investment and scheduling decisions in microgrids. In this work, a novel EV fleet aggregator model is introduced in a stochastic formulation of DER-CAM [1], an optimization tool used to address DER investment and scheduling problems. This is used to assess the impact of EV interconnections on optimal DER solutions considering uncertainty in EV driving schedules. Optimization results indicate that EVs can have a significant impact on DER investments, particularly if considering short payback periods. Furthermore, results suggest that uncertainty in driving schedules carries little significance to total energy costs, which is corroborated by results obtained using the stochastic formulation of the problem. - Highlights: • This paper introduces a new EV aggregator model in the DER-CAM model and expands it with a stochastic formulation. • The model is used to analyze the impact of EVs in DER investment decisions in a large office building. • The uncertainty in EV driving patterns is considered through scenarios based on data from a daily commute driving survey. • Results indicate that EVs have a significant impact in optimal DER decisions, particularly when looking at short payback periods. • Furthermore, results indicate that uncertainty in EV driving schedules has little impact on DER investment decisions

  3. An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks

    Grant E. Muller

    2014-01-01

    Full Text Available We model a Basel III compliant commercial bank that operates in a financial market consisting of a treasury security, a marketable security, and a loan and we regard the interest rate in the market as being stochastic. We find the investment strategy that maximizes an expected utility of the bank’s asset portfolio at a future date. This entails obtaining formulas for the optimal amounts of bank capital invested in different assets. Based on the optimal investment strategy, we derive a model for the Capital Adequacy Ratio (CAR, which the Basel Committee on Banking Supervision (BCBS introduced as a measure against banks’ susceptibility to failure. Furthermore, we consider the optimal investment strategy subject to a constant CAR at the minimum prescribed level. We derive a formula for the bank’s asset portfolio at constant (minimum CAR value and present numerical simulations on different scenarios. Under the optimal investment strategy, the CAR is above the minimum prescribed level. The value of the asset portfolio is improved if the CAR is at its (constant minimum value.

  4. Optimization of investment portfolio weight of stocks affected by market index

    Azizah, E.; Rusyaman, E.; Supian, S.

    2017-01-01

    Stock price assessment, selection of optimum combination, and measure the risk of a portfolio investment is one important issue for investors. In this paper single index model used for the assessment of the stock price, and formulation optimization model developed using Lagrange multiplier technique to determine the proportion of assets to be invested. The level of risk is estimated by using variance. These models are used to analyse the stock price data Lippo Bank and Bumi Putera.

  5. Formation of the Optimal Investment Portfolio as a Precondition for the Bank’s Financial Security

    Anna Shapovalova

    2015-01-01

    Full Text Available This article analyses the definition of the bank’s financial security and investment activities. It describes a few types of models of bank’s risks management and the method CAPM, which is chosen for use. In support for the chosen CAPM method, we included the mathematical model that allows elaborating an optimal investment portfolio. The model stands at the basis of this method and a case study of one of Ukrainian banks.

  6. Formation of the Optimal Investment Portfolio as a Precondition for the Bank’s Financial Security

    Anna Shapovalova

    2016-01-01

    Full Text Available This article analyses the definition of the bank’s financial security and investment activities. It describes a few types of models of bank’s risks management and the method CAPM, which is chosen for use. In support for the chosen CAPM method, we included the mathematical model that allows elaborating an optimal investment portfolio. The model stands at the basis of this method and a case study of one of Ukrainian banks.

  7. The economics of project analysis: Optimal investment criteria and methods of study

    Scriven, M. C.

    1979-01-01

    Insight is provided toward the development of an optimal program for investment analysis of project proposals offering commercial potential and its components. This involves a critique of economic investment criteria viewed in relation to requirements of engineering economy analysis. An outline for a systems approach to project analysis is given Application of the Leontief input-output methodology to analysis of projects involving multiple processes and products is investigated. Effective application of elements of neoclassical economic theory to investment analysis of project components is demonstrated. Patterns of both static and dynamic activity levels are incorporated.

  8. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

    Steffensen, Mogens

    2011-01-01

    We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor...... with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age....

  9. Making optimal investment decisions for energy service companies under uncertainty: A case study

    Deng, Qianli; Jiang, Xianglin; Zhang, Limao; Cui, Qingbin

    2015-01-01

    Varied initial energy efficiency investments would result in different annual energy savings achievements. In order to balance the savings revenue and the potential capital loss through EPC (Energy Performance Contracting), a cost-effective investment decision is needed when selecting energy efficiency technologies. In this research, an approach is developed for the ESCO (Energy Service Company) to evaluate the potential energy savings profit, and thus make the optimal investment decisions. The energy savings revenue under uncertainties, which are derived from energy efficiency performance variation and energy price fluctuation, are first modeled as stochastic processes. Then, the derived energy savings profit is shared by the owner and the ESCO according to the contract specification. A simulation-based model is thus built to maximize the owner's profit, and at the same time, satisfy the ESCO's expected rate of return. In order to demonstrate the applicability of the proposed approach, the University of Maryland campus case is also presented. The proposed method could not only help the ESCO determine the optimal energy efficiency investments, but also assist the owner's decision in the bidding selection. - Highlights: • An optimization model is built for determining energy efficiency investment for ESCO. • Evolution of the energy savings revenue is modeled as a stochastic process. • Simulation is adopted to calculate investment balancing the owner and the ESCO's profit. • A campus case is presented to demonstrate applicability of the proposed approach

  10. Optimal Pricing Strategy in Marketing Research Consulting.

    Chang, Chun-Hao; Lee, Chi-Wen Jevons

    1994-01-01

    This paper studies the optimal pricing scheme for a monopolistic marketing research consultant who sells high-cost proprietary marketing information to her oligopolistic clients in the manufacturing industry. In designing an optimal pricing strategy, the consultant needs to fully consider the behavior of her clients, the behavior of the existing and potential competitors to her clients, and the behavior of her clients' customers. The authors show how the environment uncertainty, the capabilit...

  11. Optimal supply and demand investments in municipal energy systems

    Rolfsman, Bjoern

    2004-01-01

    In many municipalities, there are district heating networks, which are quite commonly supplied by combined heat and power plants (CHP). A district heating network contains buildings of different types. In this paper, one such municipal energy system is analysed. In order to provide space heating and domestic hot water, investments could be made on the supply side in power plants, or on the demand side in the buildings, for example in the form of extra wall insulation. The electricity from the CHP plants is supplied to the municipality but can also be sold to the electricity market, and electricity can, of course, also be bought from the market. The variation in price on the spot market over any given day is significant. The need for district heat in the building stock also varies, for example due to climatic conditions. The energy system in the case study is analysed with a mixed integer linear programming model. The model has 3 h time steps in order to reflect diurnal variations, and an entire year is analysed. A case study is presented for the city of Linkoeping in Sweden. On the demand side, the options are: extra wall insulation, extra attic insulation and better types of windows. The building stock is divided into nine categories

  12. Optimal Equipment Investments for Northern Plains Grain Farms

    Terrance Jalbert; Mercedes Jalbert; James E. Briley

    2010-01-01

    This case presents a teaching tool which requires students to identify an optimal equipment plan for a northern plains small grain farm. Students are presented with information from a farm owner regarding farm size, available labor, farming techniques used and other relevant issues. Students are required to analyze this information to identify the equipment necessary to operate the farm. Students must balance equipment costs and labor issues. They must develop a plan that remains within a pre...

  13. Towards resiliency with micro-grids: Portfolio optimization and investment under uncertainty

    Gharieh, Kaveh

    Energy security and sustained supply of power are critical for community welfare and economic growth. In the face of the increased frequency and intensity of extreme weather conditions which can result in power grid outage, the value of micro-grids to improve the communities' power reliability and resiliency is becoming more important. Micro-grids capability to operate in islanded mode in stressed-out conditions, dramatically decreases the economic loss of critical infrastructure in power shortage occasions. More wide-spread participation of micro-grids in the wholesale energy market in near future, makes the development of new investment models necessary. However, market and price risks in short term and long term along with risk factors' impacts shall be taken into consideration in development of new investment models. This work proposes a set of models and tools to address different problems associated with micro-grid assets including optimal portfolio selection, investment and financing in both community and a sample critical infrastructure (i.e. wastewater treatment plant) levels. The models account for short-term operational volatilities and long-term market uncertainties. A number of analytical methodologies and financial concepts have been adopted to develop the aforementioned models as follows. (1) Capital budgeting planning and portfolio optimization models with Monte Carlo stochastic scenario generation are applied to derive the optimal investment decision for a portfolio of micro-grid assets considering risk factors and multiple sources of uncertainties. (2) Real Option theory, Monte Carlo simulation and stochastic optimization techniques are applied to obtain optimal modularized investment decisions for hydrogen tri-generation systems in wastewater treatment facilities, considering multiple sources of uncertainty. (3) Public Private Partnership (PPP) financing concept coupled with investment horizon approach are applied to estimate public and private

  14. Optimization strategies for complex engineering applications

    Eldred, M.S.

    1998-02-01

    LDRD research activities have focused on increasing the robustness and efficiency of optimization studies for computationally complex engineering problems. Engineering applications can be characterized by extreme computational expense, lack of gradient information, discrete parameters, non-converging simulations, and nonsmooth, multimodal, and discontinuous response variations. Guided by these challenges, the LDRD research activities have developed application-specific techniques, fundamental optimization algorithms, multilevel hybrid and sequential approximate optimization strategies, parallel processing approaches, and automatic differentiation and adjoint augmentation methods. This report surveys these activities and summarizes the key findings and recommendations.

  15. Investing in a healthy lifestyle strategy: is it worth it?

    Benmarhnia, Tarik; Dionne, Pierre-Alexandre; Tchouaket, Éric; Fansi, Alvine K; Brousselle, Astrid

    2017-01-01

    In Quebec, various actors fund activities aimed at increasing physical activity, improving eating habits and reducing smoking. The objective was to evaluate how effective does the healthy lifestyle habits promotion (HLHP) strategy need to be to make to offset its costs. First, we built the logic model of the HLHP strategy. We then assessed the strategy's total cost as well as the direct health care expenditures associated with lifestyle-related risk factors (smoking, physical inactivity, insufficient intake of fruits and vegetables, obesity and overweight). Finally, we estimated the break-even point beyond which the economic benefits of the HLHP strategy would outweigh its costs. The HLHP strategy cost for 2010-2011 was estimated at $110 million. Direct healthcare expenditures associated with lifestyle-related risk factors were estimated at $4.161 billion. We estimated that 47 % of these expenditures were attributable to these risk factors. We concluded that the HLHP strategy cost corresponded to 5.6 % of the annual healthcare expenditures attributable to these risk factors. This study compared the economic value of HLHP activities against healthcare expenditures associated with targeted risk factors.

  16. Electricity pricing: optimal operation and investment by industrial consumers

    Outhred, H.R.; Kaye, R.J.; Sutanto, D.; Manimaran, R.; Bannister, C.H.; Lee, Y.B.

    1988-08-01

    Ongoing research in the areas of economically efficient electricity pricing and industrial consumer response is described. A new electricity pricing theory is described that incorporates future uncertainty and intertemporal linkages between decisions. It indicates that electricity prices should contain two terms - short-run marginal cost plus a term that reflects how each particular decision is likely to affect future global welfare. A practical implementation using spot prices and forward contracts plus financial instruments for risk sharing and decision coordination is explored, and a procedure for developing long-term pricing policy is considered. The operation of industrial plant has been investigated and models developed to optimize plant behaviour in response to spot prices and forward contracts for electricity. These models are described and results of simulation studies discussed. The economic efficiency and risk sharing advantages of this advanced tariff structure compared with a conventional time-of-use tariff are illustrated.

  17. Outward Foreign Direct Investment from Emerging Economies and National Development Strategies

    Gammeltoft, Peter; Kokko, Ari

    2013-01-01

    Foreign direct investment (FDI) is an integral part of national development strategy throughout the developing world. However, while traditionally strategies have focused on the role of inward flows only, today, outward FDI is used on a larger scale and more deliberately to access markets...

  18. Strategy Diversity Stabilizes Mutualism through Investment Cycles, Phase Polymorphism, and Spatial Bubbles

    Boza, Gergely; Kun, Ádám; Scheuring, István; Dieckmann, Ulf

    2012-01-01

    There is continuing interest in understanding factors that facilitate the evolution and stability of cooperation within and between species. Such interactions will often involve plasticity in investment behavior, in response to the interacting partner's investments. Our aim here is to investigate the evolution and stability of reciprocal investment behavior in interspecific interactions, a key phenomenon strongly supported by experimental observations. In particular, we present a comprehensive analysis of a continuous reciprocal investment game between mutualists, both in well-mixed and spatially structured populations, and we demonstrate a series of novel mechanisms for maintaining interspecific mutualism. We demonstrate that mutualistic partners invariably follow investment cycles, during which mutualism first increases, before both partners eventually reduce their investments to zero, so that these cycles always conclude with full defection. We show that the key mechanism for stabilizing mutualism is phase polymorphism along the investment cycle. Although mutualistic partners perpetually change their strategies, the community-level distribution of investment levels becomes stationary. In spatially structured populations, the maintenance of polymorphism is further facilitated by dynamic mosaic structures, in which mutualistic partners form expanding and collapsing spatial bubbles or clusters. Additionally, we reveal strategy-diversity thresholds, both for well-mixed and spatially structured mutualistic communities, and discuss factors for meeting these thresholds, and thus maintaining mutualism. Our results demonstrate that interspecific mutualism, when considered as plastic investment behavior, can be unstable, and, in agreement with empirical observations, may involve a polymorphism of investment levels, varying both in space and in time. Identifying the mechanisms maintaining such polymorphism, and hence mutualism in natural communities, provides a significant

  19. ANALYSIS OF THE INVESTMENT ARBITRAGE STRATEGY USING FINANCIAL MULTIPLIERS

    Dmitry S. Pashkov

    2013-01-01

    Full Text Available This article describes an algorithm for stock pairs trading using financial multipliers of underlying companies. This algorithm has been tested on historical data and compared with classical Bollinger bands strategy. The results of tests were presented for two financial sectors of US stock market.

  20. Mixed integer evolution strategies for parameter optimization.

    Li, Rui; Emmerich, Michael T M; Eggermont, Jeroen; Bäck, Thomas; Schütz, M; Dijkstra, J; Reiber, J H C

    2013-01-01

    Evolution strategies (ESs) are powerful probabilistic search and optimization algorithms gleaned from biological evolution theory. They have been successfully applied to a wide range of real world applications. The modern ESs are mainly designed for solving continuous parameter optimization problems. Their ability to adapt the parameters of the multivariate normal distribution used for mutation during the optimization run makes them well suited for this domain. In this article we describe and study mixed integer evolution strategies (MIES), which are natural extensions of ES for mixed integer optimization problems. MIES can deal with parameter vectors consisting not only of continuous variables but also with nominal discrete and integer variables. Following the design principles of the canonical evolution strategies, they use specialized mutation operators tailored for the aforementioned mixed parameter classes. For each type of variable, the choice of mutation operators is governed by a natural metric for this variable type, maximal entropy, and symmetry considerations. All distributions used for mutation can be controlled in their shape by means of scaling parameters, allowing self-adaptation to be implemented. After introducing and motivating the conceptual design of the MIES, we study the optimality of the self-adaptation of step sizes and mutation rates on a generalized (weighted) sphere model. Moreover, we prove global convergence of the MIES on a very general class of problems. The remainder of the article is devoted to performance studies on artificial landscapes (barrier functions and mixed integer NK landscapes), and a case study in the optimization of medical image analysis systems. In addition, we show that with proper constraint handling techniques, MIES can also be applied to classical mixed integer nonlinear programming problems.

  1. Research on the robust optimization of the enterprise's decision on the investment to the collaborative innovation: Under the risk constraints

    Zhou, Qing; Fang, Gang; Wang, Dong-peng; Yang, Wei

    2016-01-01

    Abstracts: The robust optimization model is applied to analyze the enterprise's decision of the investment portfolio for the collaborative innovation under the risk constraints. Through the mathematical model deduction and the simulation analysis, the research result shows that the enterprise's investment to the collaborative innovation has relatively obvious robust effect. As for the collaborative innovation, the return from the investment coexists with the risk of it. Under the risk constraints, the robust optimization method could solve the minimum risk as well as the proportion of each investment scheme in the portfolio on the condition of different target returns from the investment. On the basis of the result, the enterprise could balance between the investment return and risk and make optimal decision on the investment scheme.

  2. Parallel strategy for optimal learning in perceptrons

    Neirotti, J P

    2010-01-01

    We developed a parallel strategy for learning optimally specific realizable rules by perceptrons, in an online learning scenario. Our result is a generalization of the Caticha-Kinouchi (CK) algorithm developed for learning a perceptron with a synaptic vector drawn from a uniform distribution over the N-dimensional sphere, so called the typical case. Our method outperforms the CK algorithm in almost all possible situations, failing only in a denumerable set of cases. The algorithm is optimal in the sense that it saturates Bayesian bounds when it succeeds.

  3. Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

    Urbanowicz, Krzysztof; Hołyst, Janusz A.

    2004-12-01

    Using a recently developed method of noise level estimation that makes use of properties of the coarse-grained entropy, we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40% to 80% of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that the implementation of a corresponding threshold investment strategy leads to positive returns for historical data.

  4. Optimized Strategies for Detecting Extrasolar Space Weather

    Hallinan, Gregg

    2018-06-01

    Fully understanding the implications of space weather for the young solar system, as well as the wider population of planet-hosting stars, requires remote sensing of space weather in other stellar systems. Solar coronal mass ejections can be accompanied by bright radio bursts at low frequencies (typically measurement of the magnetic field strength of the planet, informing on whether the atmosphere of the planet can survive the intense magnetic activity of its host star. However, both stellar and planetary radio emission are highly variable and optimal strategies for detection of these emissions requires the capability to monitor 1000s of nearby stellar/planetary systems simultaneously. I will discuss optimized strategies for both ground and space-based experiments to take advantage of the highly variable nature of the radio emissions powered by extrasolar space weather to enable detection of stellar CMEs and planetary magnetospheres.

  5. Investment Strategy of Emission-Reduction Technology in a Supply Chain

    Gao Xiang Lou

    2015-08-01

    Full Text Available Greenhouse gas emissions have serious impacts on the natural environment. Therefore, the restrictions imposed on carbon emission force enterprises to take carbon emission into consideration when making production decisions. In this paper, in the context of allowing emission trading and investment of emission reduction technology, models were presented for a two-stage supply chain to analyze the optimal investment and pricing decisions. The results indicate that manufacturer’s endurance capacity of reduction difficulty is higher in the cooperation model than in the Stackelberg game model, and that perfect coordination of supply chains can be realized by a revenue sharing contract. From the perspective of a consumer, low-carbon products mean higher price, so that subsidies or tax exemptions should be provided to keep low prices. Meanwhile, the government can promote investment in emission-reduction technologies and achieve its emission reduction targets by controlling emission trading price, strengthening emission reduction publicity and providing technology investment subsidies.

  6. Optimization of pocket machining strategy in HSM

    Msaddek, El Bechir; Bouaziz, Zoubeir; Dessein, Gilles; Baili, Maher

    2012-01-01

    International audience; Our two major concerns, which should be taken into consideration as soon as we start the selecting the machining parameters, are the minimization of the machining time and the maintaining of the high-speed machining machine in good state. The manufacturing strategy is one of the parameters which practically influences the time of the different geometrical forms manufacturing, as well as the machine itself. In this article, we propose an optimization methodology of the ...

  7. Optimal strategies for pricing general insurance

    Emms, P.; Haberman, S.; Savoulli, I.

    2006-01-01

    Optimal premium pricing policies in a competitive insurance environment are investigated using approximation methods and simulation of sample paths. The market average premium is modelled as a diffusion process, with the premium as the control function and the maximization of the expected total utility of wealth, over a finite time horizon, as the objective. In order to simplify the optimisation problem, a linear utility function is considered and two particular premium strategies are adopted...

  8. Mean-variance portfolio analysis data for optimizing community-based photovoltaic investment

    Mahmoud Shakouri

    2016-03-01

    Full Text Available The amount of electricity generated by Photovoltaic (PV systems is affected by factors such as shading, building orientation and roof slope. To increase electricity generation and reduce volatility in generation of PV systems, a portfolio of PV systems can be made which takes advantages of the potential synergy among neighboring buildings. This paper contains data supporting the research article entitled: PACPIM: new decision-support model of optimized portfolio analysis for community-based photovoltaic investment [1]. We present a set of data relating to physical properties of 24 houses in Oregon, USA, along with simulated hourly electricity data for the installed PV systems. The developed Matlab code to construct optimized portfolios is also provided in Supplementary materials. The application of these files can be generalized to variety of communities interested in investing on PV systems. Keywords: Community solar, Photovoltaic system, Portfolio theory, Energy optimization, Electricity volatility

  9. Optimal capital accumulation and the allocation of investment between traded and nontraded sectors in oil-producing countries.

    van Wijnbergen, S.J.G.

    1985-01-01

    A paper on the optimal capital accumulation and allocation of investment in oil exporting countries. Investigates the basis of consumption and investment levels on optimizing forward-looking behavior, the role of physical capital in the production, the impact of the decline in oil revenues on the

  10. The evolution of different maternal investment strategies in two closely related desert vertebrates

    Ennen, Joshua R.; Lovich, Jeffrey E.; Averill-Murray, Roy C.; Yackulic, Charles B.; Agha, Mickey; Loughran, Caleb; Tennant, Laura A.; Sinervo, Barry

    2017-01-01

    We compared egg size phenotypes and tested several predictions from the optimal egg size (OES) and bet-hedging theories in two North American desert-dwelling sister tortoise taxa, Gopherus agassizii and G. morafkai, that inhabit different climate spaces: relatively unpredictable and more predictable climate spaces, respectively. Observed patterns in both species differed from the predictions of OES in several ways. Mean egg size increased with maternal body size in both species. Mean egg size was inversely related to clutch order in G. agassizii, a strategy more consistent with the within-generation hypothesis arising out of bet-hedging theory or a constraint in egg investment due to resource availability, and contrary to theories of density dependence, which posit that increasing hatchling competition from later season clutches should drive selection for larger eggs. We provide empirical evidence that one species, G. agassizii, employs a bet-hedging strategy that is a combination of two different bet-hedging hypotheses. Additionally, we found some evidence for G. morafkai employing a conservative bet-hedging strategy. (e.g., lack of intra- and interclutch variation in egg size relative to body size). Our novel adaptive hypothesis suggests the possibility that natural selection favors smaller offspring in late-season clutches because they experience a more benign environment or less energetically challenging environmental conditions (i.e., winter) than early clutch progeny, that emerge under harsher and more energetically challenging environmental conditions (i.e., summer). We also discuss alternative hypotheses of sexually antagonistic selection, which arise from the trade-offs of son versus daughter production that might have different optima depending on clutch order and variation in temperature-dependent sex determination (TSD) among clutches. Resolution of these hypotheses will require long-term data on fitness of sons versus daughters as a function of

  11. Managerial optimism and the impact of cash flow sensitivity on corporate investment: The case of Greece

    Dimitrios I. Maditinos

    2015-10-01

    Full Text Available Purpose - The existence of optimism as a personal psychological characteristic of managers is a necessity in contemporary economy and decision making, although the phenomenon of over-optimism may lead to unfavourable outcomes. The purpose of this study is to examine the optimism bias and its impact on the firms' future performance. Especially regarding the recent years where Greece faces increased economic depression, high percentages of unemployment and lack of budgetary discipline, the goal is therefore, to find whether managerial optimism has an impact on corporate investment of Greek firms. Design/methodology/approach - The investment of firms with optimistic managers is more sensitive to cash flow than the investment of firms with managers who are not optimistic. To test the research question a number of fixed effect panel regressions of capital expenditures (capital expenditures divided by lagged assets is the dependent variable is run. In all regressions we analyse cash flow divided by lagged assets and lagged Tobin's Q as the independent variables, for firms whose managers are classified as optimistic and not optimistic. This classification is based on the optimism "dummy" variable, which is equal to 1 when members of the Executive Board and the Supervisory Board (ALL, only the Executive Board (EB, and only CEO are classified as optimistic. The concept of this study is tested for firms which are listed in the Athens Stock Exchange. A total of 243 firms are recorded, for the time period between 2007 and 2012, including firms from 11 different industries; basic materials, chemicals, consumer goods, consumer services, health care, industrials, financials, oil and gas, technology, telecommunications and utilities. Based on the literature and on related methodology aspects, financial firms are excluded. Findings - It was revealed that managerial optimism affects corporate investment in firms with high degree of closely held shares. Moreover

  12. Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA

    Tihana Škrinjarić

    2014-04-01

    Full Text Available Nowadays, there is a growing interest in the application of quantitative methods in portfolio management, as the results of their application can be used as guidelines for managing a successful investment portfolio, i.e., a portfolio that outperforms the market. This paper deals with the Data Envelopment Analysis (DEA approach and a Dynamic Slacks-Based Measure as a method of forming a portfolio which would predominantly outperform the market. In order to test the strategy, data on stocks listed on the Zagreb Stock Exchange were gathered for the period April 2009 – June 2012. Using the quarterly returns, standard deviations and coefficients of skewness as links, a dynamic slacks-based measure approach was applied to evaluate the relative efficiency of stocks in each quarter. The findings indicate that a portfolio based on the results of the optimization beats the market in terms of both returns and risk. This is the first implementation of the dynamic DEA model in stock trading. The results suggest that it is superior to basic DEA models.

  13. Comparison of different reliability improving investment strategies of Finnish medium-voltage distribution systems

    Laagland, H.

    2012-07-01

    The electricity distribution sector in Finland is highly regulated and the return on investments in distribution networks is low. Low profits don't make the electricity distribution sector attractive to outside investors. During the second regulatory period of 2008-2011 incentives are included into the Finnish regulation model which allows higher profits for the network owners for right allocated network investments leading to lower operation and interruption costs. The goal of the thesis is to find cost-effective medium-voltage distribution system investment strategies for the Finnish power distribution companies with respect to the incentives of the second regulatory period. In this work the sectionalisation concept is further developed by deriving equations for a homogeneous electricity distribution system for the economical and reliability indices as a function of the number of sectionalisation zones. The cost-effective medium-voltage distribution system investment strategies are found by studying the technical and economic interaction of feeder automation on different network structures. Ten feeder automation schemes have been applied to six urban/rural area generic feeders and two real rural area feeders of a distribution company in western Finland. The analytical approach includes modelling of the feeders and feeder functions and calculation of the economical and reliability indices. The following investment areas are included: different electricity distribution systems, new substation, new switching station, central earth-fault current compensation, cabling and feeder automation. The value of the results of this work is that they reveal the influence that feeder automation has on the reliability and economy of different distribution structures. This created transparency enables a national and/or distribution company network investment strategy to optimise the economic benefits of investments. (orig.)

  14. Strategies for Optimizing Algal Biology for Enhanced Biomass Production

    Barry, Amanda N.; Starkenburg, Shawn R.; Sayre, Richard T., E-mail: rsayre@newmexicoconsortium.org [Los Alamos National Laboratory, New Mexico Consortium, Los Alamos, NM (United States)

    2015-02-02

    One of the most environmentally sustainable ways to produce high-energy density (oils) feed stocks for the production of liquid transportation fuels is from biomass. Photosynthetic carbon capture combined with biomass combustion (point source) and subsequent carbon capture and sequestration has also been proposed in the intergovernmental panel on climate change report as one of the most effective and economical strategies to remediate atmospheric greenhouse gases. To maximize photosynthetic carbon capture efficiency and energy-return-on-investment, we must develop biomass production systems that achieve the greatest yields with the lowest inputs. Numerous studies have demonstrated that microalgae have among the greatest potentials for biomass production. This is in part due to the fact that all alga cells are photoautotrophic, they have active carbon concentrating mechanisms to increase photosynthetic productivity, and all the biomass is harvestable unlike plants. All photosynthetic organisms, however, convert only a fraction of the solar energy they capture into chemical energy (reduced carbon or biomass). To increase aerial carbon capture rates and biomass productivity, it will be necessary to identify the most robust algal strains and increase their biomass production efficiency often by genetic manipulation. We review recent large-scale efforts to identify the best biomass producing strains and metabolic engineering strategies to improve aerial productivity. These strategies include optimization of photosynthetic light-harvesting antenna size to increase energy capture and conversion efficiency and the potential development of advanced molecular breeding techniques. To date, these strategies have resulted in up to twofold increases in biomass productivity.

  15. Strategies for Optimizing Algal Biology for Enhanced Biomass Production

    Barry, Amanda N.; Starkenburg, Shawn R.; Sayre, Richard T.

    2015-01-01

    One of the most environmentally sustainable ways to produce high-energy density (oils) feed stocks for the production of liquid transportation fuels is from biomass. Photosynthetic carbon capture combined with biomass combustion (point source) and subsequent carbon capture and sequestration has also been proposed in the intergovernmental panel on climate change report as one of the most effective and economical strategies to remediate atmospheric greenhouse gases. To maximize photosynthetic carbon capture efficiency and energy-return-on-investment, we must develop biomass production systems that achieve the greatest yields with the lowest inputs. Numerous studies have demonstrated that microalgae have among the greatest potentials for biomass production. This is in part due to the fact that all alga cells are photoautotrophic, they have active carbon concentrating mechanisms to increase photosynthetic productivity, and all the biomass is harvestable unlike plants. All photosynthetic organisms, however, convert only a fraction of the solar energy they capture into chemical energy (reduced carbon or biomass). To increase aerial carbon capture rates and biomass productivity, it will be necessary to identify the most robust algal strains and increase their biomass production efficiency often by genetic manipulation. We review recent large-scale efforts to identify the best biomass producing strains and metabolic engineering strategies to improve aerial productivity. These strategies include optimization of photosynthetic light-harvesting antenna size to increase energy capture and conversion efficiency and the potential development of advanced molecular breeding techniques. To date, these strategies have resulted in up to twofold increases in biomass productivity.

  16. Power sector investment risk and renewable energy: A Japanese case study using portfolio risk optimization method

    Bhattacharya, Anindya; Kojima, Satoshi

    2012-01-01

    The conventional pricing mechanism used for electricity systematically hides huge investment risks which are embedded in the overall cost of production. Although consumers are often unaware of these risks, they present a large financial burden on the economy. This study applies the portfolio optimization concepts from the field of finance to demonstrate the scope of greater utilization of renewable energies (RE) while reducing the embedded investment risk in the conventional electricity sector and its related financial burden. This study demonstrates that RE investment can compensate for the risks associated with the total input costs; such costs being external volatilities of fossil fuel prices, capital costs, operating and maintenance costs and the carbon costs. By means of example, this case study shows that Japan could in theory obtain up to 9% of its electricity supply from green sources, as compared to the present 1.37%, based on the utilization of a portfolio risk-analysis evaluation. Explicit comparison of the monetary values of the investment risks of conventional and renewable energy sources shows that renewable energies have high market competitiveness. The study concludes with a recommendation that, as a business objective, investors would benefit by focusing on electricity supply portfolio risk minimization instead of cost. This could also inherently increase the supply of renewable energy in the market. - Research highlights: ►Energy sector investors should not be bothered only about the absolute cost figures of the input factors like fossil fuels but should also be careful about the fluctuation of their costs while making the investment decisions. ►Inclusion of renewable energy in the investment portfolio can increase the cost apparently but can reduce the risk hedging costs, too. ►International carbon price may not be a good factor to encourage renewable energy investment in the market.

  17. TRADE AND FOREIGN DIRECT INVESTMENT MANAGEMENT STRATEGIES FOR U.S. PROCESSED FOOD FIRMS IN CHINA

    Marchant, Mary A.; Saghaian, Sayed H.; Vickner, Steven S.

    1999-01-01

    This research examines the relationship between U.S. foreign direct investment (FDI) and exports of processed foods to China and identifies management strategies to enhance U.S. competitiveness. Two-stage least-squares empirical econometric results from a simultaneous equation system indicate that there exists a strong complementary relationship between U.S exports and FDI into China. Therefore, the appropriate managerial strategy to access Chinese processed foods markets is to increase overa...

  18. Web malware spread modelling and optimal control strategies

    Liu, Wanping; Zhong, Shouming

    2017-02-01

    The popularity of the Web improves the growth of web threats. Formulating mathematical models for accurate prediction of malicious propagation over networks is of great importance. The aim of this paper is to understand the propagation mechanisms of web malware and the impact of human intervention on the spread of malicious hyperlinks. Considering the characteristics of web malware, a new differential epidemic model which extends the traditional SIR model by adding another delitescent compartment is proposed to address the spreading behavior of malicious links over networks. The spreading threshold of the model system is calculated, and the dynamics of the model is theoretically analyzed. Moreover, the optimal control theory is employed to study malware immunization strategies, aiming to keep the total economic loss of security investment and infection loss as low as possible. The existence and uniqueness of the results concerning the optimality system are confirmed. Finally, numerical simulations show that the spread of malware links can be controlled effectively with proper control strategy of specific parameter choice.

  19. Report on the surveys in fiscal 1999 on the long term energy technology strategy investigations. Investigations on evaluation on impact of research and development investments, and optimal resource distribution; 1999 nendo choki energy gijutsu senryaku chosa hokokusho. Kenkyu kaihatsu toshi no impact hyoka oyobi saiteki shigen haibun ni kansuru chosa

    NONE

    2000-03-01

    This paper is a survey report for fiscal 1999 related to investigations on evaluation on impact (influential effect) of research and development investments, and on optimal resource distribution. First, a quantification analysis was performed on the impact imposed by the New Sunshine Project having been executed in the past. The analysis used as the base the regressive analysis between the project techno-stock (an index of the project budget amount depleted by a certain obsoletion rate after having been substantiated and aggregated) and the number of theses. In a case where time-series data can be obtained on the quantity of practical application, the regressive analysis was also performed between the number of theses and the quantity of practical application. A large number of projects are stimulating research and development activities of the subject themes of all about Japan. Some are imposing great influential effect on the practical application. In addition, it was found that emphasized and concentrated investment cases in the initial stage of a project have high influential effect. As a budget distribution pattern, the concentrated and emphasized investments in the initial stage of a project are more effective than investing dispersedly over an extended period of time. Suggestions were acquired on the future budget distribution. (NEDO)

  20. Mean-variance portfolio analysis data for optimizing community-based photovoltaic investment.

    Shakouri, Mahmoud; Lee, Hyun Woo

    2016-03-01

    The amount of electricity generated by Photovoltaic (PV) systems is affected by factors such as shading, building orientation and roof slope. To increase electricity generation and reduce volatility in generation of PV systems, a portfolio of PV systems can be made which takes advantages of the potential synergy among neighboring buildings. This paper contains data supporting the research article entitled: PACPIM: new decision-support model of optimized portfolio analysis for community-based photovoltaic investment [1]. We present a set of data relating to physical properties of 24 houses in Oregon, USA, along with simulated hourly electricity data for the installed PV systems. The developed Matlab code to construct optimized portfolios is also provided in . The application of these files can be generalized to variety of communities interested in investing on PV systems.

  1. Optimization Under Uncertainty for Wake Steering Strategies

    Quick, Julian [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Annoni, Jennifer [National Renewable Energy Laboratory (NREL), Golden, CO (United States); King, Ryan N [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Dykes, Katherine L [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Fleming, Paul A [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Ning, Andrew [Brigham Young University

    2017-08-03

    Offsetting turbines' yaw orientations from incoming wind is a powerful tool that may be leveraged to reduce undesirable wake effects on downstream turbines. First, we examine a simple two-turbine case to gain intuition as to how inflow direction uncertainty affects the optimal solution. The turbines are modeled with unidirectional inflow such that one turbine directly wakes the other, using ten rotor diameter spacing. We perform optimization under uncertainty (OUU) via a parameter sweep of the front turbine. The OUU solution generally prefers less steering. We then do this optimization for a 60-turbine wind farm with unidirectional inflow, varying the degree of inflow uncertainty and approaching this OUU problem by nesting a polynomial chaos expansion uncertainty quantification routine within an outer optimization. We examined how different levels of uncertainty in the inflow direction effect the ratio of the expected values of deterministic and OUU solutions for steering strategies in the large wind farm, assuming the directional uncertainty used to reach said OUU solution (this ratio is defined as the value of the stochastic solution or VSS).

  2. The strategy of ethic investment of the Norwegian petroleum fund and arms companies

    Paulin, Cedric

    2006-01-01

    The author comments the background of the consecutive disengagements of the Norwegian Government Petroleum Fund from several companies belonging to the arms sector, a disengagement which complies with the opinion of various actors in favour of a socially responsible investment, and of NGOs and associations opposed to the armament sector. After having recalled the global definition of this fund which was created in 1990, and of its investment policy, the author analyses the framework within which these disengagements occur, comments how these different spheres (the fund and the other above mentioned actors) finally met. He also wanders whether this ethics actually concern arms company or is in fact related to a problem proper to investment funds in general. The author notably indicates the various arms companies from which the Petroleum Fund withdrew its investments. The author also outlines some remaining ambiguities of the strategy of ethic investment of the former Norwegian Petroleum Fund, and shows that its methodology of ethic and socially responsible investment applied to the arms sector is in fact not yet precisely defined

  3. Optimal investment decisions with a liability: the case of defined benefit pension plans

    Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo

    2006-01-01

    In this paper the optimal management of an aggregated dynamic pension fund is studied. To cover the promised liabilities to workers at the age of retirement, the plan sponsor continuously manages time-varying funds. He or she can choose the rate of contribution to the fund, the investment in a given number of risky assets, and a security with constant rate of return. The problem of maximizing the probability that the fund assets achieve some prescribed goal before some undesirable lower value...

  4. Investments in the LNG Value Chain: A Multistage Stochastic Optimization Model focusing on Floating Liquefaction Units

    Røstad, Lars Dybsjord; Erichsen, Jeanette Christine

    2012-01-01

    In this thesis, we have developed a strategic optimization model of investments in infrastructure in the LNG value chain. The focus is on floating LNG production units: when they are a viable solution and what value they add to the LNG value chain. First a deterministic model is presented with focus on describing the value chain, before it is expanded to a multistage stochastic model with uncertain field sizes and gas prices. The objective is to maximize expected discounted profits through op...

  5. Trade, Foreign Direct Investment or Acquisition: Optimal Entry Modes for Multinationals

    Theo Eicher; Jong Woo Kang

    2004-01-01

    We examine multinationals’ optimal entry modes into foreign markets as a function of market size, FDI fixed costs, tariffs and transport costs. Our results highlight why large countries are more likely to attract acquisition investment, while intermediate-sized countries may be served predominantly through trade, even in the presence of high tariffs. Small countries are most likely to experience either FDI or no entry. We also show how these results vary with the competition intensity in th...

  6. DETERMINATION OF THE OPTIMAL CAPITAL INVESTMENTS TO ENSURE THE SUSTAINABLE DEVELOPMENT OF THE RAILWAY

    O. I. Kharchenko

    2015-04-01

    Full Text Available Purpose. Every year more attention is paid for the theoretical and practical issue of sustainable development of railway transport. But today the mechanisms of financial support of this development are poorly understood. Therefore, the aim of this article is to determine the optimal investment allocation to ensure sustainable development of the railway transport on the example of State Enterprise «Prydniprovsk Railway» and the creation of preconditions for the mathematical model development. Methodology. The ensuring task for sustainable development of railway transport is solved on the basis of the integral indicator of sustainable development effectiveness and defined as the maximization of this criterion. The optimization of measures technological and technical characters are proposed to carry out for increasing values of the integral performance measure components. To the optimization activities of technological nature that enhance the performance criteria belongs: optimization of the number of train and shunting locomotives, optimization of power handling mechanisms at the stations, optimization of routes of train flows. The activities related to the technical nature include: modernization of railways in the direction of their electrification and modernization of the running gear and coupler drawbars of rolling stock, as well as means of separators mechanization at stations to reduce noise impacts on the environment. Findings. The work resulted in the optimal allocation of investments to ensure the sustainable development of railway transportation of State Enterprise «Prydniprovsk Railway». This allows providing such kind of railway development when functioning of State Enterprise «Prydniprovsk Railway» is characterized by a maximum value of the integral indicator of efficiency. Originality. The work was reviewed and the new approach was proposed to determine the optimal allocation of capital investments to ensure sustainable

  7. DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET

    Margareta Gardijan

    2012-12-01

    Full Text Available This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR and beta coefficient $(\\beta$, while monthly return represents an output. Following the „efficiency scores“, obtained from the models, we construct a portfolio of DEA-efficient stocks (DEA-portfolio. This portfolio can be modified over time according to changes of the DMU's efficiency scores. By comparing the returns of the EA-portfolio and the market return during the given time period, the applicability of the investment strategy based on a DEA methodology, as a strategy for achieving superior returns, is estimated.

  8. Combined optimization model for sustainable energization strategy

    Abtew, Mohammed Seid

    Access to energy is a foundation to establish a positive impact on multiple aspects of human development. Both developed and developing countries have a common concern of achieving a sustainable energy supply to fuel economic growth and improve the quality of life with minimal environmental impacts. The Least Developing Countries (LDCs), however, have different economic, social, and energy systems. Prevalence of power outage, lack of access to electricity, structural dissimilarity between rural and urban regions, and traditional fuel dominance for cooking and the resultant health and environmental hazards are some of the distinguishing characteristics of these nations. Most energy planning models have been designed for developed countries' socio-economic demographics and have missed the opportunity to address special features of the poor countries. An improved mixed-integer programming energy-source optimization model is developed to address limitations associated with using current energy optimization models for LDCs, tackle development of the sustainable energization strategies, and ensure diversification and risk management provisions in the selected energy mix. The Model predicted a shift from traditional fuels reliant and weather vulnerable energy source mix to a least cost and reliable modern clean energy sources portfolio, a climb on the energy ladder, and scored multifaceted economic, social, and environmental benefits. At the same time, it represented a transition strategy that evolves to increasingly cleaner energy technologies with growth as opposed to an expensive solution that leapfrogs immediately to the cleanest possible, overreaching technologies.

  9. Local Optimization Strategies in Urban Vehicular Mobility.

    Pierpaolo Mastroianni

    Full Text Available The comprehension of vehicular traffic in urban environments is crucial to achieve a good management of the complex processes arising from people collective motion. Even allowing for the great complexity of human beings, human behavior turns out to be subject to strong constraints--physical, environmental, social, economic--that induce the emergence of common patterns. The observation and understanding of those patterns is key to setup effective strategies to optimize the quality of life in cities while not frustrating the natural need for mobility. In this paper we focus on vehicular mobility with the aim to reveal the underlying patterns and uncover the human strategies determining them. To this end we analyze a large dataset of GPS vehicles tracks collected in the Rome (Italy district during a month. We demonstrate the existence of a local optimization of travel times that vehicle drivers perform while choosing their journey. This finding is mirrored by two additional important facts, i.e., the observation that the average vehicle velocity increases by increasing the travel length and the emergence of a universal scaling law for the distribution of travel times at fixed traveled length. A simple modeling scheme confirms this scenario opening the way to further predictions.

  10. Energy transition: which investments for which competitiveness? Understanding German, Spanish and British strategies

    2013-01-01

    This document reports a study which aimed at a better understanding of energy transition strategies in Germany, Spain and United Kingdom. It outlines that these strategies are different and give contrasted results, that economic implication of energy transition programmes are also different. Two financing approaches are identified (mainly by private investors, or by mobilizing all types of financial support), and therefore two economic strategies (productivity-oriented investments, or search for a structural competitiveness with a new growth model). The report notices that there is no reference study of the impact of energy transition on employment

  11. Evaluation on Optimal Scale of Rural Fixed-asset Investment-Based on Microcosmic Perspective of Farmers’ Income Increase

    Jinqian; DENG; Kangkang; SHAN; Yan; ZHANG

    2014-01-01

    The rural fundamental and productive fixed-asset investment not only makes active influence on the changes of farmers’ operational,wages and property income,but it also has an optimal scale range for farmers’ income increase. From the perspective of farmers’ income increase,this article evaluates the optimal scale of rural fixed-asset investment by setting up model with statistic data,and the results show that the optimal scale of per capita rural fixed-asset investment is 76. 35% of per capita net income of rural residents,which has been reached in China in 2009. Therefore,compared with the adding of rural fixed-asset investment,a better income increase effect can be achieved through the adjustment of rural fixed-asset investment structure.

  12. Optimal allocation of trend following strategies

    Grebenkov, Denis S.; Serror, Jeremy

    2015-09-01

    We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and variance of the portfolio return. We construct then the optimal portfolio that maximizes risk-adjusted return by accounting for inter-asset correlations. The dynamic allocation problem for n assets is shown to be equivalent to the classical static allocation problem for n2 virtual assets that include lead-lag corrections in positions of TF strategies. The respective roles of asset auto-correlations and inter-asset correlations are investigated in depth for the two-asset case and a sector model. In contrast to the principle of diversification suggesting to treat uncorrelated assets, we show that inter-asset correlations allow one to estimate apparent trends more reliably and to adjust the TF positions more efficiently. If properly accounted for, inter-asset correlations are not deteriorative but beneficial for portfolio management that can open new profit opportunities for trend followers. These concepts are illustrated using daily returns of three highly correlated futures markets: the E-mini S&P 500, Euro Stoxx 50 index, and the US 10-year T-note futures.

  13. Assessing the economic value of co-optimized grid-scale energy storage investments in supporting high renewable portfolio standards

    Go, Roderick S.; Munoz, Francisco D.; Watson, Jean-Paul

    2016-01-01

    Highlights: • We present a MILP to co-optimize generation, transmission, and storage investments. • We find significant value in co-optimized storage via investment deferrals. • Operational savings from bulk services are small relative to investment deferrals. • Co-optimized energy storage significantly reduces prices associated with RPS. - Abstract: Worldwide, environmental regulations such as Renewable Portfolio Standards (RPSs) are being broadly adopted to promote renewable energy investments. With corresponding increases in renewable energy deployments, there is growing interest in grid-scale energy storage systems (ESS) to provide the flexibility needed to efficiently deliver renewable power to consumers. Our contribution in this paper is to introduce a unified generation, transmission, and bulk ESS expansion planning model subject to an RPS constraint, formulated as a two-stage stochastic mixed-integer linear program (MILP) optimization model, which we then use to study the impact of co-optimization and evaluate the economic interaction between investments in these three asset classes in achieving high renewable penetrations. We present numerical case studies using the 24-bus IEEE RTS-96 test system considering wind and solar as available renewable energy resources, and demonstrate that up to $180 million/yr in total cost savings can result from the co-optimization of all three assets, relative to a situation in which no ESS investment options are available. Surprisingly, we find that co-optimized bulk ESS investments provide significant economic value through investment deferrals in transmission and generation capacity, but very little savings in operational cost. Finally, we observe that planning transmission and generation infrastructure first and later optimizing ESS investments—as is common in industry—captures at most 1.7% ($3 million/yr) of the savings that result from co-optimizing all assets simultaneously.

  14. Study on optimized decision-making model of offshore wind power projects investment

    Zhao, Tian; Yang, Shangdong; Gao, Guowei; Ma, Li

    2018-02-01

    China’s offshore wind energy is of great potential and plays an important role in promoting China’s energy structure adjustment. However, the current development of offshore wind power in China is inadequate, and is much less developed than that of onshore wind power. On the basis of considering all kinds of risks faced by offshore wind power development, an optimized model of offshore wind power investment decision is established in this paper by proposing the risk-benefit assessment method. To prove the practicability of this method in improving the selection of wind power projects, python programming is used to simulate the investment analysis of a large number of projects. Therefore, the paper is dedicated to provide decision-making support for the sound development of offshore wind power industry.

  15. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

    Pham, H.

    2002-01-01

    This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature

  16. REGULATORY POLICY AND OPTIMIZATION OF INVESTMENT RESOURCE ALLOCATION IN THE MODEL OF FUNCTIONING OF RECREATION INDUSTRY

    Hanna Shevchenko

    2017-11-01

    Full Text Available The research objective is the rationale of the theoretical and methodical approach concerning the improvement of regulatory policy as well as the process of distribution of financial investments using the model of the functioning of a recreational sector of the national economy. The methodology of the study includes the use of optimal control theory for the model formation of the functioning of the recreational industry as well as determining the behaviour of regulatory authorities and capabilities to optimize the allocation of investment resources in the recreational sector of the national economy. Results. The issue of equilibration of regulatory policy in the recreational sector of the national economy is actualized, including the question of targeted distribution of state and external financial investments. Also, it is proved that regulatory policy should establish the frameworks that on the one hand, do not allow public authorities to exercise extra influence on the economy of recreation, on the other hand, to keep the behaviour of the recreational business entities within the limits of normal socio-economic activity – on the basis of analysis of the continuum “recreation – work” by means of modified Brennan-Buchanan model. It is revealed that even with the condition of the tax reduction, the situation when the population resting less and works more than in the background of a developed economy is observed. However, according to the optimistic forecast, eventually on condition when the economy is emerging from the shade, we will obtain an official mode of the work in which, while maintaining taxes on proposed more advantageous for the population level, ultimately the ratio leisure and work will be established which is corresponding to the principles of sustainable development. Practical value. On the basis of methodical principles of the theory of optimal control, the model of the functioning of the recreational industry under the

  17. Asymptotic estimation of reactor fueling optimal strategy

    Simonov, V.D.

    1985-01-01

    The problem of improving the technical-economic factors of operating. and designed nuclear power plant blocks by developino. internal fuel cycle strategy (reactor fueling regime optimization), taking into account energy system structural peculiarities altogether, is considered. It is shown, that in search of asymptotic solutions of reactor fueling planning tasks the model of fuel energy potential (FEP) is the most ssuitable and effective. FEP represents energy which may be produced from the fuel in a reactor with real dimensions and power, but with hypothetical fresh fuel supply, regime, providing smilar burnup of all the fuel, passing through the reactor, and continuous overloading of infinitely small fuel portion under fule power, and infinitely rapid mixing of fuel in the reactor core volume. Reactor fuel run with such a standard fuel cycle may serve as FEP quantitative measure. Assessment results of optimal WWER-440 reactor fresh fuel supply periodicity are given as an example. The conclusion is drawn that with fuel enrichment x=3.3% the run which is 300 days, is economically justified, taking into account that the cost of one energy unit production is > 3 cop/KW/h

  18. INTERNATIONALIZATION STRATEGIES OF THE BRAZILIAN MEAT AGRIBUSINESS SECTOR: EXPORTS OR DIRECT INVESTMENT ABROAD?

    Eva Stal

    2010-11-01

    Full Text Available The article analyzes the internationalization strategies of the four largest Brazilian companies in the meat (beef, pork and poultry agribusiness sector, by considering the comparative and competitive advantages of the country and the companies. JBS, Marfrig, Sadia and Perdigão were studied, of which the last two merged in May 2009, forming Brasil Foods. The authors looked into what led these companies to start investing  abroad directly, as from 2005, as a complement to their exports, the preferred strategy for placing products in foreign markets. The research method used was the multiple case study, drawing on primary data (interviews, corporate annual reports, financial statements, press releases and shareholder information and secondary data (theses, dissertations, academic articles, reports in newspapers and business journals, using bibliographic and documentary research. Everything was analyzed in the light of international business and strategy theories. The results show that exports still predominate and that investing directly abroad was, in principle, a reactive strategy to sanitary barriers against Brazilian products. However, the acquisition of companies in restriction-free countries has increased as part of a forward-looking strategy for gaining access to new markets and strengthening brands. Key-words: Agribusiness. Internationalization. Strategy

  19. DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET

    Margareta Gardijan; Vedran Kojić

    2012-01-01

    This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR) and beta coefficient $(\\beta)$, while monthly return represents an output. Following the „efficiency scores“, obtained f...

  20. Network analysis to detect common strategies in Italian foreign direct investment

    De Masi, G.; Giovannetti, G.; Ricchiuti, G.

    2013-03-01

    In this paper we reconstruct and discuss the network of Italian firms investing abroad, exploiting information from complex network analysis. This method, detecting the key nodes of the system (both in terms of firms and countries of destination), allows us to single out the linkages among firms without ex-ante priors. Moreover, through the examination of affiliates’ economic activity, it allows us to highlight different internationalization strategies of “leaders” in different manufacturing sectors.

  1. Optimal Pricing Strategy for Wireless Social Community Networks

    Mazloumian, Amin; Manshaei, Mohammad Hossein; Felegyhazi, Mark; Hubaux, Jean-Pierre

    2008-01-01

    The increasing number of mobile applications fuels the demand for affordable and ubiquitous wireless access. The traditional wireless network technologies such as EV-DO or WiMAX provide this service but require a huge upfront investment in infrastructure and spectrum. On the contrary, as they do not have to face such an investment, social community operators rely on subscribers who constitute a community of users. The pricing strategy of the provided wireless access is an open problem for thi...

  2. Network models for solving the problem of multicriterial adaptive optimization of investment projects control with several acceptable technologies

    Shorikov, A. F.; Butsenko, E. V.

    2017-10-01

    This paper discusses the problem of multicriterial adaptive optimization the control of investment projects in the presence of several technologies. On the basis of network modeling proposed a new economic and mathematical model and a method for solving the problem of multicriterial adaptive optimization the control of investment projects in the presence of several technologies. Network economic and mathematical modeling allows you to determine the optimal time and calendar schedule for the implementation of the investment project and serves as an instrument to increase the economic potential and competitiveness of the enterprise. On a meaningful practical example, the processes of forming network models are shown, including the definition of the sequence of actions of a particular investment projecting process, the network-based work schedules are constructed. The calculation of the parameters of network models is carried out. Optimal (critical) paths have been formed and the optimal time for implementing the chosen technologies of the investment project has been calculated. It also shows the selection of the optimal technology from a set of possible technologies for project implementation, taking into account the time and cost of the work. The proposed model and method for solving the problem of managing investment projects can serve as a basis for the development, creation and application of appropriate computer information systems to support the adoption of managerial decisions by business people.

  3. Offshore Wind Farm Layout Design Considering Optimized Power Dispatch Strategy

    Hou, Peng; Hu, Weihao; N. Soltani, Mohsen

    2017-01-01

    Offshore wind farm has drawn more and more attention recently due to its higher energy capacity and more freedom to occupy area. However, the investment is higher. In order to make a cost-effective wind farm, the wind farm layout should be optimized. The wake effect is one of the dominant factors...... leading to energy losses. It is expected that the optimized placement of wind turbines (WT) over a large sea area can lead to the best tradeoff between energy yields and capital investment. This paper proposes a novel way to position offshore WTs for a regular shaped wind farm. In addition to optimizing...... the direction of wind farm placement and the spacing between WTs, the control strategy’s impact on energy yields is also discussed. Since the problem is non-convex and lots of optimization variables are involved, an evolutionary algorithm, the particle swarm optimization algorithm (PSO), is adopted to find...

  4. Forecasting of Power Grid Investment in China Based on Support Vector Machine Optimized by Differential Evolution Algorithm and Grey Wolf Optimization Algorithm

    Shuyu Dai

    2018-04-01

    Full Text Available In recent years, the construction of China’s power grid has experienced rapid development, and its scale has leaped into the first place in the world. Accurate and effective prediction of power grid investment can not only help pool funds and rationally arrange investment in power grid construction, but also reduce capital costs and economic risks, which plays a crucial role in promoting power grid investment planning and construction process. In order to forecast the power grid investment of China accurately, firstly on the basis of analyzing the influencing factors of power grid investment, the influencing factors system for China’s power grid investment forecasting is constructed in this article. The method of grey relational analysis is used for screening the main influencing factors as the prediction model input. Then, a novel power grid investment prediction model based on DE-GWO-SVM (support vector machine optimized by differential evolution and grey wolf optimization algorithm is proposed. Next, two cases are taken for empirical analysis to prove that the DE-GWO-SVM model has strong generalization capacity and has achieved a good prediction effect for power grid investment forecasting in China. Finally, the DE-GWO-SVM model is adopted to forecast power grid investment in China from 2018 to 2022.

  5. Micro-energy markets: The role of a consumer preference pricing strategy on microgrid energy investment

    Faber, Isaac; Lane, William; Pak, Wayne; Prakel, Mary; Rocha, Cheyne; Farr, John V.

    2014-01-01

    The fragility of the modern electrical grid is exposed during random events such as storms, sporting events and often simply routine operation. Even with these obvious flaws large utilities and governments have been slow to create robust solutions due to the need of large capital investments required to address the issues. In this light creative economic and engineering solutions are desired to finance the needed upgrades. Driven by the requirement to have uninterrupted power that meets customers desires this research focuses on linking consumer preferences to a type of energy source in order to best fulfill stakeholder priorities. This approach is in contrast to the current and prevalent lowest cost methods to producing and consuming energy. This research yields a preliminary ‘micro-energy market’ that consists of an energy network architecture, pricing methodology and mathematical template which quantifies potential economic inefficiencies. If exploited these inefficiencies could be used to fund investment into various energy sources that provide unmet needs such as reduced carbon footprint, renewable, quality, and local production. These inefficiencies can be best exploited within the structure of a microgrid. Identification of opportunities on this smaller scale can provide an incentive for producers to develop a robust set of production facilities of varying size and characteristics to meet the consumer preferences. A stochastic optimization model of a microgrid implementation for a small military installation is used to evaluate the effects of this pricing methodology. The energy production of the resulting microgrid would be optimized to meet consumer preferences and minimize economic inefficiency. - Highlights: • This research focuses on linking consumer preferences to a type of energy source. • Pricing methodology quantifies strategic investments in alternative sources. • Inefficiencies could be used to fund investment into various energy sources

  6. A methodological model to assist in the optimization and risk management of mining investment decisions

    Botin, Jose A; Guzman, Ronald R; Smith, Martin L

    2011-01-01

    Identifying, quantifying, and minimizing technical risks associated with investment decisions is a key challenge for mineral industry decision makers and investors. However, risk analysis in most bankable mine feasibility studies are based on the stochastic modeling of project N et Present Value (NPV)which, in most cases, fails to provide decision makers with a truly comprehensive analysis of risks associated with technical and management uncertainty and, as a result, are of little use for risk management and project optimization. This paper presents a value-chain risk management approach where project risk is evaluated for each step of the project life cycle, from exploration to mine closure, and risk management is performed as a part of a stepwise value-added optimization process.

  7. An Optimization Framework for Investment Evaluation of Complex Renewable Energy Systems

    David Olave-Rojas

    2017-07-01

    Full Text Available Enhancing the role of renewable energies in existing power systems is one of the most crucial challenges that society faces today. However, the high variability of their generation potential and the temporal disparity between the demand and the generation potential represent technological and operational gaps that burden the massive incorporation of renewable sources into power systems. Energy storage technologies are an alternative to tackle this gap; nonetheless, their incorporation within large-scale power grids calls for decision-making tools that ensure an appropriate design and sizing of power systems that exploit the benefits of incorporating storage facilities along with renewable generation power. In this paper, we present an optimization framework for aiding the evaluation of the strategic design of complex renewable power systems. The developed tool relies on an optimization problem, the generation, transmission, storage energy location and sizing problem, which allows one to compute economically-attractive investment plans given by the location and sizing of generation and storage energy systems, along with the corresponding layout of transmission lines. Results on a real case study (located in the central region of Chile, characterized by carefully-curated data, show the potential of the developed tool for aiding long-term investment planning.

  8. Optimal energy management strategy for self-reconfigurable batteries

    Bouchhima, Nejmeddine; Schnierle, Marc; Schulte, Sascha; Birke, Kai Peter

    2017-01-01

    This paper proposes a novel energy management strategy for multi-cell high voltage batteries where the current through each cell can be controlled, called self-reconfigurable batteries. An optimized control strategy further enhances the energy efficiency gained by the hardware architecture of those batteries. Currently, achieving cell equalization by using the active balancing circuits is considered as the best way to optimize the energy efficiency of the battery pack. This study demonstrates that optimizing the energy efficiency of self-reconfigurable batteries is no more strongly correlated to the cell balancing. According to the features of this novel battery architecture, the energy management strategy is formulated as nonlinear dynamic optimization problem. To solve this optimal control, an optimization algorithm that generates the optimal discharge policy for a given driving cycle is developed based on dynamic programming and code vectorization. The simulation results show that the designed energy management strategy maximizes the system efficiency across the battery lifetime over conventional approaches. Furthermore, the present energy management strategy can be implemented online due to the reduced complexity of the optimization algorithm. - Highlights: • The energy efficiency of self-reconfigurable batteries is maximized. • The energy management strategy for the battery is formulated as optimal control problem. • Developing an optimization algorithm using dynamic programming techniques and code vectorization. • Simulation studies are conducted to validate the proposed optimal strategy.

  9. Investment Strategy in a Closed Loop Supply Chain: The Case of a Market with Competition between Two Retailers

    Sungwook Yoon

    2017-09-01

    Full Text Available To survive in the ceaseless cycle of competition, businesses have developed strategies to become sustainable. These strategies include reusing products, which can lead not only to the creation of economic benefits but also to improvements in a corporation’s social and environmental responsibility. Product reuse can also increase the profit earned on new products by compensating customers who bring in old products to buy new ones, as the ensuing remanufacturing process allows for the reuse of materials and thus drives down costs. As businesses have come to recognize these values, the marketing competition to retrieve used products from customers has intensified. This research focuses on identifying effective compensation strategies to determine the appropriate advertising investment and trade-in value in a market where two homogeneous retailers compete. Retailers advertise to secure more customers to trade in their used products and to generate more trade-in sales than competitors do. A retailer’s results may vary according to its competitor’s investment strategy, which makes it useful to employ information on past competitor investment patterns to plan future investment strategies. However, as competitors using one another’s information may intensify the competition, better investment results could be obtained by ignoring competitor investment information. Therefore, this study suggests four competition strategies that determine the advertisement costs and trade-in allowance spent by retailers and discusses the difference in the profits obtained by the retailers under each of the four strategies.

  10. Model for optimization of plant investments in combined power and heat production systems

    Jantunen, E.; Sinisalo, A.; Koskelainen, L.

    1980-01-01

    A mathematical model is developed for optimal dimensioning and timing the investments of power and heat production system in a community. The required electric power may be purchased by different production systems, such as: thermal power plants, gas turbines, diesel plants, etc. or by delivering all or part of it from a national power company. Also the required heat may be produced in many different ways in single-purpose or combined plants. The model assumes the extent of the heating system fixed, and it is not optimized. It is assumed that the same company is responsible for supplying both the power and heat for the community. It's aim is to allocate the existing capital in an optimal way, and the model may be used for facilitating the decision in such questions as: what kind of production capacity should be purchased in future; how high should the heat and power capacities be; and when should this additional capacity be available. The report also reviews the methods for forecasting the demand of power and heat and their fluctuation during the planning period. The solution of this large-scale non-linear optimization problem is searched via successive linearizations by using the Method of Approximate Programming (MAP). It was found that the solution method is very suitable for this kind of multivariable problems. The computing times with the Functional Mathematical Programmin System (FMPS) in Univac 1108 computer were quite reasonable.

  11. Optimization strategies for ultrasound volume registration

    Ijaz, Umer Zeeshan; Prager, Richard W; Gee, Andrew H; Treece, Graham M

    2010-01-01

    This paper considers registration of 3D ultrasound volumes acquired in multiple views for display in a single image volume. One way to acquire 3D data is to use a mechanically swept 3D probe. However, the usefulness of these probes is restricted by their limited field of view. This problem can be overcome by attaching a six-degree-of-freedom (DOF) position sensor to the probe, and displaying the information from multiple sweeps in their proper positions. However, an external six-DOF position sensor can be an inconvenience in a clinical setting. The objective of this paper is to propose a hybrid strategy that replaces the sensor with a combination of three-DOF image registration and an unobtrusive inertial sensor for measuring orientation. We examine a range of optimization algorithms and similarity measures for registration and compare them in in vitro and in vivo experiments. We register based on multiple reslice images rather than a whole voxel array. In this paper, we use a large number of reslices for improved reliability at the expense of computational speed. We have found that the Levenberg–Marquardt method is very fast but is not guaranteed to give the correct solution all the time. We conclude that normalized mutual information used in the Nelder–Mead simplex algorithm is potentially suitable for the registration task with an average execution time of around 5 min, in the majority of cases, with two restarts in a C++ implementation on a 3.0 GHz Intel Core 2 Duo CPU machine

  12. Optimizing metapopulation sustainability through a checkerboard strategy.

    Yossi Ben Zion

    2010-01-01

    Full Text Available The persistence of a spatially structured population is determined by the rate of dispersal among habitat patches. If the local dynamic at the subpopulation level is extinction-prone, the system viability is maximal at intermediate connectivity where recolonization is allowed, but full synchronization that enables correlated extinction is forbidden. Here we developed and used an algorithm for agent-based simulations in order to study the persistence of a stochastic metapopulation. The effect of noise is shown to be dramatic, and the dynamics of the spatial population differs substantially from the predictions of deterministic models. This has been validated for the stochastic versions of the logistic map, the Ricker map and the Nicholson-Bailey host-parasitoid system. To analyze the possibility of extinction, previous studies were focused on the attractiveness (Lyapunov exponent of stable solutions and the structure of their basin of attraction (dependence on initial population size. Our results suggest that these features are of secondary importance in the presence of stochasticity. Instead, optimal sustainability is achieved when decoherence is maximal. Individual-based simulations of metapopulations of different sizes, dimensions and noise types, show that the system's lifetime peaks when it displays checkerboard spatial patterns. This conclusion is supported by the results of a recently published Drosophila experiment. The checkerboard strategy provides a technique for the manipulation of migration rates (e.g., by constructing corridors in order to affect the persistence of a metapopulation. It may be used in order to minimize the risk of extinction of an endangered species, or to maximize the efficiency of an eradication campaign.

  13. Decisions on investments in photovoltaics and carbon capture and storage: A comparison between two different greenhouse gas control strategies

    Vögele, Stefan; Rübbelke, Dirk

    2013-01-01

    Decisions of electricity suppliers on investments in low-carbon energy technologies like PV (photovoltaics) and CCS (carbon capture and storage) depend on the expected profits or surpluses that can be earned. For an assessment of the profitability of investments in PV (and other renewable energy technologies), additional costs caused by the fluctuation in PV power plants' productivity and by the need for backup capacities have to be taken into account. Changes in the rest of the power plant stock will via their influence on the merit-order curve also affect the return on investment. Bearing these aspects in mind, it might become more attractive to invest in alternative technologies like CCS than to channel the investments towards PV in combination with backup power plants. In our study we compare investments in CCS and PV regarding possible merit-order effects and profitability, using investments in Germany as an example. - Highlights: • We compare CCS and PV as CO 2 reduction strategies and focus on merit-order effects. • CCS has higher marginal cost than PV, but CCS does not need backup capacities. • Merit-order effects influence the profitability of investments in CCS and PV. • CCS investments at moderate rates tend to be more beneficial than investments in PV. • However, legal restrictions and lack of acceptance constitute limiting factors

  14. The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector

    Martin Rohleder

    2015-02-01

    Full Text Available In the mutual fund literature, it is an established fact that investors “chase past performance”. However, the opposite impact of flows on performance is widely discussed. Mainly, liquidity costs are held responsible for short-term erosion of performance, while high inflows enhance performance over longer horizons. I investigate this relation for various groups of equity, bond, and money market funds and find significant outperformance in high inflow funds over several months, especially for specific bond fund groups. In addition, I test whether this information can be exploited using simple investment strategies but find that the abnormal returns are too low to offset associated costs.

  15. Optimization as investment decision support in a Swedish medium-sized iron foundry - A move beyond traditional energy auditing

    Thollander, Patrik; Mardan, Nawzad; Karlsson, Magnus

    2009-01-01

    Due to increased globalisation, industries are facing greater competition that is pressing companies into decreasing their expenses in order to increase their profits. As regards Swedish industry, it has been faced with substantial increases in energy prices in recent years. Barriers to energy efficiency such as imperfect information inhibit investments in energy efficiency measures, energy audits being one means of reducing barriers and overcoming imperfect information. However, an evaluation of such energy audits in Sweden reveals that it is chiefly low-cost measures that are undertaken as a result of an audit. Moreover, these audits often tend to focus on support processes such as ventilation, lighting, air compressors etc., while measures impacting production processes are often not as extensively covered, which underlines the need for further support in addition to energy audits. Decision support is practised in a variety of different disciplines such as optimization and simulation and the aim of this paper is to explore whether investment decision support practices may be used successfully towards small and medium-sized manufacturers in Sweden when complex production-related investment decisions are taken. The optimization results from the different cases, involving a foundry's investment in a new melting unit, indicate that with no electricity price fluctuations over the day, the investment seems sound as it lowers the overall energy costs. However, with fluctuating electricity prices, there are no large differences in energy costs between the option of retaining the existing five melting furnaces at the foundry and investing in a twin furnace and removing the holding furnaces - which was the initial investment plan for the foundry in the study. It would not have been possible to achieve this outcome without the use of investment decision support such as MIND. One of the main conclusions in this paper is that investment decision support, when strategic

  16. Developing an Integrated Design Strategy for Chip Layout Optimization

    Wits, Wessel Willems; Jauregui Becker, Juan Manuel; van Vliet, Frank Edward; te Riele, G.J.

    2011-01-01

    This paper presents an integrated design strategy for chip layout optimization. The strategy couples both electric and thermal aspects during the conceptual design phase to improve chip performances; thermal management being one of the major topics. The layout of the chip circuitry is optimized

  17. Optimal Spatial Harvesting Strategy and Symmetry-Breaking

    Kurata, Kazuhiro; Shi Junping

    2008-01-01

    A reaction-diffusion model with logistic growth and constant effort harvesting is considered. By minimizing an intrinsic biological energy function, we obtain an optimal spatial harvesting strategy which will benefit the population the most. The symmetry properties of the optimal strategy are also discussed, and related symmetry preserving and symmetry breaking phenomena are shown with several typical examples of habitats

  18. Synthesis of Optimal Strategies Using HyTech

    Bouyer, Patricia; Cassez, Franck; Larsen, Kim Guldstrand

    2005-01-01

    Priced timed (game) automata extend timed (game) automata with costs on both locations and transitions. The problem of synthesizing an optimal winning strategy for a priced timed game under some hypotheses has been shown decidable in [P. Bouyer, F. Cassez, E. Fleury, and K.G. Larsen. Optimal...... strategies in priced timed game automata. Research Report BRICS RS-04-4, Denmark, Feb. 2004. Available at http://www.brics.dk/RS/04/4/]. In this paper, we present an algorithm for computing the optimal cost and for synthesizing an optimal strategy in case there exists one. We also describe the implementation...

  19. Optimization Strategies for Hardware-Based Cofactorization

    Loebenberger, Daniel; Putzka, Jens

    We use the specific structure of the inputs to the cofactorization step in the general number field sieve (GNFS) in order to optimize the runtime for the cofactorization step on a hardware cluster. An optimal distribution of bitlength-specific ECM modules is proposed and compared to existing ones. With our optimizations we obtain a speedup between 17% and 33% of the cofactorization step of the GNFS when compared to the runtime of an unoptimized cluster.

  20. Particle swarm optimization based optimal bidding strategy in an ...

    In an electricity market generating companies and large consumers need suitable bidding models to maximize their profits. Therefore, each supplier and large consumer will bid strategically for choosing the bidding coefficients to counter the competitors bidding strategy. In this paper, bidding strategy problem modeled as an ...

  1. Optimal pricing and investment in the electricity sector in Tamil Nadu, India

    Murthy, Ranganath Srinivas

    2001-07-01

    Faulty pricing policies and inadequate investment in the power sector are responsible for the chronic power shortages that plague Tamil Nadu and the rest of India. Formulae for optimal pricing rules are derived for a social welfare maximizing Electricity Board which sells electricity that is used both as an intermediate, and as a final good. Because of distributional constraints, the optimal prices deviate systematically from marginal costs. Optimal relative price-marginal cost differentials are computed for Tamil Nadu, and are found to indicate a lower degree of subsidization than the prevailing prices. The rationalization of electricity tariffs would very likely increase the Board's revenues. The cost-effectiveness of nuclear power in India is examined by comparing actual data for the Madras Atomic Power Project and the Singrauli coal-fired thermal power station. The conventional (non-environmental) costs of power generation are compared at both market prices and shadow prices, calculated according to the UNIDO guidelines for project evaluation. Despite favorable assumptions for the costs of the nuclear plant, coal had a decided edge over nuclear in Tamil Nadu. Remarkably, the edge varied little when market prices are replaced by shadow prices in the computations. With regard to the environmental costs, far too much remains unknown. More research is therefore needed on the environmental impacts of both types of power generation before a final choice can be made.

  2. Optimizing long-term investments for a sustainable development of the ASEAN power system

    Huber, Matthias; Roger, Albert; Hamacher, Thomas

    2015-01-01

    The electricity consumption in the ASEAN (Association of East Asian Nations) region is one of the fastest growing in the world and will lead to a dramatic increase in greenhouse gas emissions in the next decades. A decarbonization of the region's electricity supply is thus a very important measure when taking action on global climate change. This paper defines cost-optimal pathways towards a sustainable power system in the region by employing linear optimization. The proposed model simultaneously optimizes the required capacities and the hourly operation of generation, transmission, and storage. The obtained results show that all different kinds of renewable sources will have to be utilized, while none of them should have a share of more than one third. The findings give reason for setting up an ASEAN power grid, as it enables the transportation of electricity from the best sites to load centers and leads to a balancing of the fluctuations from wind and solar generation. We suggest fostering a diversified extension of renewables and to elaborate on political and technical solutions that enable the build up an transnational supergrid. - Highlights: • Article presents an optimization model of the ASEAN power system with high temporal and spatial resolution. • Cost-optimal investment options for achieving a sustainable electricity system are explored. • All types of renewable energies have to be employed while none of them should provide more than one third of overall supply. • Large transcontinental transmission grids will be crucial for a cost-minimal decarbonization of the ASEAN electricity sector

  3. Optimization strategies for discrete multi-material stiffness optimization

    Hvejsel, Christian Frier; Lund, Erik; Stolpe, Mathias

    2011-01-01

    Design of composite laminated lay-ups are formulated as discrete multi-material selection problems. The design problem can be modeled as a non-convex mixed-integer optimization problem. Such problems are in general only solvable to global optimality for small to moderate sized problems. To attack...... which numerically confirm the sought properties of the new scheme in terms of convergence to a discrete solution....

  4. Optimizing time and resource allocation trade-offs for investment into morphological and behavioral defense

    Steiner, Uli; Pfeiffer, Thomas

    2007-01-01

    pronounced at intermediate environmental conditions. Optimizing single traits generally leads to a more pronounced response of the defense traits, which implies that studying single traits leads to an overestimation of their response to predation. Behavioral defense and morphological defense compensate......Prey organisms are confronted with time and resource allocation trade-offs. Time allocation trade-offs partition time, for example, between foraging effort to acquire resources and behavioral defense. Resource allocation trade-offs partition the acquired resources between multiple traits...... for and augment each other depending on predator densities and the effectiveness of the defense mechanisms. In the presence of time constraints, the model shows peak investment into morphological and behavioral defense at intermediate resource levels....

  5. Fetal DNA: strategies for optimal recovery

    Legler, Tobias J.; Heermann, Klaus-Hinrich; Liu, Zhong; Soussan, Aicha Ait; van der Schoot, C. Ellen

    2008-01-01

    For fetal DNA extraction, in principle each DNA extraction method can be used; however, because most methods have been optimized for genomic DNA from leucocytes, we describe here the methods that have been optimized for the extraction of fetal DNA from maternal plasma and validated for this purpose

  6. Strategies for Optimal Design of Structural Systems

    Enevoldsen, I.; Sørensen, John Dalsgaard

    1992-01-01

    Reliability-based design of structural systems is considered. Especially systems where the reliability model is a series system of parallel systems are analysed. A sensitivity analysis for this class of problems is presented. Direct and sequential optimization procedures to solve the optimization...

  7. An optimal tuning strategy for tidal turbines.

    Vennell, Ross

    2016-11-01

    Tuning wind and tidal turbines is critical to maximizing their power output. Adopting a wind turbine tuning strategy of maximizing the output at any given time is shown to be an extremely poor strategy for large arrays of tidal turbines in channels. This 'impatient-tuning strategy' results in far lower power output, much higher structural loads and greater environmental impacts due to flow reduction than an existing 'patient-tuning strategy' which maximizes the power output averaged over the tidal cycle. This paper presents a 'smart patient tuning strategy', which can increase array output by up to 35% over the existing strategy. This smart strategy forgoes some power generation early in the half tidal cycle in order to allow stronger flows to develop later in the cycle. It extracts enough power from these stronger flows to produce more power from the cycle as a whole than the existing strategy. Surprisingly, the smart strategy can often extract more power without increasing maximum structural loads on the turbines, while also maintaining stronger flows along the channel. This paper also shows that, counterintuitively, for some tuning strategies imposing a cap on turbine power output to limit loads can increase a turbine's average power output.

  8. The trajectories of EAEC countries development: Numerical analysis of competitive strategies in investments

    Shelomentsev, A. G.; Medvedev, M. A.; Isaichik, K. F.; Dyomina, M. I.; Berg, I. A.; Kit, M.

    2017-12-01

    This paper discusses comparative analysis of trajectories in the development of participating countries of the Eurasian Economic Union (EAEC) in a two-dimensional phase space. The coordinates in the space is represented by the value of a dynamic variable that is a key indicator of the country's development, and the rate of its relative growth. This allows for construction of a ternary classification diagram describing competitive behavior strategies of countries in question. The comparative analysis was run for two primary factors: the size of investment in the main capital and R&D spendings. The authors carried out analysis and identification of competitive strategies for the behavior of the EAEC countries, as well as he proposed conclusions and recommendations on improving the policy of economic development.

  9. Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts

    Zhou, Wei-Xing; Mu, Guo-Hua; Chen, Wei; Sornette, Didier

    2011-01-01

    We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions, and (iii) real traders to random strategies with respect to timing that share otherwise all other characteristics. We find in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by traders. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets. PMID:21935403

  10. Investment strategies used as spectroscopy of financial markets reveal new stylized facts.

    Zhou, Wei-Xing; Mu, Guo-Hua; Chen, Wei; Sornette, Didier

    2011-01-01

    We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions, and (iii) real traders to random strategies with respect to timing that share otherwise all other characteristics. We find in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by traders. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.

  11. Investment strategies used as spectroscopy of financial markets reveal new stylized facts.

    Wei-Xing Zhou

    Full Text Available We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i a closed national market (A-shares with an international market (B-shares, (ii individuals and institutions, and (iii real traders to random strategies with respect to timing that share otherwise all other characteristics. We find in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by traders. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.

  12. Sensitivity of woody carbon stocks to bark investment strategy in Neotropical savannas and forests

    Trugman, Anna T.; Medvigy, David; Hoffmann, William A.; Pellegrini, Adam F. A.

    2018-01-01

    Fire frequencies are changing in Neotropical savannas and forests as a result of forest fragmentation and increasing drought. Such changes in fire regime and climate are hypothesized to destabilize tropical carbon storage, but there has been little consideration of the widespread variability in tree fire tolerance strategies. To test how aboveground carbon stocks change with fire frequency and composition of plants with different fire tolerance strategies, we update the Ecosystem Demography model 2 (ED2) with (i) a fire survivorship module based on tree bark thickness (a key fire-tolerance trait across woody plants in savannas and forests), and (ii) plant functional types representative of trees in the region. With these updates, the model is better able to predict how fire frequency affects population demography and aboveground woody carbon. Simulations illustrate that the high survival rate of thick-barked, large trees reduces carbon losses with increasing fire frequency, with high investment in bark being particularly important in reducing losses in the wettest sites. Additionally, in landscapes that frequently burn, bark investment can broaden the range of climate and fire conditions under which savannas occur by reducing the range of conditions leading to either complete tree loss or complete grass loss. These results highlight that tropical vegetation dynamics depend not only on rainfall and changing fire frequencies but also on tree fire survival strategy. Further, our results indicate that fire survival strategy is fundamentally important in regulating tree size demography in ecosystems exposed to fire, which increases the preservation of aboveground carbon stocks and the coexistence of different plant functional groups.

  13. Particle swarm optimization based optimal bidding strategy in an ...

    user

    A considerable amount of work has also been reported on the game theory applications ... probability distribution function (Song et al, 1999) and as a continuous ..... compared with GA and Monte Carlo method, therefore the bidding strategies.

  14. Forecasting the Optimal Factors of Formation of the Population Savings as the Basis for Investment Resources of the Regional Economy

    Odintsova Tetiana M.

    2017-04-01

    Full Text Available The article is aimed at studying the optimal factors of formation of the population savings as the basis for investment resources of the regional economy. A factorial (nonlinear correlative-regression analysis of the formation of savings of the population of Ukraine was completed. On its basis a forecast of the optimal structure and volumes of formation of the population incomes was carried out taking into consideration impact of fundamental factors on these incomes. Such approach provides to identify the marginal volumes of tax burden, population savings, and capital investments, directed to economic growth.

  15. Optimal portfolio strategies under a shortfall constraint

    we make precise the optimal control problem to be solved. .... is closely related to the concept of Value-at-Risk, but overcomes some of the conceptual .... We adapt a dynamic programming approach to solve the HJB equation associated with.

  16. Optimal Pricing Strategy for New Products

    Trichy V. Krishnan; Frank M. Bass; Dipak C. Jain

    1999-01-01

    Robinson and Lakhani (1975) initiated a long research stream in marketing when they used the Bass model (1969) to develop optimal pricing path for a new product. A careful analysis of the extant literature reveals that the research predominantly suggests that the optimal price path should be largely based on the sales growth pattern. However, in the real world we rarely find new products that have such pricing pattern. We observe either a monotonically declining pricing pattern or an increase...

  17. An optimal tuning strategy for tidal turbines

    2016-01-01

    Tuning wind and tidal turbines is critical to maximizing their power output. Adopting a wind turbine tuning strategy of maximizing the output at any given time is shown to be an extremely poor strategy for large arrays of tidal turbines in channels. This ‘impatient-tuning strategy’ results in far lower power output, much higher structural loads and greater environmental impacts due to flow reduction than an existing ‘patient-tuning strategy’ which maximizes the power output averaged over the tidal cycle. This paper presents a ‘smart patient tuning strategy’, which can increase array output by up to 35% over the existing strategy. This smart strategy forgoes some power generation early in the half tidal cycle in order to allow stronger flows to develop later in the cycle. It extracts enough power from these stronger flows to produce more power from the cycle as a whole than the existing strategy. Surprisingly, the smart strategy can often extract more power without increasing maximum structural loads on the turbines, while also maintaining stronger flows along the channel. This paper also shows that, counterintuitively, for some tuning strategies imposing a cap on turbine power output to limit loads can increase a turbine’s average power output. PMID:27956870

  18. The strategy of innovation and investment activity of the integrated agro-industrial enterprises

    LYTNEVA N.A.; GONCHAROV P.V.; KYSHTYMOVA E.A.

    2015-01-01

    In this article reveals the relevance of research to improve the system of strategic planning of innovation and investment activity in the agricultural enterprise, types of planning innovative-investment activity of agrarian enterprises, software-oriented model of strategic planning of innovation and investment activities of AIC, the evaluation criteria of innovation and investment activity of agricultural enterprises.

  19. Optimal technology choice and investment timing: A stochastic model of industrial cogeneration vs. heat-only production

    Wickart, Marcel; Madlener, Reinhard

    2007-01-01

    In this paper we develop an economic model that explains the decision-making problem under uncertainty of an industrial firm that wants to invest in a process technology. More specifically, the decision is between making an irreversible investment in a combined heat-and-power production (cogeneration) system, or to invest in a conventional heat-only generation system (steam boiler) and to purchase all electricity from the grid. In our model we include the main economic and technical variables of the investment decision process. We also account for the risk and uncertainty inherent in volatile energy prices that can greatly affect the valuation of the investment project. The dynamic stochastic model presented allows us to simultaneously determine the optimal technology choice and investment timing. We apply the theoretical model and illustrate our main findings with a numerical example that is based on realistic cost values for industrial oil- or gas-fired cogeneration and heat-only generation in Switzerland. We also briefly discuss expected effects of a CO 2 tax on the investment decision

  20. Investigation of Multi-Criteria Decision Consistency: A Triplex Approach to Optimal Oilfield Portfolio Investment Decisions

    Qaradaghi, Mohammed

    Complexity of the capital intensive oil and gas portfolio investments is continuously growing. It is manifested in the constant increase in the type, number and degree of risks and uncertainties, which consequently lead to more challenging decision making problems. A typical complex decision making problem in petroleum exploration and production (E&P) is the selection and prioritization of oilfields/projects in a portfolio investment. Prioritizing oilfields maybe required for different purposes, including the achievement of a targeted production and allocation of limited available development resources. These resources cannot be distributed evenly nor can they be allocated based on the oilfield size or production capacity alone since various other factors need to be considered simultaneously. These factors may include subsurface complexity, size of reservoir, plateau production and needed infrastructure in addition to other issues of strategic concern, such as socio-economic, environmental and fiscal policies, particularly when the decision making involves governments or national oil companies. Therefore, it would be imperative to employ decision aiding tools that not only address these factors, but also incorporate the decision makers' preferences clearly and accurately. However, the tools commonly used in project portfolio selection and optimization, including intuitive approaches, vary in their focus and strength in addressing the different criteria involved in such decision problems. They are also disadvantaged by a number of drawbacks, which may include lacking the capacity to address multiple and interrelated criteria, uncertainty and risk, project relationship with regard to value contribution and optimum resource utilization, non-monetary attributes, decision maker's knowledge and expertise, in addition to varying levels of ease of use and other practical and theoretical drawbacks. These drawbacks have motivated researchers to investigate other tools and

  1. Strategies towards an optimized use of the shallow geothermal potential

    Schelenz, S.; Firmbach, L.; Kalbacher, T.; Goerke, U.; Kolditz, O.; Dietrich, P.; Vienken, T.

    2013-12-01

    Thermal use of the shallow subsurface for heat generation, cooling and thermal energy storage is increasingly gaining importance in reconsideration of future energy supplies, e.g. in the course of German energy transition, with application shifting from isolated to intensive use. The planning and dimensioning of (geo-)thermal applications is strongly influenced by the availability of exploration data. Hence, reliable site-specific dimensioning of systems for the thermal use of the shallow subsurface will contribute to an increase in resource efficiency, cost reduction during installation and operation, as well as reduction of environmental impacts and prevention of resource over-exploitation. Despite large cumulative investments that are being made for the utilization of the shallow thermal potential, thermal energy is in many cases exploited without prior on-site exploration and investigation of the local geothermal potential, due to the lack of adequate and cost-efficient exploration techniques. We will present new strategies for an optimized utilization of urban thermal potential, showcased at a currently developed residential neighborhood with high demand for shallow geothermal applications, based on a) enhanced site characterization and b) simulation of different site specific application scenarios. For enhanced site characterization, surface geophysics and vertical high resolution direct push-profiling were combined for reliable determination of aquifer structure and aquifer parameterization. Based on the site characterization, different site specific geothermal application scenarios, including different system types and system configurations, were simulated using OpenGeoSys to guarantee an environmental and economic sustainable thermal use of the shallow subsurface.

  2. Power consumption optimization strategy for wireless networks

    Cornean, Horia; Kumar, Sanjay; Marchetti, Nicola

    2011-01-01

    in order to reduce the total power consumption in a multi cellular network. We present an algorithm for power optimization under no interference and in presence of interference conditions, targeting to maximize the network capacity. The convergence of the algorithm is guaranteed if the interference...

  3. Strategy of investment in electricity sources--Market value of a power plant and the electricity market

    Bartnik, R.; Hnydiuk-Stefan, A.; Buryn, Z.

    2017-11-01

    This paper reports the results of the investment strategy analysis in different electricity sources. New methodology and theory of calculating the market value of the power plant and value of the electricity market supplied by it are presented. The financial gain forms the most important criteria in the assessment of an investment by an investor. An investment strategy has to involve a careful analysis of each considered project in order that the right decision and selection will be made while various components of the projects will be considered. The latter primarily includes the aspects of risk and uncertainty. Profitability of an investment in the electricity sources (as well as others) is offered by the measures applicable for the assessment of the economic effectiveness of an investment based on calculations e.g. power plant market value and the value of the electricity that is supplied by a power plant. The values of such measures decide on an investment strategy in the energy sources. This paper contains analysis of exemplary calculations results of power plant market value and the electricity market value supplied by it.

  4. The Bio-Inspired Optimization of Trading Strategies and Its Impact on the Efficient Market Hypothesis and Sustainable Development Strategies

    Rafał Dreżewski

    2018-05-01

    Full Text Available In this paper, the evolutionary algorithm for the optimization of Forex market trading strategies is proposed. The introduction to issues related to the financial markets and the evolutionary algorithms precedes the main part of the paper, in which the proposed trading system is presented. The system uses the evolutionary algorithm for optimization of a parameterized greedy strategy, which is then used as an investment strategy on the Forex market. In the proposed system, a model of the Forex market was developed, including all elements that are necessary for simulating realistic trading processes. The proposed evolutionary algorithm contains several novel mechanisms that were introduced to optimize the greedy strategy. The most important of the proposed techniques are the mechanisms for maintaining the population diversity, a mechanism for protecting the best individuals in the population, the mechanisms preventing the excessive growth of the population, the mechanisms of the initialization of the population after moving the time window and a mechanism of choosing the best strategies used for trading. The experiments, conducted with the use of real-world Forex market data, were aimed at testing the quality of the results obtained using the proposed algorithm and comparing them with the results obtained by the buy-and-hold strategy. By comparing our results with the results of the buy-and-hold strategy, we attempted to verify the validity of the efficient market hypothesis. The credibility of the hypothesis would have more general implications for many different areas of our lives, including future sustainable development policies.

  5. Can investments in health systems strategies lead to changes in immunization coverage?

    Brenzel, Logan

    2014-04-01

    National immunization programs in developing countries have made major strides to immunize the world's children, increasing full coverage to 83% of children. However, the World Health Organization estimates that 22 million children less than five years of age are left unvaccinated, and coverage levels have been plateauing for nearly a decade. This paper describes the evidence on factors contributing to low vaccination uptake, and describes the connection between these factors and the documented strategies and interventions that can lead to changes in immunization outcomes. The author suggests that investments in these areas may contribute more effectively to immunization coverage and also have positive spill-over benefits for health systems. The paper concludes that while some good quality evidence exists of what works and may contribute to immunization outcomes, the quality of evidence needs to improve and major gaps need to be addressed.

  6. Intelligent fault recognition strategy based on adaptive optimized multiple centers

    Zheng, Bo; Li, Yan-Feng; Huang, Hong-Zhong

    2018-06-01

    For the recognition principle based optimized single center, one important issue is that the data with nonlinear separatrix cannot be recognized accurately. In order to solve this problem, a novel recognition strategy based on adaptive optimized multiple centers is proposed in this paper. This strategy recognizes the data sets with nonlinear separatrix by the multiple centers. Meanwhile, the priority levels are introduced into the multi-objective optimization, including recognition accuracy, the quantity of optimized centers, and distance relationship. According to the characteristics of various data, the priority levels are adjusted to ensure the quantity of optimized centers adaptively and to keep the original accuracy. The proposed method is compared with other methods, including support vector machine (SVM), neural network, and Bayesian classifier. The results demonstrate that the proposed strategy has the same or even better recognition ability on different distribution characteristics of data.

  7. An assessment of the optimal timing and size of investments in concentrated solar power

    Massetti, Emanuele; Ricci, Elena Claire

    2013-01-01

    We extend the WITCH model to consider the possibility to produce and trade electricity generated by large-scale concentrated solar power plants (CSP) in highly productive areas that are connected to demand centers through High Voltage Direct Current cables. We test the attractiveness of the CSP option by imposing a global cap on Greenhouse gases concentration equal to 535 ppm CO 2 -eq in 2100, with and without constraints to the expansion of nuclear power and IGCC coal with carbon capture and storage (CCS). We find that it becomes optimal to produce with CSP from 2040 and to trade CSP electricity across the Mediterranean from 2050. Therefore projects like DESERTEC seem to be premature. After 2050, CSP electricity shares become significant. CSP has a high stabilization cost option value: depending on the constraints, it ranges between 2.1% and 4.1% of discounted GDP in the Middle East and North Africa (MENA), between 1.1. and 3.4 in China, between 0.2% and 1.2% in the USA, between 0.1 and 1.3% in Eastern Europe and between 0.1 and 0.4% in Western Europe. A moderate level of subsidy to invest more and earlier in CSP might increase welfare. However, large-scale deployment should occur after 2040. We also show that MENA countries have the incentive to form a cartel to sell electricity to Europe at a price higher than the marginal cost. This suggests that a hypothetical Mediterranean market for electricity should be carefully regulated. - Highlights: ► An extensive use of Concentrated Solar Power (CSP) will be optimal after 2050. ► Trade of CSP electricity between MENA and Europe will start in 2050. ► CSP reduces greatly the option value of nuclear power and coal with CCS. ► Learning externalities motivate moderate subsidies for earlier CSP investments. ► MENA countries have the incentive to form a cartel to sell electricity to Europe

  8. Optimal inspection strategies for offshore structural systems

    Faber, M. H.; Sorensen, J. D.; Kroon, I. B.

    1992-01-01

    a mathematical framework for the estimation of the failure and repair costs a.ssociated with systems failure. Further a strategy for selecting the components to inspect based on decision tree analysis is suggested. Methods and analysis schemes are illustrated by a simple example....

  9. Control strategy optimization of HVAC plants

    Facci, Andrea Luigi; Zanfardino, Antonella [Department of Engineering, University of Napoli “Parthenope” (Italy); Martini, Fabrizio [Green Energy Plus srl (Italy); Pirozzi, Salvatore [SIAT Installazioni spa (Italy); Ubertini, Stefano [School of Engineering (DEIM) University of Tuscia (Italy)

    2015-03-10

    In this paper we present a methodology to optimize the operating conditions of heating, ventilation and air conditioning (HVAC) plants to achieve a higher energy efficiency in use. Semi-empiric numerical models of the plant components are used to predict their performances as a function of their set-point and the environmental and occupied space conditions. The optimization is performed through a graph-based algorithm that finds the set-points of the system components that minimize energy consumption and/or energy costs, while matching the user energy demands. The resulting model can be used with systems of almost any complexity, featuring both HVAC components and energy systems, and is sufficiently fast to make it applicable to real-time setting.

  10. Control strategy optimization of HVAC plants

    Facci, Andrea Luigi; Zanfardino, Antonella; Martini, Fabrizio; Pirozzi, Salvatore; Ubertini, Stefano

    2015-01-01

    In this paper we present a methodology to optimize the operating conditions of heating, ventilation and air conditioning (HVAC) plants to achieve a higher energy efficiency in use. Semi-empiric numerical models of the plant components are used to predict their performances as a function of their set-point and the environmental and occupied space conditions. The optimization is performed through a graph-based algorithm that finds the set-points of the system components that minimize energy consumption and/or energy costs, while matching the user energy demands. The resulting model can be used with systems of almost any complexity, featuring both HVAC components and energy systems, and is sufficiently fast to make it applicable to real-time setting

  11. Some effectos on the efficient frontier of the investment strategy: a preliminary approach

    Méndez-Rodríguez, Paz

    2013-12-01

    Full Text Available In this work an indicator of the social responsibility degree of mutual funds is proposed based on the mutual fund’s screening policy and on the quality of the information provided by the fund manager. Once this indicator is obtained it is included as a constraint in the mean-variance classical optimization model. An exploratory numerical experiment is presented in order to check the possible effect on the efficient frontier of different SRI strategies.

  12. Optimal Licensing Strategy: Royalty or Fixed Fee?

    Andrea Fosfuri; Esther Roca

    2004-01-01

    Licensing a cost-reducing innovation through a royalty has been shown to be superior to licensing by means of a fixed fee for an incumbent licensor. This note shows that this result relies crucially on the assumption that the incumbent licensor can sell its cost-reducing inno-vation to all industry players. If, for any reason, only some competitors could be reached through a licensing contract, then a fixed fee might be optimally chosen.

  13. Optimized Power Dispatch Strategy for Offshore Wind Farms

    Hou, Peng; Hu, Weihao; Zhang, Baohua

    2016-01-01

    which are related to electrical system topology. This paper proposed an optimized power dispatch strategy (OPD) for minimizing the levelized production cost (LPC) of a wind farm. Particle swarm optimization (PSO) is employed to obtain final solution for the optimization problem. Both regular shape......Maximizing the power production of offshore wind farms using proper control strategy has become an important issue for wind farm operators. However, the power transmitted to the onshore substation (OS) is not only related to the power production of each wind turbine (WT) but also the power losses...... and irregular shape wind farm are chosen for the case study. The proposed dispatch strategy is compared with two other control strategies. The simulation results show the effectiveness of the proposed strategy....

  14. An Extended N-Player Network Game and Simulation of Four Investment Strategies on a Complex Innovation Network.

    Wen Zhou

    Full Text Available As computer science and complex network theory develop, non-cooperative games and their formation and application on complex networks have been important research topics. In the inter-firm innovation network, it is a typical game behavior for firms to invest in their alliance partners. Accounting for the possibility that firms can be resource constrained, this paper analyzes a coordination game using the Nash bargaining solution as allocation rules between firms in an inter-firm innovation network. We build an extended inter-firm n-player game based on nonidealized conditions, describe four investment strategies and simulate the strategies on an inter-firm innovation network in order to compare their performance. By analyzing the results of our experiments, we find that our proposed greedy strategy is the best-performing in most situations. We hope this study provides a theoretical insight into how firms make investment decisions.

  15. An Extended N-Player Network Game and Simulation of Four Investment Strategies on a Complex Innovation Network.

    Zhou, Wen; Koptyug, Nikita; Ye, Shutao; Jia, Yifan; Lu, Xiaolong

    2016-01-01

    As computer science and complex network theory develop, non-cooperative games and their formation and application on complex networks have been important research topics. In the inter-firm innovation network, it is a typical game behavior for firms to invest in their alliance partners. Accounting for the possibility that firms can be resource constrained, this paper analyzes a coordination game using the Nash bargaining solution as allocation rules between firms in an inter-firm innovation network. We build an extended inter-firm n-player game based on nonidealized conditions, describe four investment strategies and simulate the strategies on an inter-firm innovation network in order to compare their performance. By analyzing the results of our experiments, we find that our proposed greedy strategy is the best-performing in most situations. We hope this study provides a theoretical insight into how firms make investment decisions.

  16. Sleep As A Strategy For Optimizing Performance.

    Yarnell, Angela M; Deuster, Patricia

    2016-01-01

    Recovery is an essential component of maintaining, sustaining, and optimizing cognitive and physical performance during and after demanding training and strenuous missions. Getting sufficient amounts of rest and sleep is key to recovery. This article focuses on sleep and discusses (1) why getting sufficient sleep is important, (2) how to optimize sleep, and (3) tools available to help maximize sleep-related performance. Insufficient sleep negatively impacts safety and readiness through reduced cognitive function, more accidents, and increased military friendly-fire incidents. Sufficient sleep is linked to better cognitive performance outcomes, increased vigor, and better physical and athletic performance as well as improved emotional and social functioning. Because Special Operations missions do not always allow for optimal rest or sleep, the impact of reduced rest and sleep on readiness and mission success should be minimized through appropriate preparation and planning. Preparation includes periods of "banking" or extending sleep opportunities before periods of loss, monitoring sleep by using tools like actigraphy to measure sleep and activity, assessing mental effectiveness, exploiting strategic sleep opportunities, and consuming caffeine at recommended doses to reduce fatigue during periods of loss. Together, these efforts may decrease the impact of sleep loss on mission and performance. 2016.

  17. Optimal Dynamic Advertising Strategy Under Age-Specific Market Segmentation

    Krastev, Vladimir

    2011-12-01

    We consider the model proposed by Faggian and Grosset for determining the advertising efforts and goodwill in the long run of a company under age segmentation of consumers. Reducing this model to optimal control sub problems we find the optimal advertising strategy and goodwill.

  18. A strategy for optimizing item-pool management

    Ariel, A.; van der Linden, Willem J.; Veldkamp, Bernard P.

    2006-01-01

    Item-pool management requires a balancing act between the input of new items into the pool and the output of tests assembled from it. A strategy for optimizing item-pool management is presented that is based on the idea of a periodic update of an optimal blueprint for the item pool to tune item

  19. Optimizing diabetes management: managed care strategies.

    Tzeel, E Albert

    2013-06-01

    Both the prevalence of type 2 diabetes mellitus (DM) and its associated costs have been rising over time and are projected to continue to escalate. Therefore, type 2 DM (T2DM) management costs represent a potentially untenable strain on the healthcare system unless substantial, systemic changes are made. Managed care organizations (MCOs) are uniquely positioned to attempt to make the changes necessary to reduce the burdens associated with T2DM by developing policies that align with evidence-based DM management guidelines and other resources. For example, MCOs can encourage members to implement healthy lifestyle choices, which have been shown to reduce DM-associated mortality and delay comorbidities. In addition, MCOs are exploring the strengths and weaknesses of several different benefit plan designs. Value-based insurance designs, sometimes referred to as value-based benefit designs, use both direct and indirect data to invest in incentives that change behaviors through health information technologies, communications, and services to improve health, productivity, quality, and financial trends. Provider incentive programs, sometimes referred to as "pay for performance," represent a payment/delivery paradigm that places emphasis on rewarding value instead of volume to align financial incentives and quality of care. Accountable care organizations emphasize an alignment between reimbursement and implementation of best practices through the use of disease management and/ or clinical pathways and health information technologies. Consumer-directed health plans, or high-deductible health plans, combine lower premiums with high annual deductibles to encourage members to seek better value for health expenditures. Studies conducted to date on these different designs have produced mixed results.

  20. Inconsistent Investment and Consumption Problems

    Kronborg, Morten Tolver; Steffensen, Mogens

    2015-01-01

    In a traditional Black–Scholes market we develop a verification theorem for a general class of investment and consumption problems where the standard dynamic programming principle does not hold. The theorem is an extension of the standard Hamilton–Jacobi–Bellman equation in the form of a system...... of non-linear differential equations. We derive the optimal investment and consumption strategy for a mean-variance investor without pre-commitment endowed with labor income. In the case of constant risk aversion it turns out that the optimal amount of money to invest in stocks is independent of wealth...... of future labor income net of consumption. Using the verification theorem we give a detailed analysis of this problem. It turns out that the optimal amount of money to invest in stocks is given by a linear function of wealth plus the financial value of future labor income net of consumption. The optimal...

  1. Blackjack in Holland Casino's : Basic, optimal and winning strategies

    van der Genugten, B.B.

    1995-01-01

    This paper considers the cardgame Blackjack according to the rules of Holland Casino's in the Netherlands. Expected gains of strategies are derived with simulation and also with analytic tools. New effiency concepts based on the gains of the basic and the optimal strategy are introduced. A general

  2. The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

    B. Marasović; S. Pivac; S. V. Vukasović

    2015-01-01

    Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the pr...

  3. A new inertia weight control strategy for particle swarm optimization

    Zhu, Xianming; Wang, Hongbo

    2018-04-01

    Particle Swarm Optimization is a member of swarm intelligence algorithms, which is inspired by the behavior of bird flocks. The inertia weight, one of the most important parameters of PSO, is crucial for PSO, for it balances the performance of exploration and exploitation of the algorithm. This paper proposes a new inertia weight control strategy and PSO with this new strategy is tested by four benchmark functions. The results shows that the new strategy provides the PSO with better performance.

  4. Noise-dependent optimal strategies for quantum metrology

    Huang, Zixin; Macchiavello, Chiara; Maccone, Lorenzo

    2018-03-01

    For phase estimation using qubits, we show that for some noise channels, the optimal entanglement-assisted strategy depends on the noise level. We note that there is a nontrivial crossover between the parallel-entangled strategy and the ancilla-assisted strategy: in the former the probes are all entangled; in the latter the probes are entangled with a noiseless ancilla but not among themselves. The transition can be explained by the fact that separable states are more robust against noise and therefore are optimal in the high-noise limit, but they are in turn outperformed by ancilla-assisted ones.

  5. Optimal intermittent search strategies: smelling the prey

    Revelli, J A; Wio, H S; Rojo, F; Budde, C E

    2010-01-01

    We study the kinetics of the search of a single fixed target by a searcher/walker that performs an intermittent random walk, characterized by different states of motion. In addition, we assume that the walker has the ability to detect the scent left by the prey/target in its surroundings. Our results, in agreement with intuition, indicate that the prey's survival probability could be strongly reduced (increased) if the predator is attracted (or repelled) by the trace left by the prey. We have also found that, for a positive trace (the predator is guided towards the prey), increasing the inhomogeneity's size reduces the prey's survival probability, while the optimal value of α (the parameter that regulates intermittency) ceases to exist. The agreement between theory and numerical simulations is excellent.

  6. Optimal intermittent search strategies: smelling the prey

    Revelli, J A; Wio, H S [Instituto de Fisica de Cantabria, Universidad de Cantabria and CSIC, E-39005 Santander (Spain); Rojo, F; Budde, C E [Fa.M.A.F., Universidad Nacional de Cordoba, Ciudad Universitaria, X5000HUA Cordoba (Argentina)

    2010-05-14

    We study the kinetics of the search of a single fixed target by a searcher/walker that performs an intermittent random walk, characterized by different states of motion. In addition, we assume that the walker has the ability to detect the scent left by the prey/target in its surroundings. Our results, in agreement with intuition, indicate that the prey's survival probability could be strongly reduced (increased) if the predator is attracted (or repelled) by the trace left by the prey. We have also found that, for a positive trace (the predator is guided towards the prey), increasing the inhomogeneity's size reduces the prey's survival probability, while the optimal value of {alpha} (the parameter that regulates intermittency) ceases to exist. The agreement between theory and numerical simulations is excellent.

  7. Optimal Inspection and Maintenance Strategies for Structural Systems

    Sommer, A. M.

    The aim of this thesis is to give an overview of conventional and optimal reliability-based inspection and maintenance strategies and to examine for specific structures how the cost can be reduced and/or the safety can be improved by using optimal reliability-based inspection strategies....... For structures with several almost similar components it is suggested that individual inspection strategies should be determined for each component or a group of components based on the reliability of the actual component. The benefit of this procedure is assessed in connection with the structures considered....... Furthermore, in relation to the calculations performed the intention is to modify an existing program for determination of optimal inspection strategies. The main purpose of inspection and maintenance of structural systems is to prevent or delay damage or deterioration to protect people, environment...

  8. Active Redesign of a Medicaid Care Management Strategy for Greater Return on Investment: Predicting Impactability.

    DuBard, C Annette; Jackson, Carlos T

    2018-04-01

    Care management of high-cost/high-needs patients is an increasingly common strategy to reduce health care costs. A variety of targeting methodologies have emerged to identify patients with high historical or predicted health care utilization, but the more pertinent question for program planners is how to identify those who are most likely to benefit from care management intervention. This paper describes the evolution of complex care management targeting strategies in Community Care of North Carolina's (CCNC) work with the statewide non-dual Medicaid population, culminating in the development of an "Impactability Score" that uses administrative data to predict achievable savings. It describes CCNC's pragmatic approach for estimating intervention effects in a historical cohort of 23,455 individuals, using a control population of 14,839 to determine expected spending at an individual level, against which actual spending could be compared. The actual-to-expected spending difference was then used as the dependent variable in a multivariate model to determine the predictive contribution of a multitude of demographic, clinical, and utilization characteristics. The coefficients from this model yielded the information required to build predictive models for prospective use. Model variables related to medication adherence and historical utilization unexplained by disease burden proved to be more important predictors of impactability than any given diagnosis or event, disease profile, or overall costs of care. Comparison of this approach to alternative targeting strategies (emergency department super-utilizers, inpatient super-utilizers, or patients with highest Hierarchical Condition Category risk scores) suggests a 2- to 3-fold higher return on investment using impactability-based targeting.

  9. Effects of a Capital Investment and a Discount Rate on the Optimal Operational Duration of an HLW Repository

    Kim, Sung Ki; Lee, Min Soo; Choi, Heui Joo; Choi, Jong Won

    2008-01-01

    This study aims to estimate the effects of a capital investment and a discount rate on the optimal operational duration of an HLW repository. According to the previous researches of the KRS(Korea Reference System) for an HLW repository, the amounts of 7,068,200 C$K and 2,636.2 MEUR are necessary to construct and operate surface and underground facilities. Since these huge costs can be a burden to some national economies, a study for a cost optimization should be performed. So we aim to drive the dominant cost driver for an optimal operational duration. A longer operational duration may be needed to dispose of more spent fuels continuously from a nuclear power plant, or to attain a retrievability of an HLW repository at a depth of 500 m below the ground level in a stable plutonic rock body. In this sense, an extended operational duration for an HLW repository affects the overall disposal costs of a repository. In this paper, only the influence of a capital investment and a discount rate was estimated from the view of optimized economics. Because these effects must be significant factors to minimize the overall disposal costs based on minimizing the sum of operational costs and capital investments

  10. A proposal of optimal sampling design using a modularity strategy

    Simone, A.; Giustolisi, O.; Laucelli, D. B.

    2016-08-01

    In real water distribution networks (WDNs) are present thousands nodes and optimal placement of pressure and flow observations is a relevant issue for different management tasks. The planning of pressure observations in terms of spatial distribution and number is named sampling design and it was faced considering model calibration. Nowadays, the design of system monitoring is a relevant issue for water utilities e.g., in order to manage background leakages, to detect anomalies and bursts, to guarantee service quality, etc. In recent years, the optimal location of flow observations related to design of optimal district metering areas (DMAs) and leakage management purposes has been faced considering optimal network segmentation and the modularity index using a multiobjective strategy. Optimal network segmentation is the basis to identify network modules by means of optimal conceptual cuts, which are the candidate locations of closed gates or flow meters creating the DMAs. Starting from the WDN-oriented modularity index, as a metric for WDN segmentation, this paper proposes a new way to perform the sampling design, i.e., the optimal location of pressure meters, using newly developed sampling-oriented modularity index. The strategy optimizes the pressure monitoring system mainly based on network topology and weights assigned to pipes according to the specific technical tasks. A multiobjective optimization minimizes the cost of pressure meters while maximizing the sampling-oriented modularity index. The methodology is presented and discussed using the Apulian and Exnet networks.

  11. Optimal reactor strategy for commercializing fast breeder reactors

    Yamaji, Kenji; Nagano, Koji

    1988-01-01

    In this paper, a fuel cycle optimization model developed for analyzing the condition of selecting fast breeder reactors in the optimal reactor strategy is described. By dividing the period of planning, 1966-2055, into nine ten-year periods, the model was formulated as a compact linear programming model. With the model, the best mix of reactor types as well as the optimal timing of reprocessing spent fuel from LWRs to minimize the total cost were found. The results of the analysis are summarized as follows. Fast breeder reactors could be introduced in the optimal strategy when they can economically compete with LWRs with 30 year storage of spent fuel. In order that fast breeder reactors monopolize the new reactor market after the achievement of their technical availability, their capital cost should be less than 0.9 times as much as that of LWRs. When a certain amount of reprocessing commitment is assumed, the condition of employing fast breeder reactors in the optimal strategy is mitigated. In the optimal strategy, reprocessing is done just to meet plutonium demand, and the storage of spent fuel is selected to adjust the mismatch of plutonium production and utilization. The price hike of uranium ore facilitates the commercial adoption of fast breeder reactors. (Kako, I.)

  12. Optimal generator bidding strategies for power and ancillary services

    Morinec, Allen G.

    As the electric power industry transitions to a deregulated market, power transactions are made upon price rather than cost. Generator companies are interested in maximizing their profits rather than overall system efficiency. A method to equitably compensate generation providers for real power, and ancillary services such as reactive power and spinning reserve, will ensure a competitive market with an adequate number of suppliers. Optimizing the generation product mix during bidding is necessary to maximize a generator company's profits. The objective of this research work is to determine and formulate appropriate optimal bidding strategies for a generation company in both the energy and ancillary services markets. These strategies should incorporate the capability curves of their generators as constraints to define the optimal product mix and price offered in the day-ahead and real time spot markets. In order to achieve such a goal, a two-player model was composed to simulate market auctions for power generation. A dynamic game methodology was developed to identify Nash Equilibria and Mixed-Strategy Nash Equilibria solutions as optimal generation bidding strategies for two-player non-cooperative variable-sum matrix games with incomplete information. These games integrated the generation product mix of real power, reactive power, and spinning reserve with the generators's capability curves as constraints. The research includes simulations of market auctions, where strategies were tested for generators with different unit constraints, costs, types of competitors, strategies, and demand levels. Studies on the capability of large hydrogen cooled synchronous generators were utilized to derive useful equations that define the exact shape of the capability curve from the intersections of the arcs defined by the centers and radial vectors of the rotor, stator, and steady-state stability limits. The available reactive reserve and spinning reserve were calculated given a

  13. Life support technology investment strategies for flight programs: An application of decision analysis

    Schlater, Nelson J.; Simonds, Charles H.; Ballin, Mark G.

    1993-01-01

    Applied research and technology development (R&TD) is often characterized by uncertainty, risk, and significant delays before tangible returns are obtained. Given the increased awareness of limitations in resources, effective R&TD today needs a method for up-front assessment of competing technologies to help guide technology investment decisions. Such an assessment approach must account for uncertainties in system performance parameters, mission requirements and architectures, and internal and external events influencing a development program. The methodology known as decision analysis has the potential to address these issues. It was evaluated by performing a case study assessment of alternative carbon dioxide removal technologies for NASA's proposed First Lunar Outpost program. An approach was developed that accounts for the uncertainties in each technology's cost and performance parameters as well as programmatic uncertainties such as mission architecture. Life cycle cost savings relative to a baseline, adjusted for the cost of money, was used as a figure of merit to evaluate each of the alternative carbon dioxide removal technology candidates. The methodology was found to provide a consistent decision-making strategy for development of new life support technology. The case study results provided insight that was not possible from more traditional analysis approaches.

  14. Investment in Open Innovation Service Providers: NASA's Innovative Strategy for Solving Space Exploration Challenges

    Fogarty, Jennifer A.; Rando, Cynthia; Baumann, David; Richard, Elizabeth; Davis, Jeffrey

    2010-01-01

    In an effort to expand routes for open communication and create additional opportunities for public involvement with NASA, Open Innovation Service Provider (OISP) methodologies have been incorporated as a tool in NASA's problem solving strategy. NASA engaged the services of two OISP providers, InnoCentive and Yet2.com, to test this novel approach and its feasibility in solving NASA s space flight challenges. The OISPs were chosen based on multiple factors including: network size and knowledge area span, established process, methodology, experience base, and cost. InnoCentive and Yet2.com each met the desired criteria; however each company s approach to Open Innovation is distinctly different. InnoCentive focuses on posting individual challenges to an established web-based network of approximately 200,000 solvers; viable solutions are sought and granted a financial award if found. Based on a specific technological need, Yet2.com acts as a talent scout providing a broad external network of experts as potential collaborators to NASA. A relationship can be established with these contacts to develop technologies and/or maintained as an established network of future collaborators. The results from the first phase of the pilot study have shown great promise for long term efficacy of utilizing the OISP methodologies. Solution proposals have been received for the challenges posted on InnoCentive and are currently under review for final disposition. In addition, Yet2.com has identified new external partners for NASA and we are in the process of understanding and acting upon these new opportunities. Compared to NASA's traditional routes for external problem solving, the OISP methodologies offered NASA a substantial savings in terms of time and resources invested. In addition, these strategies will help NASA extend beyond its current borders to build an ever expanding network of experts and global solvers.

  15. Application of optimal interation strategies to diffusion theory calculations

    Jones, R.B.

    1978-01-01

    The geometric interpretation of optimal (minimum computational time) iteration strategies is applied to one- and two-group, two-dimensional diffusion-theory calculations. The method is a ''spectral/time balance'' technique which weighs the convergence enhancement of the inner iteration procedure with that of the outer iteration loop and the time required to reconstruct the source. The diffusion-theory option of the discrete-ordinates transport code DOT3.5 was altered to incorporate the theoretical inner/outer decision logic. For the two-dimensional configuration considered, the optimal strategies reduced the total number of iterations performed for a given error criterion

  16. Optimization Under Uncertainty for Wake Steering Strategies: Preprint

    Quick, Julian [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Annoni, Jennifer [National Renewable Energy Laboratory (NREL), Golden, CO (United States); King, Ryan N [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Dykes, Katherine L [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Fleming, Paul A [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Ning, Andrew [Brigham Young University

    2017-05-01

    Wind turbines in a wind power plant experience significant power losses because of aerodynamic interactions between turbines. One control strategy to reduce these losses is known as 'wake steering,' in which upstream turbines are yawed to direct wakes away from downstream turbines. Previous wake steering research has assumed perfect information, however, there can be significant uncertainty in many aspects of the problem, including wind inflow and various turbine measurements. Uncertainty has significant implications for performance of wake steering strategies. Consequently, the authors formulate and solve an optimization under uncertainty (OUU) problem for finding optimal wake steering strategies in the presence of yaw angle uncertainty. The OUU wake steering strategy is demonstrated on a two-turbine test case and on the utility-scale, offshore Princess Amalia Wind Farm. When we accounted for yaw angle uncertainty in the Princess Amalia Wind Farm case, inflow-direction-specific OUU solutions produced between 0% and 1.4% more power than the deterministically optimized steering strategies, resulting in an overall annual average improvement of 0.2%. More importantly, the deterministic optimization is expected to perform worse and with more downside risk than the OUU result when realistic uncertainty is taken into account. Additionally, the OUU solution produces fewer extreme yaw situations than the deterministic solution.

  17. Inconsistent Investment and Consumption Problems

    Kronborg, Morten Tolver, E-mail: mtk@atp.dk [ATP (Danish Labour Market Supplementary Pension Scheme) (Denmark); Steffensen, Mogens, E-mail: mogens@math.ku.dk [University of Copenhagen, Department of Mathematical Sciences (Denmark)

    2015-06-15

    In a traditional Black–Scholes market we develop a verification theorem for a general class of investment and consumption problems where the standard dynamic programming principle does not hold. The theorem is an extension of the standard Hamilton–Jacobi–Bellman equation in the form of a system of non-linear differential equations. We derive the optimal investment and consumption strategy for a mean-variance investor without pre-commitment endowed with labor income. In the case of constant risk aversion it turns out that the optimal amount of money to invest in stocks is independent of wealth. The optimal consumption strategy is given as a deterministic bang-bang strategy. In order to have a more realistic model we allow the risk aversion to be time and state dependent. Of special interest is the case were the risk aversion is inversely proportional to present wealth plus the financial value of future labor income net of consumption. Using the verification theorem we give a detailed analysis of this problem. It turns out that the optimal amount of money to invest in stocks is given by a linear function of wealth plus the financial value of future labor income net of consumption. The optimal consumption strategy is again given as a deterministic bang-bang strategy. We also calculate, for a general time and state dependent risk aversion function, the optimal investment and consumption strategy for a mean-standard deviation investor without pre-commitment. In that case, it turns out that it is optimal to take no risk at all.

  18. Inconsistent Investment and Consumption Problems

    Kronborg, Morten Tolver; Steffensen, Mogens

    2015-01-01

    In a traditional Black–Scholes market we develop a verification theorem for a general class of investment and consumption problems where the standard dynamic programming principle does not hold. The theorem is an extension of the standard Hamilton–Jacobi–Bellman equation in the form of a system of non-linear differential equations. We derive the optimal investment and consumption strategy for a mean-variance investor without pre-commitment endowed with labor income. In the case of constant risk aversion it turns out that the optimal amount of money to invest in stocks is independent of wealth. The optimal consumption strategy is given as a deterministic bang-bang strategy. In order to have a more realistic model we allow the risk aversion to be time and state dependent. Of special interest is the case were the risk aversion is inversely proportional to present wealth plus the financial value of future labor income net of consumption. Using the verification theorem we give a detailed analysis of this problem. It turns out that the optimal amount of money to invest in stocks is given by a linear function of wealth plus the financial value of future labor income net of consumption. The optimal consumption strategy is again given as a deterministic bang-bang strategy. We also calculate, for a general time and state dependent risk aversion function, the optimal investment and consumption strategy for a mean-standard deviation investor without pre-commitment. In that case, it turns out that it is optimal to take no risk at all

  19. Optimal football strategies: AC Milan versus FC Barcelona

    Papahristodoulou, Christos

    2012-01-01

    In a recent UEFA Champions League game between AC Milan and FC Barcelona, played in Italy (final score 2-3), the collected match statistics, classified into four offensive and two defensive strategies, were in favour of FC Barcelona (by 13 versus 8 points). The aim of this paper is to examine to what extent the optimal game strategies derived from some deterministic, possibilistic, stochastic and fuzzy LP models would improve the payoff of AC Milan at the cost of FC Barcelona.

  20. Mechanisms for efficient investments and optimal zones in regional power market

    Andročec Ivan

    2014-01-01

    Full Text Available The paper is result of research different cross-border electricity trading mechanisms impact. Focus is on investments in generation and transmission power system facilities in regional market. Assumptions include efficient market coupling mechanism (with more bidding zones, use of additional investment indicators (like social welfare and congestion cost and security of supply issues (capacity mechanisms. There is discussion on cost benefits analysis for particular market participants and there is possibility of risk reduction for regional power system expansion. It is shown current state-of-the-art, problems and trends in solving some aspects of market integration and investment issues. In some cases smaller and well defined bidding areas are absolutely essential in order to ensure system security and economic efficiency. There is no single criterion for power system expansion but it is possible to use combination of incentive schemes and possible through one index for cross-border trade. Risk management for cross-border electricity trading through several areas needs to be upgraded with use of financial transmission rights like weighted average area prices, respectively. Regional power system security is closely associated with timely investments in energy supply in line with economic development and environmental needs. Security of supply indicator is deriving an estimation of security of supply improvement from the market based simulation results when a generation or transmission investment project is implemented. All researched makes market integration and investments in Europe more efficient and gives more correct signals to market participants in regional market.

  1. High Return on Investments in Scientist-Educator Partnerships: Broader Impact Strategies That Endure and Propagate

    Peach, C. L.; Franks, S. E.

    2004-12-01

    Tackling the broader impact section of a research proposal need not be a dilemma that "rears its ugly head" with each proposal deadline. By investing in partnerships with informal science education (ISE) organizations, researchers can establish a foundation for efficient, high quality, research-based educational outreach (EO) that can help them fulfill their broader impact obligations for years to come. Just as an interdisciplinary research project requires collaboration among scientists from a variety of disciplines, a research project with exemplary EO requires partnerships with those who specialize in science education. By engaging in such partnerships scientists gain access to professionals who have expertise in translating research topics into concept-centered programs, exhibits and online resources, and to the diverse student, teacher and public audience reached through ISE. By leveraging the intellectual and material resources of researchers and educators, these potentially long-lived relationships provide an efficient and effective means for achieving broader impact. Ultimately, the efficacy of this investment strategy depends on relieving the researcher of the time consuming burden of seeking out appropriate partners, initiating partnerships and conferring with science educators on potential projects. Recognizing this barrier to scientists' participation, the California Center for Ocean Sciences Education Excellence (CACOSEE) has adopted a unique approach - one in which CACOSEE serves primarily as a catalyst and facilitator of researchers EO activities rather than as an EO provider. We have apprised ourselves of the programs, interests and needs of a carefully selected group of ISE organizations and used this information as the basis for creating a spectrum of EO opportunities for researchers. These options are flexible, scalable and easily customized to fit the research interests, time constraints and budgetary limitations of any researcher. Through e

  2. Optimal decentralized valley-filling charging strategy for electric vehicles

    Zhang, Kangkang; Xu, Liangfei; Ouyang, Minggao; Wang, Hewu; Lu, Languang; Li, Jianqiu; Li, Zhe

    2014-01-01

    Highlights: • An implementable charging strategy is developed for electric vehicles connected to a grid. • A two-dimensional pricing scheme is proposed to coordinate charging behaviors. • The strategy effectively works in decentralized way but achieves the systematic valley filling. • The strategy allows device-level charging autonomy, and does not require a bidirectional communication/control network. • The strategy can self-correct when confronted with adverse factors. - Abstract: Uncoordinated charging load of electric vehicles (EVs) increases the peak load of the power grid, thereby increasing the cost of electricity generation. The valley-filling charging scenario offers a cheaper alternative. This study proposes a novel decentralized valley-filling charging strategy, in which a day-ahead pricing scheme is designed by solving a minimum-cost optimization problem. The pricing scheme can be broadcasted to EV owners, and the individual charging behaviors can be indirectly coordinated. EV owners respond to the pricing scheme by autonomously optimizing their individual charge patterns. This device-level response induces a valley-filling effect in the grid at the system level. The proposed strategy offers three advantages: coordination (by the valley-filling effect), practicality (no requirement for a bidirectional communication/control network between the grid and EV owners), and autonomy (user control of EV charge patterns). The proposed strategy is validated in simulations of typical scenarios in Beijing, China. According to the results, the strategy (1) effectively achieves the valley-filling charging effect at 28% less generation cost than the uncoordinated charging strategy, (2) is robust to several potential affecters of the valley-filling effect, such as (system-level) inaccurate parameter estimation and (device-level) response capability and willingness (which cause less than 2% deviation in the minimal generation cost), and (3) is compatible with

  3. Terminal Investment Strategies and Male Mate choice: Extreme Tests of Bateman.

    Andrade, Maydianne C B; Kasumovic, Michael M

    2005-11-01

    Bateman's principle predicts the intensity of sexual selection depends on rates of increase of fecundity with mating success for each sex (Bateman slopes). The sex with the steeper increase (usually males) is under more intense sexual selection and is expected to compete for access to the sex under less intense sexual selection (usually females). Under Bateman and modern refinements of his ideas, differences in parental investment are key to defining Bateman slopes and thus sex roles. Other theories predict sex differences in mating investment, or any expenditures that reduce male potential reproductive rate, can also control sex roles. We focus on sexual behaviour in systems where males have low paternal investment but frequently mate only once in their lifetimes, after which they are often killed by the female. Mating effort (=terminal investment) is high for these males, and many forms of investment theory might predict sex role reversal. We find no qualitative evidence for sex role reversal in a sample of spiders that show this extreme male investment pattern. We also present new data for terminally-investing redback spiders (Latrodectus hasselti). Bateman slopes are relatively steep for male redbacks, and, as predicted by Bateman, there is little evidence for role reversal. Instead, males are competitive and show limited choosiness despite wide variation in female reproductive value. This study supports the proposal that high male mating investment coupled with low parental investment may predispose males to choosiness but will not lead to role reversal. We support the utility of using Bateman slopes to predict sex roles, even in systems with extreme male mating investment.

  4. Evaluation on Optimal Scale of Rural Fixed-asset Investment – Based on Microcosmic Perspective of Farmers’ Income Increase

    DENG, Jinqian; SHAN, Kangkang; ZHANG, Yan

    2014-01-01

    The rural fundamental and productive fixed-asset investment not only makes active influence on the changes of farmers’ operational, wages and property income, but it also has an optimal scale range for farmers’ income increase. From the perspective of farmers’ income increase, this article evaluates the optimal scale of rural fixed-asset investment by setting up model with statistic data, and the results show that the optimal scale of per capita rural fixed-asset investment is 76.35% of...

  5. Business investment in research and development (R-D: business strategy for the 21st century in Puerto Rico?

    Manuel Lobato Vico

    2013-10-01

    Full Text Available Two thirds (67% of total investment in Research and Development (R-D activities in Puerto Rico is made by the business sector. This paper analyzes the data from the Pilot Survey on Research and Development and finds that a group of startups or new enterprises focused on R-D activities has been developed, but the total amount of R-D investment is not enough to consider this as a generalized strategy or one of deep impact on the economy. Corporate investment in R-D in Puerto Rico is strongly associated with subsidiaries of multinational corporations from the United States, as well as with specific industrial subsectors, in particular with the chemical industry (pharmaceutical and the subsector of research and development services.

  6. Long-term damage management strategies for optimizing steam generator performance

    Egan, G.R.; Besuner, P.M.; Fox, J.H.; Merrick, E.A.

    1991-01-01

    Minimizing long-term impact of steam generator operating, maintenance, outage, and replacement costs is the goal of all pressurized water reactor utilities. Recent research results have led to deterministic controls that may be implemented to optimize steam generator performance and to minimize damage accumulation. The real dilemma that utilities encounter is the decision process that needs to be made in the face of uncertain data. Some of these decisions involve the frequency and extent of steam generator eddy current tube inspections; the definition of operating conditions to minimize the rate of corrosion reactions (T (hot) , T (cold) ; and the imposition of strict water quality management guidelines. With finite resources, how can a utility decide which damage management strategy provides the most return for its investment? Aptech Engineering Services, Inc. (APTECH) developed a damage management strategy that starts from a deterministic analysis of a current problem- primary water stress corrosion cracking (PWSCC). The strategy involves a probabilistic treatment that results in long-term performance optimization. By optimization, we refer to minimizing the total cost of operating the steam generator. This total includes the present value costs of operations, maintenance, outages, and replacements. An example of the application of this methodology is presented. (author)

  7. Analysis prediction of Indonesian banks (BCA, BNI, MANDIRI) using adaptive neuro-fuzzy inference system (ANFIS) and investment strategies

    Trianto, Andriantama Budi; Hadi, I. M.; Liong, The Houw; Purqon, Acep

    2015-09-01

    Indonesian economical development is growing well. It has effect for their invesment in Banks and the stock market. In this study, we perform prediction for the three blue chips of Indonesian bank i.e. BCA, BNI, and MANDIRI by using the method of Adaptive Neuro-Fuzzy Inference System (ANFIS) with Takagi-Sugeno rules and Generalized bell (Gbell) as the membership function. Our results show that ANFIS perform good prediction with RMSE for BCA of 27, BNI of 5.29, and MANDIRI of 13.41, respectively. Furthermore, we develop an active strategy to gain more benefit. We compare between passive strategy versus active strategy. Our results shows that for the passive strategy gains 13 million rupiah, while for the active strategy gains 47 million rupiah in one year. The active investment strategy significantly shows gaining multiple benefit than the passive one.

  8. A Competitive and Experiential Assignment in Search Engine Optimization Strategy

    Clarke, Theresa B.; Clarke, Irvine, III

    2014-01-01

    Despite an increase in ad spending and demand for employees with expertise in search engine optimization (SEO), methods for teaching this important marketing strategy have received little coverage in the literature. Using Bloom's cognitive goals hierarchy as a framework, this experiential assignment provides a process for educators who may be new…

  9. Optimal portfolio strategies under a shortfall constraint | Akume ...

    We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfolio selection problem in continuous time, in order to obtain optimal strategies. The nancial market is assumed to comprise n risky assets driven by geometric Brownian motion and one risk-free asset. The method of Lagrange ...

  10. Optimal energy management strategy for battery powered electric vehicles

    Xi, Jiaqi; Li, Mian; Xu, Min

    2014-01-01

    Highlights: • The power usage for battery-powered electrical vehicles with in-wheel motors is maximized. • The battery and motor dynamics are examined emphasized on the power conversion and utilization. • The optimal control strategy is derived and verified by simulations. • An analytic expression of the optimal operating point is obtained. - Abstract: Due to limited energy density of batteries, energy management has always played a critical role in improving the overall energy efficiency of electric vehicles. In this paper, a key issue within the energy management problem will be carefully tackled, i.e., maximizing the power usage of batteries for battery-powered electrical vehicles with in-wheel motors. To this end, the battery and motor dynamics will be thoroughly examined with particular emphasis on the power conversion and power utilization. The optimal control strategy will then be derived based on the analysis. One significant contribution of this work is that an analytic expression for the optimal operating point in terms of the component and environment parameters can be obtained. Owing to this finding, the derived control strategy is also rendered a simple structure for real-time implementation. Simulation results demonstrate that the proposed strategy works both adaptively and robustly under different driving scenarios

  11. Validation of optimization strategies using the linear structured production chains

    Kusiak, Jan; Morkisz, Paweł; Oprocha, Piotr; Pietrucha, Wojciech; Sztangret, Łukasz

    2017-06-01

    Different optimization strategies applied to sequence of several stages of production chains were validated in this paper. Two benchmark problems described by ordinary differential equations (ODEs) were considered. A water tank and a passive CR-RC filter were used as the exemplary objects described by the first and the second order differential equations, respectively. Considered in the work optimization problems serve as the validators of strategies elaborated by the Authors. However, the main goal of research is selection of the best strategy for optimization of two real metallurgical processes which will be investigated in an on-going projects. The first problem will be the oxidizing roasting process of zinc sulphide concentrate where the sulphur from the input concentrate should be eliminated and the minimal concentration of sulphide sulphur in the roasted products has to be achieved. Second problem will be the lead refining process consisting of three stages: roasting to the oxide, oxide reduction to metal and the oxidizing refining. Strategies, which appear the most effective in considered benchmark problems will be candidates for optimization of the mentioned above industrial processes.

  12. Environmental assessment and investment strategies of provincial industrial sector in China — Analysis based on DEA model

    Wang, Juan, E-mail: wangjuan_tju@163.com [College of Management and Economics, Tianjin University, Tianjin 300072 (China); Zhao, Tao [College of Management and Economics, Tianjin University, Tianjin 300072 (China); Zhang, Xiaohu [College of Civil Aviation, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu, 210016 (China)

    2016-09-15

    As an energy-intensive industry, the industrial sector consumes 70% of energy consumption and causes serious environmental pollution in China. Also, the government emphasized the promotion of R&D investment in the industrial sector in China's National Plan on Climate Change (2014–2020). It is meaningful and contributes to assessing energy and environmental performance, as well as R&D and industrial pollution control (IPC) investment strategies of China's industrial sector. A non-radial DEA model, as with natural and managerial disposability, was adopted to evaluate this from provincial and regional perspectives during the 2008–2012 period. Energy and environmental performance was evaluated by unified efficiency under natural disposability (UEN), unified efficiency under managerial disposability (UEM), and unified efficiency under natural and managerial disposability (UENM). The empirical results indicated that Shandong and Hainan were efficient under natural and managerial disposability, while other provinces had the potential to improve their energy and environmental performance. The number of provinces that was fit for investments of R&D and IPC increased from 2008 to 2010, then decreased in 2011 and 2012. In spite of this, many provincial industrial sectors should make efforts to reduce pollution by investment on technology. Tianjin, Heilongjiang, Jiangxi and Henan were especially the best investment objects because investments of R&D and IPC turned to be effective for them during the whole study period. Moreover, western China had the highest average UENM, followed by eastern China and central China. Eastern China and central China were rewarding to expand investments. Coal consumption was the main factor to negatively affect unified efficiency whereas the increase in economic development level was primarily responsible for the improvement of unified efficiency. According to the results, differentiated suggestions to further improve energy and

  13. Environmental assessment and investment strategies of provincial industrial sector in China — Analysis based on DEA model

    Wang, Juan; Zhao, Tao; Zhang, Xiaohu

    2016-01-01

    As an energy-intensive industry, the industrial sector consumes 70% of energy consumption and causes serious environmental pollution in China. Also, the government emphasized the promotion of R&D investment in the industrial sector in China's National Plan on Climate Change (2014–2020). It is meaningful and contributes to assessing energy and environmental performance, as well as R&D and industrial pollution control (IPC) investment strategies of China's industrial sector. A non-radial DEA model, as with natural and managerial disposability, was adopted to evaluate this from provincial and regional perspectives during the 2008–2012 period. Energy and environmental performance was evaluated by unified efficiency under natural disposability (UEN), unified efficiency under managerial disposability (UEM), and unified efficiency under natural and managerial disposability (UENM). The empirical results indicated that Shandong and Hainan were efficient under natural and managerial disposability, while other provinces had the potential to improve their energy and environmental performance. The number of provinces that was fit for investments of R&D and IPC increased from 2008 to 2010, then decreased in 2011 and 2012. In spite of this, many provincial industrial sectors should make efforts to reduce pollution by investment on technology. Tianjin, Heilongjiang, Jiangxi and Henan were especially the best investment objects because investments of R&D and IPC turned to be effective for them during the whole study period. Moreover, western China had the highest average UENM, followed by eastern China and central China. Eastern China and central China were rewarding to expand investments. Coal consumption was the main factor to negatively affect unified efficiency whereas the increase in economic development level was primarily responsible for the improvement of unified efficiency. According to the results, differentiated suggestions to further improve energy and environmental

  14. An optimal inspection strategy for randomly failing equipment

    Chelbi, Anis; Ait-Kadi, Daoud

    1999-01-01

    This paper addresses the problem of generating optimal inspection strategies for randomly failing equipment where imminent failure is not obvious and can only be detected through inspection. Inspections are carried out following a condition-based procedure. The equipment is replaced if it has failed or if it shows imminent signs of failure. The latter state is indicated by measuring certain predetermined control parameters during inspection. Costs are associated with inspection, idle time and preventive or corrective actions. An optimal inspection strategy is defined as the inspection sequence minimizing the expected total cost per time unit over an infinite span. A mathematical model and a numerical algorithm are developed to generate an optimal inspection sequence. As a practical example, the model is applied to provide a machine tool operator with a time sequence for inspecting the cutting tool. The tool life time distribution and the trend of one control parameter defining its actual condition are supposed to be known

  15. Optimal Energy Control Strategy Design for a Hybrid Electric Vehicle

    Yuan Zou

    2013-01-01

    Full Text Available A heavy-duty parallel hybrid electric truck is modeled, and its optimal energy control is studied in this paper. The fundamental architecture of the parallel hybrid electric truck is modeled feed-forwardly, together with necessary dynamic features of subsystem or components. Dynamic programming (DP technique is adopted to find the optimal control strategy including the gear-shifting sequence and the power split between the engine and the motor subject to a battery SOC-sustaining constraint. Improved control rules are extracted from the DP-based control solution, forming near-optimal control strategies. Simulation results demonstrate that a significant improvement on the fuel economy can be achieved in the heavy-duty vehicle cycle from the natural driving statistics.

  16. Growth or reproduction: emergence of an evolutionary optimal strategy

    Grilli, J; Suweis, S; Maritan, A

    2013-01-01

    Modern ecology has re-emphasized the need for a quantitative understanding of the original ‘survival of the fittest theme’ based on analysis of the intricate trade-offs between competing evolutionary strategies that characterize the evolution of life. This is key to the understanding of species coexistence and ecosystem diversity under the omnipresent constraint of limited resources. In this work we propose an agent-based model replicating a community of interacting individuals, e.g. plants in a forest, where all are competing for the same finite amount of resources and each competitor is characterized by a specific growth–reproduction strategy. We show that such an evolution dynamics drives the system towards a stationary state characterized by an emergent optimal strategy, which in turn depends on the amount of available resources the ecosystem can rely on. We find that the share of resources used by individuals is power-law distributed with an exponent directly related to the optimal strategy. The model can be further generalized to devise optimal strategies in social and economical interacting systems dynamics. (paper)

  17. Online gaming for learning optimal team strategies in real time

    Hudas, Gregory; Lewis, F. L.; Vamvoudakis, K. G.

    2010-04-01

    This paper first presents an overall view for dynamical decision-making in teams, both cooperative and competitive. Strategies for team decision problems, including optimal control, zero-sum 2-player games (H-infinity control) and so on are normally solved for off-line by solving associated matrix equations such as the Riccati equation. However, using that approach, players cannot change their objectives online in real time without calling for a completely new off-line solution for the new strategies. Therefore, in this paper we give a method for learning optimal team strategies online in real time as team dynamical play unfolds. In the linear quadratic regulator case, for instance, the method learns the Riccati equation solution online without ever solving the Riccati equation. This allows for truly dynamical team decisions where objective functions can change in real time and the system dynamics can be time-varying.

  18. Artificial root foraging optimizer algorithm with hybrid strategies

    Yang Liu

    2017-02-01

    Full Text Available In this work, a new plant-inspired optimization algorithm namely the hybrid artificial root foraging optimizion (HARFO is proposed, which mimics the iterative root foraging behaviors for complex optimization. In HARFO model, two innovative strategies were developed: one is the root-to-root communication strategy, which enables the individual exchange information with each other in different efficient topologies that can essentially improve the exploration ability; the other is co-evolution strategy, which can structure the hierarchical spatial population driven by evolutionary pressure of multiple sub-populations that ensure the diversity of root population to be well maintained. The proposed algorithm is benchmarked against four classical evolutionary algorithms on well-designed test function suites including both classical and composition test functions. Through the rigorous performance analysis that of all these tests highlight the significant performance improvement, and the comparative results show the superiority of the proposed algorithm.

  19. What do foraging wasps optimize in a variable environment, energy investment or body temperature?

    Kovac, Helmut; Stabentheiner, Anton; Brodschneider, Robert

    2015-11-01

    Vespine wasps (Vespula sp.) are endowed with a pronounced ability of endothermic heat production. To show how they balance energetics and thermoregulation under variable environmental conditions, we measured the body temperature and respiration of sucrose foragers (1.5 M, unlimited flow) under variable ambient temperature (T a = 20-35 °C) and solar radiation (20-570 W m(-2)). Results revealed a graduated balancing of metabolic efforts with thermoregulatory needs. The thoracic temperature in the shade depended on ambient temperature, increasing from ~37 to 39 °C. However, wasps used solar heat gain to regulate their thorax temperature at a rather high level at low T a (mean T thorax ~ 39 °C). Only at high T a they used solar heat to reduce their metabolic rate remarkably. A high body temperature accelerated the suction speed and shortened foraging time. As the costs of foraging strongly depended on duration, the efficiency could be significantly increased with a high body temperature. Heat gain from solar radiation enabled the wasps to enhance foraging efficiency at high ambient temperature (T a = 30 °C) by up to 63 %. The well-balanced change of economic strategies in response to environmental conditions minimized costs of foraging and optimized energetic efficiency.

  20. R & D STRATEGIC INVESTMENT IN AN ASYMMETRICAL CASE

    Minggao XUE; Pu GONG

    2006-01-01

    This article analyzes R & D investment decisions in an asymmetrical case. The investment decisions share three important characteristics. First, the investment is completely irreversible. Second,there are two kinds of uncertainties over the future returns from the investment and over technology in R & D process, respectively. Third, there is strategic competition in the asymmetrical case. This article presents the optimal investment threshold values and the optimal investment rule of high-efficient firm (leader), and shows that the investment threshold values are reduced by competition of two firms.Finally, the mixed investment strategies for two firms, the probability that each firm separately exercises the option to invest, and the probability that two firms simultaneously exercise the option are given in the paper.

  1. Private investment in hospitals: a comparison of three healthcare systems and possible implications for real estate strategies.

    van der Zwart, Johan; van der Voordt, Theo; Jonge, Hans de

    2010-01-01

    This article explores lessons to be learned from three different healthcare systems and the possible implications for the management of healthcare real estate, in particular in connection to the Dutch system. It discusses similarities and differences among the different systems, in search of possible consequences on cost, financing, and design innovation. To keep healthcare affordable in the future, the Dutch government is currently in the process of changing legislation to move from a centrally directed system to a so-called regulated market system. The deregulation of real estate investment that accompanies the new healthcare delivery system offers healthcare organizations new opportunities, but also more responsibility and greater risk in return on investment. Consequently, healthcare organizations must find new methods of financing. Private investment is one of the options. Three healthcare systems were analyzed on the basis of a literature review and document analysis, then schematized to show similarities and dissimilarities with regard to private investment in hospitals. Observations are based on a selection of recently published articles on private-sector financing and its implications for healthcare real estate decision making in the Netherlands, the United Kingdom, and Germany. The strengths and weaknesses of three healthcare systems with differing proportions of private and public investment in hospitals were explored. Research revealed a gap between intended effects and actual effects with regard to quality and cost. Costly private finance does not necessarily lead to "value for money." Transferring real estate decisions to private investors decreases the influence of the healthcare organization on future costs and quality. The three healthcare systems show substantial differences between public and private responsibilities. Less governmental involvement affords both opportunities and risks for hospitals. Private investment may lead to innovation

  2. On the robust optimization to the uncertain vaccination strategy problem

    Chaerani, D.; Anggriani, N.; Firdaniza

    2014-01-01

    In order to prevent an epidemic of infectious diseases, the vaccination coverage needs to be minimized and also the basic reproduction number needs to be maintained below 1. This means that as we get the vaccination coverage as minimum as possible, thus we need to prevent the epidemic to a small number of people who already get infected. In this paper, we discuss the case of vaccination strategy in term of minimizing vaccination coverage, when the basic reproduction number is assumed as an uncertain parameter that lies between 0 and 1. We refer to the linear optimization model for vaccination strategy that propose by Becker and Starrzak (see [2]). Assuming that there is parameter uncertainty involved, we can see Tanner et al (see [9]) who propose the optimal solution of the problem using stochastic programming. In this paper we discuss an alternative way of optimizing the uncertain vaccination strategy using Robust Optimization (see [3]). In this approach we assume that the parameter uncertainty lies within an ellipsoidal uncertainty set such that we can claim that the obtained result will be achieved in a polynomial time algorithm (as it is guaranteed by the RO methodology). The robust counterpart model is presented

  3. On the robust optimization to the uncertain vaccination strategy problem

    Chaerani, D., E-mail: d.chaerani@unpad.ac.id; Anggriani, N., E-mail: d.chaerani@unpad.ac.id; Firdaniza, E-mail: d.chaerani@unpad.ac.id [Department of Mathematics, Faculty of Mathematics and Natural Sciences, University of Padjadjaran Indonesia, Jalan Raya Bandung Sumedang KM 21 Jatinangor Sumedang 45363 (Indonesia)

    2014-02-21

    In order to prevent an epidemic of infectious diseases, the vaccination coverage needs to be minimized and also the basic reproduction number needs to be maintained below 1. This means that as we get the vaccination coverage as minimum as possible, thus we need to prevent the epidemic to a small number of people who already get infected. In this paper, we discuss the case of vaccination strategy in term of minimizing vaccination coverage, when the basic reproduction number is assumed as an uncertain parameter that lies between 0 and 1. We refer to the linear optimization model for vaccination strategy that propose by Becker and Starrzak (see [2]). Assuming that there is parameter uncertainty involved, we can see Tanner et al (see [9]) who propose the optimal solution of the problem using stochastic programming. In this paper we discuss an alternative way of optimizing the uncertain vaccination strategy using Robust Optimization (see [3]). In this approach we assume that the parameter uncertainty lies within an ellipsoidal uncertainty set such that we can claim that the obtained result will be achieved in a polynomial time algorithm (as it is guaranteed by the RO methodology). The robust counterpart model is presented.

  4. Generating optimized stochastic power management strategies for electric car components

    Fruth, Matthias [TraceTronic GmbH, Dresden (Germany); Bastian, Steve [Technische Univ. Dresden (Germany)

    2012-11-01

    With the increasing prevalence of electric vehicles, reducing the power consumption of car components becomes a necessity. For the example of a novel traffic-light assistance system, which makes speed recommendations based on the expected length of red-light phases, power-management strategies are used to control under which conditions radio communication, positioning systems and other components are switched to low-power (e.g. sleep) or high-power (e.g. idle/busy) states. We apply dynamic power management, an optimization technique well-known from other domains, in order to compute energy-optimal power-management strategies, sometimes resulting in these strategies being stochastic. On the example of the traffic-light assistant, we present a MATLAB/Simulink-implemented framework for the generation, simulation and formal analysis of optimized power-management strategies, which is based on this technique. We study capabilities and limitations of this approach and sketch further applications in the automotive domain. (orig.)

  5. An optimization strategy for a biokinetic model of inhaled radionuclides

    Shyr, L.J.; Griffith, W.C.; Boecker, B.B.

    1991-01-01

    Models for material disposition and dosimetry involve predictions of the biokinetics of the material among compartments representing organs and tissues in the body. Because of a lack of human data for most toxicants, many of the basic data are derived by modeling the results obtained from studies using laboratory animals. Such a biomathematical model is usually developed by adjusting the model parameters to make the model predictions match the measured retention and excretion data visually. The fitting process can be very time-consuming for a complicated model, and visual model selections may be subjective and easily biased by the scale or the data used. Due to the development of computerized optimization methods, manual fitting could benefit from an automated process. However, for a complicated model, an automated process without an optimization strategy will not be efficient, and may not produce fruitful results. In this paper, procedures for, and implementation of, an optimization strategy for a complicated mathematical model is demonstrated by optimizing a biokinetic model for 144Ce in fused aluminosilicate particles inhaled by beagle dogs. The optimized results using SimuSolv were compared to manual fitting results obtained previously using the model simulation software GASP. Also, statistical criteria provided by SimuSolv, such as likelihood function values, were used to help or verify visual model selections

  6. Control strategies for wind farm power optimization: LES study

    Ciri, Umberto; Rotea, Mario; Leonardi, Stefano

    2017-11-01

    Turbines in wind farms operate in off-design conditions as wake interactions occur for particular wind directions. Advanced wind farm control strategies aim at coordinating and adjusting turbine operations to mitigate power losses in such conditions. Coordination is achieved by controlling on upstream turbines either the wake intensity, through the blade pitch angle or the generator torque, or the wake direction, through yaw misalignment. Downstream turbines can be adapted to work in waked conditions and limit power losses, using the blade pitch angle or the generator torque. As wind conditions in wind farm operations may change significantly, it is difficult to determine and parameterize the variations of the coordinated optimal settings. An alternative is model-free control and optimization of wind farms, which does not require any parameterization and can track the optimal settings as conditions vary. In this work, we employ a model-free optimization algorithm, extremum-seeking control, to find the optimal set-points of generator torque, blade pitch and yaw angle for a three-turbine configuration. Large-Eddy Simulations are used to provide a virtual environment to evaluate the performance of the control strategies under realistic, unsteady incoming wind. This work was supported by the National Science Foundation, Grants No. 1243482 (the WINDINSPIRE project) and IIP 1362033 (I/UCRC WindSTAR). TACC is acknowledged for providing computational time.

  7. Chinese investments in Southern Europe's energy sectors: Similarities and divergences in China's strategies in Greece, Italy, Portugal and Spain

    Pareja-Alcaraz, Pablo

    2017-01-01

    China's Foreign Direct Investment in Europe has experienced a significant surge over the last decade. Southern European countries have not missed out on this trend and have gradually consolidated as important recipients of Chinese investments. This has allowed them to accumulate 23.5% of all Chinese FDI to Europe between 2000 and 2014 (10.8 billion Euro). The energy sectors of all four countries have been primary beneficiaries. Chinese entities have carried out impressive acquisitions in the Italian and Portuguese energy markets. In contrast, their presence in the Greek and Spanish energy markets has been discrete. In parallel, the penetration of Chinese investments in Italy and Spain's subsectors of renewable energies has been more prominent than in the Greek and the Portuguese ones. The former two countries have received significant investments in solar-related greenfield projects, whereas the latter have mostly benefited from operations in wind-related ones. The influence of Chinese ergy policies and promoting foreignntities has had an impact on the markets of all four countries. This trend is not consolidated. Data suggests that Chinese investments have been highly opportunistic. Athens, Rome, Lisbon and Madrid should see China's penetration in their markets as a mix bag of opportunities and challenges that demands better informed analysis. - Highlights: • China’s FDI in Southern European energy markets has experienced a recent surge. • Italy and Portugal are the region’s top recipients of Chinese FDI in energy markets. • Italy and Spain have received large Chinese investments in solar greenfield projects. • Chinese FDI in Southern Europe’s energy sectors is market and asset seeking. • Southern European energy strategies urge to be revised.

  8. Russian Gas for Europe. Creating Access and Choice. Underpinning Russia's gas export strategy with Gazprom's infrastructure investments

    Smeenk, T.

    2010-07-01

    This study deals with Gazprom's investment strategy regarding Russia's gas exports and export market behaviour, with a focus on European infrastructure projects, in a the geopolitical context. Because of its large gas reserves, Russia is well-positioned to take advantage of gas exports even as it faces possible competition from other gas suppliers and uncertain gas demand. Gas export earnings are an important source of income for Russia. As a government-controlled firm, Gazprom depends to a large extent on Europe for its hard-currency income. For Russia and Gazprom, the stream of income from gas exports and its expansion are economically vital. In this regard, gas export infrastructures such as Nord and South Stream could act as important instruments to expand Gazprom's market share in current markets and in growth markets. This study uses a real-option game model to assess the overall value of gas infrastructures in the face of demand uncertainties and potential competition. The result of this approach illustrates the strategic-economic character of Gazprom's infrastructure investments in possibly creating a first-mover's advantage. Yet, the model is of a highly stylised nature. Therefore, other aspects should be taken into account in assessing gas infrastructure investments. Besides the goal of possibly expanding Gazprom's market share, infrastructure investments could serve to mitigate overall transit risks. However, Gazprom's organisational constraints in realising gas infrastructures could put into question the rationale of such investments. In addition, Gazprom's position as well as that of Russian gas may be pressured by European (regulatory) policy in favour of alternative gas and other energy sources. The desired market outcomes for Gazprom have an impact on the prioritisation of Russian investments in the gas value chain.

  9. Automatic CT simulation optimization for radiation therapy: A general strategy.

    Li, Hua; Yu, Lifeng; Anastasio, Mark A; Chen, Hsin-Chen; Tan, Jun; Gay, Hiram; Michalski, Jeff M; Low, Daniel A; Mutic, Sasa

    2014-03-01

    In radiation therapy, x-ray computed tomography (CT) simulation protocol specifications should be driven by the treatment planning requirements in lieu of duplicating diagnostic CT screening protocols. The purpose of this study was to develop a general strategy that allows for automatically, prospectively, and objectively determining the optimal patient-specific CT simulation protocols based on radiation-therapy goals, namely, maintenance of contouring quality and integrity while minimizing patient CT simulation dose. The authors proposed a general prediction strategy that provides automatic optimal CT simulation protocol selection as a function of patient size and treatment planning task. The optimal protocol is the one that delivers the minimum dose required to provide a CT simulation scan that yields accurate contours. Accurate treatment plans depend on accurate contours in order to conform the dose to actual tumor and normal organ positions. An image quality index, defined to characterize how simulation scan quality affects contour delineation, was developed and used to benchmark the contouring accuracy and treatment plan quality within the predication strategy. A clinical workflow was developed to select the optimal CT simulation protocols incorporating patient size, target delineation, and radiation dose efficiency. An experimental study using an anthropomorphic pelvis phantom with added-bolus layers was used to demonstrate how the proposed prediction strategy could be implemented and how the optimal CT simulation protocols could be selected for prostate cancer patients based on patient size and treatment planning task. Clinical IMRT prostate treatment plans for seven CT scans with varied image quality indices were separately optimized and compared to verify the trace of target and organ dosimetry coverage. Based on the phantom study, the optimal image quality index for accurate manual prostate contouring was 4.4. The optimal tube potentials for patient sizes

  10. Automatic CT simulation optimization for radiation therapy: A general strategy

    Li, Hua, E-mail: huli@radonc.wustl.edu; Chen, Hsin-Chen; Tan, Jun; Gay, Hiram; Michalski, Jeff M.; Mutic, Sasa [Department of Radiation Oncology, Washington University, St. Louis, Missouri 63110 (United States); Yu, Lifeng [Department of Radiology, Mayo Clinic, Rochester, Minnesota 55905 (United States); Anastasio, Mark A. [Department of Biomedical Engineering, Washington University, St. Louis, Missouri 63110 (United States); Low, Daniel A. [Department of Radiation Oncology, University of California Los Angeles, Los Angeles, California 90095 (United States)

    2014-03-15

    Purpose: In radiation therapy, x-ray computed tomography (CT) simulation protocol specifications should be driven by the treatment planning requirements in lieu of duplicating diagnostic CT screening protocols. The purpose of this study was to develop a general strategy that allows for automatically, prospectively, and objectively determining the optimal patient-specific CT simulation protocols based on radiation-therapy goals, namely, maintenance of contouring quality and integrity while minimizing patient CT simulation dose. Methods: The authors proposed a general prediction strategy that provides automatic optimal CT simulation protocol selection as a function of patient size and treatment planning task. The optimal protocol is the one that delivers the minimum dose required to provide a CT simulation scan that yields accurate contours. Accurate treatment plans depend on accurate contours in order to conform the dose to actual tumor and normal organ positions. An image quality index, defined to characterize how simulation scan quality affects contour delineation, was developed and used to benchmark the contouring accuracy and treatment plan quality within the predication strategy. A clinical workflow was developed to select the optimal CT simulation protocols incorporating patient size, target delineation, and radiation dose efficiency. An experimental study using an anthropomorphic pelvis phantom with added-bolus layers was used to demonstrate how the proposed prediction strategy could be implemented and how the optimal CT simulation protocols could be selected for prostate cancer patients based on patient size and treatment planning task. Clinical IMRT prostate treatment plans for seven CT scans with varied image quality indices were separately optimized and compared to verify the trace of target and organ dosimetry coverage. Results: Based on the phantom study, the optimal image quality index for accurate manual prostate contouring was 4.4. The optimal tube

  11. Transitions in optimal adaptive strategies for populations in fluctuating environments

    Mayer, Andreas; Mora, Thierry; Rivoire, Olivier; Walczak, Aleksandra M.

    2017-09-01

    Biological populations are subject to fluctuating environmental conditions. Different adaptive strategies can allow them to cope with these fluctuations: specialization to one particular environmental condition, adoption of a generalist phenotype that compromises between conditions, or population-wise diversification (bet hedging). Which strategy provides the largest selective advantage in the long run depends on the range of accessible phenotypes and the statistics of the environmental fluctuations. Here, we analyze this problem in a simple mathematical model of population growth. First, we review and extend a graphical method to identify the nature of the optimal strategy when the environmental fluctuations are uncorrelated. Temporal correlations in environmental fluctuations open up new strategies that rely on memory but are mathematically challenging to study: We present analytical results to address this challenge. We illustrate our general approach by analyzing optimal adaptive strategies in the presence of trade-offs that constrain the range of accessible phenotypes. Our results extend several previous studies and have applications to a variety of biological phenomena, from antibiotic resistance in bacteria to immune responses in vertebrates.

  12. Optimal Corridor Selection for a Road Space Management Strategy: Methodology and Tool

    Sushant Sharma

    2017-01-01

    Full Text Available Nationwide, there is a growing realization that there are valuable benefits to using the existing roadway facilities to their full potential rather than expanding capacity in a traditional way. Currently, state DOTs are looking for cost-effective transportation solutions to mitigate the growing congestion and increasing funding gaps. Innovative road space management strategies like narrowing of multiple lanes (three or more and shoulder width to add a lane enhance the utilization while eliminating the costs associated with constructing new lanes. Although this strategy (among many generally leads to better mobility, identifying optimal corridors is a challenge and may affect the benefits. Further, there is a likelihood that added capacity may provide localized benefits, at the expense of system level performance measures (travel time and crashes because of the relocation of traffic operational bottlenecks. This paper develops a novel transportation programming and investment decision method to identify optimal corridors for adding capacity in the network by leveraging lane widths. The methodology explicitly takes into consideration the system level benefits and safety. The programming compares two conflicting objectives of system travel time and safety benefits to find an optimal solution.

  13. In-depth analysis on R and D investment and strategy on PV in South Korea

    Park, Noeon; Lee, Ki Jong; Lee, Kyong Jae; Lee, Yun Jie; Lee, Kyoungmi; Lee, Sang Hyon

    2013-01-01

    Photovoltaics (PV) is an eco-friendly and green technology, as a renewable energy source, with the aim of minimizing carbon dioxide emission into the atmosphere. The Korean government has financed various domestic installations as well as research and development (R and D) programs to enter and develop a lead in the worldwide PV market. In this study, R and D investments in the area of PV are analyzed in terms of the respective ministry, performer, research characteristics, PV materials and output levels in detail. The Korean government in the Fiscal year (FY) 2010 provided $178 million dollars from R and D funds for PV development. 74% of the R and D funds in the context of PV has been invested by the Ministry of Knowledge Economy (MKE). Expenditures for R and D programs in terms of PV are mainly funded by small-medium companies (40%), and the portion of the R and D investment in crystalline silicon solar cells is the highest in terms of materials. In spite of the high levels of R and D investment in PV, the output for commercialization was relatively lower compared to the R and D input in FY 2009–2010. With these results, we suggested to develop various solutions to improve the R and D investment efficiency for PV technology in Korea

  14. Eye Movements Reveal Optimal Strategies for Analogical Reasoning.

    Vendetti, Michael S; Starr, Ariel; Johnson, Elizabeth L; Modavi, Kiana; Bunge, Silvia A

    2017-01-01

    Analogical reasoning refers to the process of drawing inferences on the basis of the relational similarity between two domains. Although this complex cognitive ability has been the focus of inquiry for many years, most models rely on measures that cannot capture individuals' thought processes moment by moment. In the present study, we used participants' eye movements to investigate reasoning strategies in real time while solving visual propositional analogy problems (A:B::C:D). We included both a semantic and a perceptual lure on every trial to determine how these types of distracting information influence reasoning strategies. Participants spent more time fixating the analogy terms and the target relative to the other response choices, and made more saccades between the A and B items than between any other items. Participants' eyes were initially drawn to perceptual lures when looking at response choices, but they nonetheless performed the task accurately. We used participants' gaze sequences to classify each trial as representing one of three classic analogy problem solving strategies and related strategy usage to analogical reasoning performance. A project-first strategy, in which participants first extrapolate the relation between the AB pair and then generalize that relation for the C item, was both the most commonly used strategy as well as the optimal strategy for solving visual analogy problems. These findings provide new insight into the role of strategic processing in analogical problem solving.

  15. Eye Movements Reveal Optimal Strategies for Analogical Reasoning

    Michael S. Vendetti

    2017-06-01

    Full Text Available Analogical reasoning refers to the process of drawing inferences on the basis of the relational similarity between two domains. Although this complex cognitive ability has been the focus of inquiry for many years, most models rely on measures that cannot capture individuals' thought processes moment by moment. In the present study, we used participants' eye movements to investigate reasoning strategies in real time while solving visual propositional analogy problems (A:B::C:D. We included both a semantic and a perceptual lure on every trial to determine how these types of distracting information influence reasoning strategies. Participants spent more time fixating the analogy terms and the target relative to the other response choices, and made more saccades between the A and B items than between any other items. Participants' eyes were initially drawn to perceptual lures when looking at response choices, but they nonetheless performed the task accurately. We used participants' gaze sequences to classify each trial as representing one of three classic analogy problem solving strategies and related strategy usage to analogical reasoning performance. A project-first strategy, in which participants first extrapolate the relation between the AB pair and then generalize that relation for the C item, was both the most commonly used strategy as well as the optimal strategy for solving visual analogy problems. These findings provide new insight into the role of strategic processing in analogical problem solving.

  16. Optimal intervention strategies for cholera outbreak by education and chlorination

    Bakhtiar, Toni

    2016-01-01

    This paper discusses the control of infectious diseases in the framework of optimal control approach. A case study on cholera control was studied by considering two control strategies, namely education and chlorination. We distinct the former control into one regarding person-to-person behaviour and another one concerning person-to-environment conduct. Model are divided into two interacted populations: human population which follows an SIR model and pathogen population. Pontryagin maximum principle was applied in deriving a set of differential equations which consists of dynamical and adjoin systems as optimality conditions. Then, the fourth order Runge-Kutta method was exploited to numerically solve the equation system. An illustrative example was provided to assess the effectiveness of the control strategies toward a set of control scenarios.

  17. DIFFICULTIES IN BUSINESS VALUATION ISSUE IN THE CONTEXT OF INVESTMENT STRATEGIES

    CLAUDIU OPRESCU

    2015-10-01

    Full Text Available Value is the defining dimension of measurement in a market economy. People invest in the expectation that when they sell, the value of each investment will have grown by a sufficient amount above its cost to compensate them for the risk they took. This is true for all types of investments, be they bonds, derivatives, bank accounts, or company shares. Indeed, in a market economy, a company’s ability to create value for its shareholders and the amount of value it creates are the chief measures by which it is judged. Value is a particularly helpful measure of performance because it takes into account the long-term interests of all the stakeholders in a company, not just the shareholders.

  18. Turbine Control Strategies for Wind Farm Power Optimization

    Mirzaei, Mahmood; Göçmen Bozkurt, Tuhfe; Giebel, Gregor

    2015-01-01

    In recent decades there has been increasing interest in green energies, of which wind energy is the most important one. In order to improve the competitiveness of the wind power plants, there are ongoing researches to decrease cost per energy unit and increase the efficiency of wind turbines...... and wind farms. One way of achieving these goals is to optimize the power generated by a wind farm. One optimization method is to choose appropriate operating points for the individual wind turbines in the farm. We have made three models of a wind farm based on three difference control strategies...... the generated power by changing the power reference of the individual wind turbines. We use the optimization setup to compare power production of the wind farm models. This paper shows that for the most frequent wind velocities (below and around the rated values), the generated powers of the wind farms...

  19. Integrated testing strategies can be optimal for chemical risk classification.

    Raseta, Marko; Pitchford, Jon; Cussens, James; Doe, John

    2017-08-01

    There is an urgent need to refine strategies for testing the safety of chemical compounds. This need arises both from the financial and ethical costs of animal tests, but also from the opportunities presented by new in-vitro and in-silico alternatives. Here we explore the mathematical theory underpinning the formulation of optimal testing strategies in toxicology. We show how the costs and imprecisions of the various tests, and the variability in exposures and responses of individuals, can be assembled rationally to form a Markov Decision Problem. We compute the corresponding optimal policies using well developed theory based on Dynamic Programming, thereby identifying and overcoming some methodological and logical inconsistencies which may exist in the current toxicological testing. By illustrating our methods for two simple but readily generalisable examples we show how so-called integrated testing strategies, where information of different precisions from different sources is combined and where different initial test outcomes lead to different sets of future tests, can arise naturally as optimal policies. Copyright © 2017 Elsevier Inc. All rights reserved.

  20. Optimal sampling strategies for detecting zoonotic disease epidemics.

    Jake M Ferguson

    2014-06-01

    Full Text Available The early detection of disease epidemics reduces the chance of successful introductions into new locales, minimizes the number of infections, and reduces the financial impact. We develop a framework to determine the optimal sampling strategy for disease detection in zoonotic host-vector epidemiological systems when a disease goes from below detectable levels to an epidemic. We find that if the time of disease introduction is known then the optimal sampling strategy can switch abruptly between sampling only from the vector population to sampling only from the host population. We also construct time-independent optimal sampling strategies when conducting periodic sampling that can involve sampling both the host and the vector populations simultaneously. Both time-dependent and -independent solutions can be useful for sampling design, depending on whether the time of introduction of the disease is known or not. We illustrate the approach with West Nile virus, a globally-spreading zoonotic arbovirus. Though our analytical results are based on a linearization of the dynamical systems, the sampling rules appear robust over a wide range of parameter space when compared to nonlinear simulation models. Our results suggest some simple rules that can be used by practitioners when developing surveillance programs. These rules require knowledge of transition rates between epidemiological compartments, which population was initially infected, and of the cost per sample for serological tests.

  1. Optimal sampling strategies for detecting zoonotic disease epidemics.

    Ferguson, Jake M; Langebrake, Jessica B; Cannataro, Vincent L; Garcia, Andres J; Hamman, Elizabeth A; Martcheva, Maia; Osenberg, Craig W

    2014-06-01

    The early detection of disease epidemics reduces the chance of successful introductions into new locales, minimizes the number of infections, and reduces the financial impact. We develop a framework to determine the optimal sampling strategy for disease detection in zoonotic host-vector epidemiological systems when a disease goes from below detectable levels to an epidemic. We find that if the time of disease introduction is known then the optimal sampling strategy can switch abruptly between sampling only from the vector population to sampling only from the host population. We also construct time-independent optimal sampling strategies when conducting periodic sampling that can involve sampling both the host and the vector populations simultaneously. Both time-dependent and -independent solutions can be useful for sampling design, depending on whether the time of introduction of the disease is known or not. We illustrate the approach with West Nile virus, a globally-spreading zoonotic arbovirus. Though our analytical results are based on a linearization of the dynamical systems, the sampling rules appear robust over a wide range of parameter space when compared to nonlinear simulation models. Our results suggest some simple rules that can be used by practitioners when developing surveillance programs. These rules require knowledge of transition rates between epidemiological compartments, which population was initially infected, and of the cost per sample for serological tests.

  2. A New Hybrid Whale Optimizer Algorithm with Mean Strategy of Grey Wolf Optimizer for Global Optimization

    Narinder Singh

    2018-03-01

    Full Text Available The quest for an efficient nature-inspired optimization technique has continued over the last few decades. In this paper, a hybrid nature-inspired optimization technique has been proposed. The hybrid algorithm has been constructed using Mean Grey Wolf Optimizer (MGWO and Whale Optimizer Algorithm (WOA. We have utilized the spiral equation of Whale Optimizer Algorithm for two procedures in the Hybrid Approach GWO (HAGWO algorithm: (i firstly, we used the spiral equation in Grey Wolf Optimizer algorithm for balance between the exploitation and the exploration process in the new hybrid approach; and (ii secondly, we also applied this equation in the whole population in order to refrain from the premature convergence and trapping in local minima. The feasibility and effectiveness of the hybrid algorithm have been tested by solving some standard benchmarks, XOR, Baloon, Iris, Breast Cancer, Welded Beam Design, Pressure Vessel Design problems and comparing the results with those obtained through other metaheuristics. The solutions prove that the newly existing hybrid variant has higher stronger stability, faster convergence rate and computational accuracy than other nature-inspired metaheuristics on the maximum number of problems and can successfully resolve the function of constrained nonlinear optimization in reality.

  3. VI International Workshop on Nature Inspired Cooperative Strategies for Optimization

    Otero, Fernando; Masegosa, Antonio

    2014-01-01

    Biological and other natural processes have always been a source of inspiration for computer science and information technology. Many emerging problem solving techniques integrate advanced evolution and cooperation strategies, encompassing a range of spatio-temporal scales for visionary conceptualization of evolutionary computation. This book is a collection of research works presented in the VI International Workshop on Nature Inspired Cooperative Strategies for Optimization (NICSO) held in Canterbury, UK. Previous editions of NICSO were held in Granada, Spain (2006 & 2010), Acireale, Italy (2007), Tenerife, Spain (2008), and Cluj-Napoca, Romania (2011). NICSO 2013 and this book provides a place where state-of-the-art research, latest ideas and emerging areas of nature inspired cooperative strategies for problem solving are vigorously discussed and exchanged among the scientific community. The breadth and variety of articles in this book report on nature inspired methods and applications such as Swarm In...

  4. Nuclear Power Plant Outage Optimization Strategy. 2016 Edition

    2016-10-01

    This publication is an update of IAEA-TECDOC-1315, Nuclear Power Plant Outage Optimisation Strategy, which was published in 2002, and aims to communicate good outage management practices in a manner that can be used by operators and utilities in Member States. Nuclear power plant outage management is a key factor for safe and economic nuclear power plant performance. This publication discusses plant outage strategy and how this strategy is actually implemented. The main areas that are important for outage optimization that were identified by the utilities and government organizations participating in this report are: 1) organization and management; 2) outage planning and preparation; 3) outage execution; 4) safety outage review; and 5) counter measures to avoid the extension of outages and to facilitate the work in forced outages. Good outage management practices cover many different areas of work and this publication aims to communicate these good practices in a way that they can be used effectively by operators and utilities

  5. Evaluation of optimization strategies and the effect of initial conditions on IMAT optimization using a leaf position optimization algorithm

    Oliver, Mike; Jensen, Michael; Chen, Jeff; Wong, Eugene

    2009-01-01

    Intensity-modulated arc therapy (IMAT) is a rotational variant of intensity-modulated radiation therapy (IMRT) that can be implemented with or without angular dose rate variation. The purpose of this study is to assess optimization strategies and initial conditions using a leaf position optimization (LPO) algorithm altered for variable dose rate IMAT. A concave planning target volume (PTV) with a central cylindrical organ at risk (OAR) was used in this study. The initial IMAT arcs were approximated by multiple static beams at 5 deg. angular increments where multi-leaf collimator (MLC) leaf positions were determined from the beam's eye view to irradiate the PTV but avoid the OAR. For the optimization strategy, two arcs with arc ranges of 280 deg. and 150 deg. were employed and plans were created using LPO alone, variable dose rate optimization (VDRO) alone, simultaneous LPO and VDRO and sequential combinations of these strategies. To assess the MLC initialization effect, three single 360 deg. arc plans with different initial MLC configurations were generated using the simultaneous LPO and VDRO. The effect of changing optimization degrees of freedom was investigated by employing 3 deg., 5 deg. and 10 deg. angular sampling intervals for the two 280 deg., two 150 deg. and single arc plans using LPO and VDRO. The objective function value, a conformity index, a dose homogeneity index, mean dose to OAR and normal tissues were computed and used to evaluate the treatment plans. This study shows that the best optimization strategy for a concave target is to use simultaneous MLC LPO and VDRO. We found that the optimization result is sensitive to the choice of initial MLC aperture shapes suggesting that an LPO-based IMAT plan may not be able to overcome local minima for this geometry. In conclusion, simultaneous MLC leaf position and VDRO are needed with the most appropriate initial conditions (MLC positions, arc ranges and number of arcs) for IMAT.

  6. Male rock sparrows adjust their breeding strategy according to female ornamentation: parental or mating investment?

    Pilastro, Andrea; Griggio, Matteo; Matessi, Giuliano

    2003-01-01

    We investigated the relations between female quality and ornamentation and between male breeding investment and female ornamentation in the rock sparrow, Petronia petronia, a passerine in which both sexes have a yellow breast patch. Breast patch size in females was positively correlated with body...

  7. Universal Basic Education: An Overall Strategy of Investment Priorities for Economic Growth.

    McMahon, Walter W.; Boediono

    1992-01-01

    Presents a summary of research on key aspects of the indirect effects of expanding education from grade six through grade nine, followed by a comprehensive analysis of social rates of return to investment in all levels of education in Indonesia and underemployment in urban and rural areas. (three figures, nine tables, 33 references) (MLF)

  8. Econometric Analysis of Bulk Shipping: implications for investment strategies and financial decision-making

    S. Tsolakis

    2005-01-01

    textabstractThis thesis provides an econometric analysis of the bulk shipping markets and the implications for shipping investment and financial decision making. Chapter 1 sets the scene by providing a historic analysis of bulk shipping markets over the last 55 years. From this analysis, four

  9. Hydrogen storage for wind parks: A real options evaluation for an optimal investment in more flexibility

    Kroniger, Daniel; Madlener, Reinhard

    2014-01-01

    Highlights: • Economic analysis of investing in H 2 storage for excess wind power production. • Use of real options analysis to account for uncertainty and managerial flexibility. • Hourly profits are simulated for profit-maximizing operation of the storage device. • Revenues by load factor increase, offering minute reserve, temporal arbitrage, H 2 sale. • Power-to-power is unprofitable under current techno-political conditions in Germany. - Abstract: In this paper, we investigate the economic viability of hydrogen storage for excess electricity produced in wind power plants. For the analysis, we define two scenarios (50 MW system with and without re-electrification unit) and apply Monte Carlo simulation and real options analysis (ROA) to compute hourly profits under uncertainty regarding wind speed, spot market electricity prices, and call of minute reserve capacity. Hydrogen as a storage medium helps to either (1) increase capacity utilization of the wind park in case of grid disconnection; (2) to offer minute reserve; or (3) to exploit temporal price arbitrage at the electricity spot market; additionally, hydrogen can also be directly sold as a commodity. We find that power-to-power operation is highly uneconomical under current framework conditions in Germany, irrespective of potential energy efficiency gains. Interestingly, due to counterbalancing effects, offshore wind parks are found to have only a modest economic advantage compared to onshore ones. The power-to-fuel plant can be operated profitably (at hydrogen prices of more than 0.36 € m −3 and a 100% utilization of the electrolyzer) if hydrogen is directly marketed instead of used to store and re-generate electrical energy. The ROA recommends investment in a storage device without re-electrification unit beyond an expected project value that is about twice the investment cost of the storage device, a figure which is reduced markedly as conversion efficiency rises, assuming technical change

  10. Operating cost reduction by optimization of I and C backfitting strategy

    Kraft, Heinz-U.

    2002-01-01

    Full text: The safe and economic operation of a nuclear power plant requires a large scope of automation systems to act properly in combination. The associated maintenance costs, necessary to test these systems periodically and to repair or to replace them partly or completely, are one important factor in the overall operating costs of a nuclear power plant. Reducing these costs by reducing the maintenance effort could decrease the availability of the power plant and by this way increase the operating costs significantly. The minimization of the overall operating costs requires a well-balanced maintenance strategy taking into account all these opposite influences. The replacement of an existing I and C system by a new one reduces the maintenance cost in the long term and increases the plant availability. However, it requires some investments in the short term. On the other hand the repair of an I and C system avoids investments, but it doesn't solve the aging problems. That means maintenance costs will increase in the long term and the plant availability could be decreased. An optimized maintenance strategy can be elaborated on a plant specific base taking into account the residual lifetime of the plant, the properties of the installed I and C systems as well as their influence on the plant availability. As a general result of such an optimization performed by FANP it has been found as a rule that the replacement of I and C systems becomes the most economic way the longer the expected lifetime is and the stronger the I and C system influences, the availability of the plant. (author)

  11. Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

    Krzysztof Urbanowicz; Janusz A. Holyst

    2004-01-01

    Using a recently developed method of noise level estimation that makes use of properties of the coarse grained-entropy we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40 to 80 percent of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that implementation of a corresponding threshold investment stra...

  12. Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading

    Ward, Brian

    In this thesis we study dynamic strategies for index tracking and algorithmic trading. Tracking problems have become ever more important in Financial Engineering as investors seek to precisely control their portfolio risks and exposures over different time horizons. This thesis analyzes various tracking problems and elucidates the tracking errors and strategies one can employ to minimize those errors and maximize profit. In Chapters 2 and 3, we study the empirical tracking properties of exchange traded funds (ETFs), leveraged ETFs (LETFs), and futures products related to spot gold and the Chicago Board Option Exchange (CBOE) Volatility Index (VIX), respectively. These two markets provide interesting and differing examples for understanding index tracking. We find that static strategies work well in the nonleveraged case for gold, but fail to track well in the corresponding leveraged case. For VIX, tracking via neither ETFs, nor futures\\ portfolios succeeds, even in the nonleveraged case. This motivates the need for dynamic strategies, some of which we construct in these two chapters and further expand on in Chapter 4. There, we analyze a framework for index tracking and risk exposure control through financial derivatives. We derive a tracking condition that restricts our exposure choices and also define a slippage process that characterizes the deviations from the index over longer horizons. The framework is applied to a number of models, for example, Black Scholes model and Heston model for equity index tracking, as well as the Square Root (SQR) model and the Concatenated Square Root (CSQR) model for VIX tracking. By specifying how each of these models fall into our framework, we are able to understand the tracking errors in each of these models. Finally, Chapter 5 analyzes a tracking problem of a different kind that arises in algorithmic trading: schedule following for optimal execution. We formulate and solve a stochastic control problem to obtain the optimal

  13. An optimal staggered harvesting strategy for herbaceous biomass energy crops

    Bhat, M.G.; English, B.C. [Univ. of Tennessee, Knoxville, TN (United States)

    1993-12-31

    Biofuel research over the past two decades indicates lignocellulosic crops are a reliable source of feedstock for alternative energy. However, under the current technology of producing, harvesting and converting biomass crops, the cost of biofuel is not competitive with conventional biofuel. Cost of harvesting biomass feedstock is a single largest component of feedstock cost so there is a cost advantage in designing a biomass harvesting system. Traditional farmer-initiated harvesting operation causes over investment. This study develops a least-cost, time-distributed (staggered) harvesting system for example switch grass, that calls for an effective coordination between farmers, processing plant and a single third-party custom harvester. A linear programming model explicitly accounts for the trade-off between yield loss and benefit of reduced machinery overhead cost, associated with the staggered harvesting system. Total cost of producing and harvesting switch grass will decline by 17.94 percent from conventional non-staggered to proposed staggered harvesting strategy. Harvesting machinery cost alone experiences a significant reduction of 39.68 percent from moving from former to latter. The net return to farmers is estimated to increase by 160.40 percent. Per tonne and per hectare costs of feedstock production will decline by 17.94 percent and 24.78 percent, respectively. These results clearly lend support to the view that the traditional system of single period harvesting calls for over investment on agricultural machinery which escalates the feedstock cost. This social loss to the society in the form of escalated harvesting cost can be avoided if there is a proper coordination among farmers, processing plant and custom harvesters as to when and how biomass crop needs to be planted and harvested. Such an institutional arrangement benefits producers, processing plant and, in turn, end users of biofuels.

  14. Reputation-Based Investment Helps to Optimize Group Behaviors in Spatial Lattice Networks.

    Ding, Hong; Cao, Lin; Ren, Yizhi; Choo, Kim-Kwang Raymond; Shi, Benyun

    2016-01-01

    Encouraging cooperation among selfish individuals is crucial in many real-world systems, where individuals' collective behaviors can be analyzed using evolutionary public goods game. Along this line, extensive studies have shown that reputation is an effective mechanism to investigate the evolution of cooperation. In most existing studies, participating individuals in a public goods game are assumed to contribute unconditionally into the public pool, or they can choose partners based on a common reputation standard (e.g., preferences or characters). However, to assign one reputation standard for all individuals is impractical in many real-world deployment. In this paper, we introduce a reputation tolerance mechanism that allows an individual to select its potential partners and decide whether or not to contribute an investment to the public pool based on its tolerance to other individuals' reputation. Specifically, an individual takes part in a public goods game only if the number of participants with higher reputation exceeds the value of its tolerance. Moreover, in this paper, an individual's reputation can increase or decrease in a bounded interval based on its historical behaviors. We explore the principle that how the reputation tolerance and conditional investment mechanisms can affect the evolution of cooperation in spatial lattice networks. Our simulation results demonstrate that a larger tolerance value can achieve an environment that promote the cooperation of participants.

  15. Particle Swarm Optimization With Interswarm Interactive Learning Strategy.

    Qin, Quande; Cheng, Shi; Zhang, Qingyu; Li, Li; Shi, Yuhui

    2016-10-01

    The learning strategy in the canonical particle swarm optimization (PSO) algorithm is often blamed for being the primary reason for loss of diversity. Population diversity maintenance is crucial for preventing particles from being stuck into local optima. In this paper, we present an improved PSO algorithm with an interswarm interactive learning strategy (IILPSO) by overcoming the drawbacks of the canonical PSO algorithm's learning strategy. IILPSO is inspired by the phenomenon in human society that the interactive learning behavior takes place among different groups. Particles in IILPSO are divided into two swarms. The interswarm interactive learning (IIL) behavior is triggered when the best particle's fitness value of both the swarms does not improve for a certain number of iterations. According to the best particle's fitness value of each swarm, the softmax method and roulette method are used to determine the roles of the two swarms as the learning swarm and the learned swarm. In addition, the velocity mutation operator and global best vibration strategy are used to improve the algorithm's global search capability. The IIL strategy is applied to PSO with global star and local ring structures, which are termed as IILPSO-G and IILPSO-L algorithm, respectively. Numerical experiments are conducted to compare the proposed algorithms with eight popular PSO variants. From the experimental results, IILPSO demonstrates the good performance in terms of solution accuracy, convergence speed, and reliability. Finally, the variations of the population diversity in the entire search process provide an explanation why IILPSO performs effectively.

  16. Cost-effectiveness analysis of optimal strategy for tumor treatment

    Pang, Liuyong; Zhao, Zhong; Song, Xinyu

    2016-01-01

    We propose and analyze an antitumor model with combined immunotherapy and chemotherapy. Firstly, we explore the treatment effects of single immunotherapy and single chemotherapy, respectively. Results indicate that neither immunotherapy nor chemotherapy alone are adequate to cure a tumor. Hence, we apply optimal theory to investigate how the combination of immunotherapy and chemotherapy should be implemented, for a certain time period, in order to reduce the number of tumor cells, while minimizing the implementation cost of the treatment strategy. Secondly, we establish the existence of the optimality system and use Pontryagin’s Maximum Principle to characterize the optimal levels of the two treatment measures. Furthermore, we calculate the incremental cost-effectiveness ratios to analyze the cost-effectiveness of all possible combinations of the two treatment measures. Finally, numerical results show that the combination of immunotherapy and chemotherapy is the most cost-effective strategy for tumor treatment, and able to eliminate the entire tumor with size 4.470 × 10"8 in a year.

  17. Energy Optimal Control Strategy of PHEV Based on PMP Algorithm

    Tiezhou Wu

    2017-01-01

    Full Text Available Under the global voice of “energy saving” and the current boom in the development of energy storage technology at home and abroad, energy optimal control of the whole hybrid electric vehicle power system, as one of the core technologies of electric vehicles, is bound to become a hot target of “clean energy” vehicle development and research. This paper considers the constraints to the performance of energy storage system in Parallel Hybrid Electric Vehicle (PHEV, from which lithium-ion battery frequently charges/discharges, PHEV largely consumes energy of fuel, and their are difficulty in energy recovery and other issues in a single cycle; the research uses lithium-ion battery combined with super-capacitor (SC, which is hybrid energy storage system (Li-SC HESS, working together with internal combustion engine (ICE to drive PHEV. Combined with PSO-PI controller and Li-SC HESS internal power limited management approach, the research proposes the PHEV energy optimal control strategy. It is based on revised Pontryagin’s minimum principle (PMP algorithm, which establishes the PHEV vehicle simulation model through ADVISOR software and verifies the effectiveness and feasibility. Finally, the results show that the energy optimization control strategy can improve the instantaneity of tracking PHEV minimum fuel consumption track, implement energy saving, and prolong the life of lithium-ion batteries and thereby can improve hybrid energy storage system performance.

  18. Optimal knockout strategies in genome-scale metabolic networks using particle swarm optimization.

    Nair, Govind; Jungreuthmayer, Christian; Zanghellini, Jürgen

    2017-02-01

    Knockout strategies, particularly the concept of constrained minimal cut sets (cMCSs), are an important part of the arsenal of tools used in manipulating metabolic networks. Given a specific design, cMCSs can be calculated even in genome-scale networks. We would however like to find not only the optimal intervention strategy for a given design but the best possible design too. Our solution (PSOMCS) is to use particle swarm optimization (PSO) along with the direct calculation of cMCSs from the stoichiometric matrix to obtain optimal designs satisfying multiple objectives. To illustrate the working of PSOMCS, we apply it to a toy network. Next we show its superiority by comparing its performance against other comparable methods on a medium sized E. coli core metabolic network. PSOMCS not only finds solutions comparable to previously published results but also it is orders of magnitude faster. Finally, we use PSOMCS to predict knockouts satisfying multiple objectives in a genome-scale metabolic model of E. coli and compare it with OptKnock and RobustKnock. PSOMCS finds competitive knockout strategies and designs compared to other current methods and is in some cases significantly faster. It can be used in identifying knockouts which will force optimal desired behaviors in large and genome scale metabolic networks. It will be even more useful as larger metabolic models of industrially relevant organisms become available.

  19. Optimal Bidding Strategy for Renewable Microgrid with Active Network Management

    Seung Wan Kim

    2016-01-01

    Full Text Available Active Network Management (ANM enables a microgrid to optimally dispatch the active/reactive power of its Renewable Distributed Generation (RDG and Battery Energy Storage System (BESS units in real time. Thus, a microgrid with high penetration of RDGs can handle their uncertainties and variabilities to achieve the stable operation using ANM. However, the actual power flow in the line connecting the main grid and microgrid may deviate significantly from the day-ahead bids if the bids are determined without consideration of the real-time adjustment through ANM, which will lead to a substantial imbalance cost. Therefore, this study proposes a formulation for obtaining an optimal bidding which reflects the change of power flow in the connecting line by real-time adjustment using ANM. The proposed formulation maximizes the expected profit of the microgrid considering various network and physical constraints. The effectiveness of the proposed bidding strategy is verified through the simulations with a 33-bus test microgrid. The simulation results show that the proposed bidding strategy improves the expected operating profit by reducing the imbalance cost to a greater degree compared to the basic bidding strategy without consideration of ANM.

  20. Cost Effectiveness Analysis of Optimal Malaria Control Strategies in Kenya

    Gabriel Otieno

    2016-03-01

    Full Text Available Malaria remains a leading cause of mortality and morbidity among the children under five and pregnant women in sub-Saharan Africa, but it is preventable and controllable provided current recommended interventions are properly implemented. Better utilization of malaria intervention strategies will ensure the gain for the value for money and producing health improvements in the most cost effective way. The purpose of the value for money drive is to develop a better understanding (and better articulation of costs and results so that more informed, evidence-based choices could be made. Cost effectiveness analysis is carried out to inform decision makers on how to determine where to allocate resources for malaria interventions. This study carries out cost effective analysis of one or all possible combinations of the optimal malaria control strategies (Insecticide Treated Bednets—ITNs, Treatment, Indoor Residual Spray—IRS and Intermittent Preventive Treatment for Pregnant Women—IPTp for the four different transmission settings in order to assess the extent to which the intervention strategies are beneficial and cost effective. For the four different transmission settings in Kenya the optimal solution for the 15 strategies and their associated effectiveness are computed. Cost-effective analysis using Incremental Cost Effectiveness Ratio (ICER was done after ranking the strategies in order of the increasing effectiveness (total infections averted. The findings shows that for the endemic regions the combination of ITNs, IRS, and IPTp was the most cost-effective of all the combined strategies developed in this study for malaria disease control and prevention; for the epidemic prone areas is the combination of the treatment and IRS; for seasonal areas is the use of ITNs plus treatment; and for the low risk areas is the use of treatment only. Malaria transmission in Kenya can be minimized through tailor-made intervention strategies for malaria control

  1. Comparing investment projects of innovative developing strategies of municipalities, based on a set of indicators

    Saurenko Tatiana

    2018-01-01

    Full Text Available A method of comparison by a set of indicators which show the quality of investment projects and embody innovative policy of developing municipal entities is proposed. The method is based on establishing preferences for individual quality indicators of projects in accordance with the principle of maximum uncertainty (entropy and representing their aggregate in the form of a scalar function as an argument of the vector.

  2. Testing of Strategies for the Acceleration of the Cost Optimization

    Ponciroli, Roberto [Argonne National Lab. (ANL), Argonne, IL (United States); Vilim, Richard B. [Argonne National Lab. (ANL), Argonne, IL (United States)

    2017-08-31

    The general problem addressed in the Nuclear-Renewable Hybrid Energy System (N-R HES) project is finding the optimum economical dispatch (ED) and capacity planning solutions for the hybrid energy systems. In the present test-problem configuration, the N-R HES unit is composed of three electrical power-generating components, i.e. the Balance of Plant (BOP), the Secondary Energy Source (SES), and the Energy Storage (ES). In addition, there is an Industrial Process (IP), which is devoted to hydrogen generation. At this preliminary stage, the goal is to find the power outputs of each one of the N-R HES unit components (BOP, SES, ES) and the IP hydrogen production level that maximizes the unit profit by simultaneously satisfying individual component operational constraints. The optimization problem is meant to be solved in the Risk Analysis Virtual Environment (RAVEN) framework. The dynamic response of the N-R HES unit components is simulated by using dedicated object-oriented models written in the Modelica modeling language. Though this code coupling provides for very accurate predictions, the ensuing optimization problem is characterized by a very large number of solution variables. To ease the computational burden and to improve the path to a converged solution, a method to better estimate the initial guess for the optimization problem solution was developed. The proposed approach led to the definition of a suitable Monte Carlo-based optimization algorithm (called the preconditioner), which provides an initial guess for the optimal N-R HES power dispatch and the optimal installed capacity for each one of the unit components. The preconditioner samples a set of stochastic power scenarios for each one of the N-R HES unit components, and then for each of them the corresponding value of a suitably defined cost function is evaluated. After having simulated a sufficient number of power histories, the configuration which ensures the highest profit is selected as the optimal

  3. Issues and Strategies in Solving Multidisciplinary Optimization Problems

    Patnaik, Surya

    2013-01-01

    Optimization research at NASA Glenn Research Center has addressed the design of structures, aircraft and airbreathing propulsion engines. The accumulated multidisciplinary design activity is collected under a testbed entitled COMETBOARDS. Several issues were encountered during the solution of the problems. Four issues and the strategies adapted for their resolution are discussed. This is followed by a discussion on analytical methods that is limited to structural design application. An optimization process can lead to an inefficient local solution. This deficiency was encountered during design of an engine component. The limitation was overcome through an augmentation of animation into optimization. Optimum solutions obtained were infeasible for aircraft and airbreathing propulsion engine problems. Alleviation of this deficiency required a cascading of multiple algorithms. Profile optimization of a beam produced an irregular shape. Engineering intuition restored the regular shape for the beam. The solution obtained for a cylindrical shell by a subproblem strategy converged to a design that can be difficult to manufacture. Resolution of this issue remains a challenge. The issues and resolutions are illustrated through a set of problems: Design of an engine component, Synthesis of a subsonic aircraft, Operation optimization of a supersonic engine, Design of a wave-rotor-topping device, Profile optimization of a cantilever beam, and Design of a cylindrical shell. This chapter provides a cursory account of the issues. Cited references provide detailed discussion on the topics. Design of a structure can also be generated by traditional method and the stochastic design concept. Merits and limitations of the three methods (traditional method, optimization method and stochastic concept) are illustrated. In the traditional method, the constraints are manipulated to obtain the design and weight is back calculated. In design optimization, the weight of a structure becomes the

  4. Liability-driven investment in longevity risk management

    Helena Aro; Teemu Pennanen

    2013-01-01

    This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the liabilities into account. In problems without liabilities the advantage disappears, which suggests that the superiority of the proposed strategies is indeed based on connections b...

  5. Essays in Investment Theory

    Bobtcheff, C.

    2006-01-01

    shocks. Each player has the choice between two technologies: a large unit and a small one. We prove that different equilibria may exist depending on the parameters' values: a simultaneous investment equilibrium in the small unit or two mixed strategy equilibria. The inaction regions where both technologies provide expected net payoffs that are similar to each other do not survive the introduction of preemption. The choice value is thus equal to zero. Lastly, chapter 4 examines the problem of optimally allocating a fixed budget to a number of different investment projects. The marginal productivity of capital in a budget is first increasing then decreasing with the amount of capital invested in it. When the total budget is below some lower cutoff the share invested in a project can be discontinuous and non-monotone in the total budget. Ultimately, an upper cutoff is reached. Above it, all projects receive more capital as the budget increases. If the projects are identical, each will get the same budget. (author) [fr

  6. Multi-Objective Optimization of a Hybrid ESS Based on Optimal Energy Management Strategy for LHDs

    Jiajun Liu

    2017-10-01

    Full Text Available Energy storage systems (ESS play an important role in the performance of mining vehicles. A hybrid ESS combining both batteries (BTs and supercapacitors (SCs is one of the most promising solutions. As a case study, this paper discusses the optimal hybrid ESS sizing and energy management strategy (EMS of 14-ton underground load-haul-dump vehicles (LHDs. Three novel contributions are added to the relevant literature. First, a multi-objective optimization is formulated regarding energy consumption and the total cost of a hybrid ESS, which are the key factors of LHDs, and a battery capacity degradation model is used. During the process, dynamic programming (DP-based EMS is employed to obtain the optimal energy consumption and hybrid ESS power profiles. Second, a 10-year life cycle cost model of a hybrid ESS for LHDs is established to calculate the total cost, including capital cost, operating cost, and replacement cost. According to the optimization results, three solutions chosen from the Pareto front are compared comprehensively, and the optimal one is selected. Finally, the optimal and battery-only options are compared quantitatively using the same objectives, and the hybrid ESS is found to be a more economical and efficient option.

  7. Optimal Dynamic Investment Policy under Different Rates for Tax Depreciation and Economic Depreciation

    Wielhouwer, J.L.; De Waegenaere, A.M.B.; Kort, P.M.

    1999-01-01

    This paper analyzes the consequences of incorporating a different rate for tax depreciation than for economic depreciation. Firms most often choose their tax depreciation rate in a strategic way. It would therefore be a coincidence if this optimization process leads to a tax depreciation rate that

  8. How to Improve Academic Optimism? an Inquiry from the Perspective of School Resource and Investment

    Wu, Jason Hsinchieh; Sheu, Tian-Ming

    2015-01-01

    Previous studies have identified many school variables which can have significant effect on academic optimism. However, most of these identified variables are leadership or psychological constructs; thus, it is often too abstract for school administrators to translate into real practice. Therefore, this study adopted the perspective of school…

  9. Work family-life balance and social investment strategies in Denmark

    Greve, Bent

    2014-01-01

    This article analyses and discusses the options and possibilities of combining work and family life in a universal welfare state, e. g. Denmark. Related to the ability to combine work and family life is the welfare states investment in affordable and high quality day care and a perspective...... on caring for elderly citizens. The theoretical underpinnings of universal welfare states is given and also the reason why it has been important to ensure and be able to combine work and family life. The article shows how Denmark, Sweden and Finland compare with countries from other and different types...

  10. Improving the automated optimization of profile extrusion dies by applying appropriate optimization areas and strategies

    Hopmann, Ch.; Windeck, C.; Kurth, K.; Behr, M.; Siegbert, R.; Elgeti, S.

    2014-05-01

    The rheological design of profile extrusion dies is one of the most challenging tasks in die design. As no analytical solution is available, the quality and the development time for a new design highly depend on the empirical knowledge of the die manufacturer. Usually, prior to start production several time-consuming, iterative running-in trials need to be performed to check the profile accuracy and the die geometry is reworked. An alternative are numerical flow simulations. These simulations enable to calculate the melt flow through a die so that the quality of the flow distribution can be analyzed. The objective of a current research project is to improve the automated optimization of profile extrusion dies. Special emphasis is put on choosing a convenient starting geometry and parameterization, which enable for possible deformations. In this work, three commonly used design features are examined with regard to their influence on the optimization results. Based on the results, a strategy is derived to select the most relevant areas of the flow channels for the optimization. For these characteristic areas recommendations are given concerning an efficient parameterization setup that still enables adequate deformations of the flow channel geometry. Exemplarily, this approach is applied to a L-shaped profile with different wall thicknesses. The die is optimized automatically and simulation results are qualitatively compared with experimental results. Furthermore, the strategy is applied to a complex extrusion die of a floor skirting profile to prove the universal adaptability.

  11. Optimization of fuel cycle strategies with constraints on uranium availability

    Silvennoinen, P.; Vira, J.; Westerberg, R.

    1982-01-01

    Optimization of nuclear reactor and fuel cycle strategies is studied under the influence of reduced availability of uranium. The analysis is separated in two distinct steps. First, the global situation is considered within given high and low projections of the installed capacity up to the year 2025. Uranium is regarded as an exhaustible resource whose production cost would increase proportionally to increasing cumulative exploitation. Based on the estimates obtained for the uranium cost, a global strategy is derived by splitting the installed capacity between light water reactor (LWR) once-through, LWR recycle, and fast breeder reactor (FBR) alternatives. In the second phase, the nuclear program of an individual utility is optimized within the constraints imposed from the global scenario. Results from the global scenarios indicate that in a reference case the uranium price would triple by the year 2000, and the price escalation would continue throughout the planning period. In a pessimistic growth scenario where the global nuclear capacity would not exceed 600 GW(electric) in 2025, the uranium price would almost double by 2000. In both global scenarios, FBRs would be introduced, in the reference case after 2000 and in the pessimistic case after 2010. In spite of the increases in the uranium prices, the levelized power production cost would increase only by 45% up to 2025 in the utility case provided that the plutonium is incinerated as a substitute fuel

  12. Projection of the Russian economic development in the framework of the optimal control model by investments in fixed assets

    Alexander Mikhajlovich Tarasyev

    2014-09-01

    Full Text Available In this paper, we develop an economic growth model taking into account two factors of production: fixed capital and labor force, to study the dynamics of GDP growth. The dependence of the output of these factors is described by a production function of the exponential type. Within the framework of the optimal control theory, the optimization problem for investment levels is being solved to maximize the integral index of consumption. We study the qualitative properties of optimal trajectories as solutions of the Hamiltonian systems arising in Pontryagin’s maximum principle. The sensitivity analysis of the equilibrium solutions of the economic system is implemented with respect to the elasticity coefficients of the production function, the depreciation rate of the capital, and the discount factor, and growth trends are indicated. The econometric analysis of the model parameters is provided basing on real data for the Russian economy. In accordance with the results of the regression analysis, the projection of economic development is constructed in conditions of the applicability of the economic growth model.

  13. Optimization of transport network in the Basin of Yangtze River with minimization of environmental emission and transport/investment costs

    Haiping Shi

    2016-08-01

    Full Text Available The capacity of the ship-lock at the Three Gorges Dam has become bottleneck of waterway transport and caused serious congestion. In this article, a continual network design model is established to solve the problem with minimizing the transport cost and environmental emission as well as infrastructure construction cost. In this bi-level model, the upper model gives the schemes of ship-lock expansion or construction of pass-dam highway. The lower model assigns the containers in the multi-mode network and calculates the transport cost, environmental emission, and construction investment. The solution algorithm to the model is proposed. In the numerical study, scenario analyses are done to evaluate the schemes and determine the optimal one in the context of different traffic demands. The result shows that expanding the ship-lock is better than constructing pass-dam highway.

  14. Using Chemical Reaction Kinetics to Predict Optimal Antibiotic Treatment Strategies.

    Abel Zur Wiesch, Pia; Clarelli, Fabrizio; Cohen, Ted

    2017-01-01

    Identifying optimal dosing of antibiotics has proven challenging-some antibiotics are most effective when they are administered periodically at high doses, while others work best when minimizing concentration fluctuations. Mechanistic explanations for why antibiotics differ in their optimal dosing are lacking, limiting our ability to predict optimal therapy and leading to long and costly experiments. We use mathematical models that describe both bacterial growth and intracellular antibiotic-target binding to investigate the effects of fluctuating antibiotic concentrations on individual bacterial cells and bacterial populations. We show that physicochemical parameters, e.g. the rate of drug transmembrane diffusion and the antibiotic-target complex half-life are sufficient to explain which treatment strategy is most effective. If the drug-target complex dissociates rapidly, the antibiotic must be kept constantly at a concentration that prevents bacterial replication. If antibiotics cross bacterial cell envelopes slowly to reach their target, there is a delay in the onset of action that may be reduced by increasing initial antibiotic concentration. Finally, slow drug-target dissociation and slow diffusion out of cells act to prolong antibiotic effects, thereby allowing for less frequent dosing. Our model can be used as a tool in the rational design of treatment for bacterial infections. It is easily adaptable to other biological systems, e.g. HIV, malaria and cancer, where the effects of physiological fluctuations of drug concentration are also poorly understood.

  15. Survey Strategy Optimization for the Atacama Cosmology Telescope

    De Bernardis, F.; Stevens, J. R.; Hasselfield, M.; Alonso, D.; Bond, J. R.; Calabrese, E.; Choi, S. K.; Crowley, K. T.; Devlin, M.; Wollack, E. J.

    2016-01-01

    In recent years there have been significant improvements in the sensitivity and the angular resolution of the instruments dedicated to the observation of the Cosmic Microwave Background (CMB). ACTPol is the first polarization receiver for the Atacama Cosmology Telescope (ACT) and is observing the CMB sky with arcmin resolution over approximately 2000 square degrees. Its upgrade, Advanced ACTPol (AdvACT), will observe the CMB in five frequency bands and over a larger area of the sky. We describe the optimization and implementation of the ACTPol and AdvACT surveys. The selection of the observed fields is driven mainly by the science goals, that is, small angular scale CMB measurements, B-mode measurements and cross-correlation studies. For the ACTPol survey we have observed patches of the southern galactic sky with low galactic foreground emissions which were also chosen to maximize the overlap with several galaxy surveys to allow unique cross-correlation studies. A wider field in the northern galactic cap ensured significant additional overlap with the BOSS spectroscopic survey. The exact shapes and footprints of the fields were optimized to achieve uniform coverage and to obtain cross-linked maps by observing the fields with different scan directions. We have maximized the efficiency of the survey by implementing a close to 24-hour observing strategy, switching between daytime and nighttime observing plans and minimizing the telescope idle time. We describe the challenges represented by the survey optimization for the significantly wider area observed by AdvACT, which will observe roughly half of the low-foreground sky. The survey strategies described here may prove useful for planning future ground-based CMB surveys, such as the Simons Observatory and CMB Stage IV surveys.

  16. A strategy for the economic optimization of combined cycle gas turbine power plants by taking advantage of useful thermodynamic relationships

    Godoy, E.; Benz, S.J.; Scenna, N.J.

    2011-01-01

    Optimal combined cycle gas turbine power plants characterized by minimum specific annual cost values are here determined for wide ranges of market conditions as given by the relative weights of capital investment and operative costs, by means of a non-linear mathematical programming model. On the other hand, as the technical optimization allows identifying trends in the system behavior and unveiling optimization opportunities, selected functional relationships are obtained as the thermodynamic optimal values of the decision variables are systematically linked to the ratio between the total heat transfer area and the net power production (here named as specific transfer area). A strategy for simplifying the resolution of the rigorous economic optimization problem of power plants is proposed based on the economic optima distinctive characteristics which describe the behavior of the decision variables of the power plant on its optima. Such approach results in a novel mathematical formulation shaped as a system of non-linear equations and additional constraints that is able to easily provide accurate estimations of the optimal values of the power plant design and operative variables. Research highlights: → We achieve relationships between power plants' economic and thermodynamic optima. → We achieve functionalities among thermodynamic optimal values of decision variables. → The rigorous optimization problem is reduced to a non-linear equations system. → Accurate estimations of power plants' design and operative variables are obtained.

  17. Optimal investment paths for future renewable based energy systems - Using the optimisation model Balmorel

    Karlsson, Kenneth Bernard; Meibom, Peter

    2008-01-01

    that with an oil price at 100 $/barrel, a CO2 price at40 €/ton and the assumed penetration of hydrogen in the transport sector, it is economically optimal to cover more than 95% of the primary energy consumption for electricity and district heat by renewables in 2050. When the transport sector is converted......: A model for analyses of the electricity and CHP markets in the Baltic Sea Region. 〈www.Balmorel.com〉; 2001. [1

  18. Identifying optimal agricultural countermeasure strategies for a hypothetical contamination scenario using the strategy model

    Cox, G.; Beresford, N.A.; Alvarez-Farizo, B.; Oughton, D.; Kis, Z.; Eged, K.; Thorring, H.; Hunt, J.; Wright, S.; Barnett, C.L.; Gil, J.M.; Howard, B.J.; Crout, N.M.J.

    2005-01-01

    A spatially implemented model designed to assist the identification of optimal countermeasure strategies for radioactively contaminated regions is described. Collective and individual ingestion doses for people within the affected area are estimated together with collective exported ingestion dose. A range of countermeasures are incorporated within the model, and environmental restrictions have been included as appropriate. The model evaluates the effectiveness of a given combination of countermeasures through a cost function which balances the benefit obtained through the reduction in dose with the cost of implementation. The optimal countermeasure strategy is the combination of individual countermeasures (and when and where they are implemented) which gives the lowest value of the cost function. The model outputs should not be considered as definitive solutions, rather as interactive inputs to the decision making process. As a demonstration the model has been applied to a hypothetical scenario in Cumbria (UK). This scenario considered a published nuclear power plant accident scenario with a total deposition of 1.7 x 10 14 , 1.2 x 10 13 , 2.8 x 10 10 and 5.3 x 10 9 Bq for Cs-137, Sr-90, Pu-239/240 and Am-241, respectively. The model predicts that if no remediation measures were implemented the resulting collective dose would be approximately 36 000 person-Sv (predominantly from 137 Cs) over a 10-year period post-deposition. The optimal countermeasure strategy is predicted to avert approximately 33 000 person-Sv at a cost of approximately pound 160 million. The optimal strategy comprises a mixture of ploughing, AFCF (ammonium-ferric hexacyano-ferrate) administration, potassium fertiliser application, clean feeding of livestock and food restrictions. The model recommends specific areas within the contaminated area and time periods where these measures should be implemented

  19. The construction of optimal hedging portfolio strategies of an investor

    that can capture all the investor's investment in i, i = 1, 2, …, N investment company at time t, using stochastic differential equation for derivative pricing process. We will also describe the dynamic of our stock price using Binomial lattice model. We also intend to apply Hamilton-Jacobi-Bellman,(HJB) equation to derive the ...

  20. Robust approximate optimal guidance strategies for aeroassisted orbital transfer missions

    Ilgen, Marc R.

    This thesis presents the application of game theoretic and regular perturbation methods to the problem of determining robust approximate optimal guidance laws for aeroassisted orbital transfer missions with atmospheric density and navigated state uncertainties. The optimal guidance problem is reformulated as a differential game problem with the guidance law designer and Nature as opposing players. The resulting equations comprise the necessary conditions for the optimal closed loop guidance strategy in the presence of worst case parameter variations. While these equations are nonlinear and cannot be solved analytically, the presence of a small parameter in the equations of motion allows the method of regular perturbations to be used to solve the equations approximately. This thesis is divided into five parts. The first part introduces the class of problems to be considered and presents results of previous research. The second part then presents explicit semianalytical guidance law techniques for the aerodynamically dominated region of flight. These guidance techniques are applied to unconstrained and control constrained aeroassisted plane change missions and Mars aerocapture missions, all subject to significant atmospheric density variations. The third part presents a guidance technique for aeroassisted orbital transfer problems in the gravitationally dominated region of flight. Regular perturbations are used to design an implicit guidance technique similar to the second variation technique but that removes the need for numerically computing an optimal trajectory prior to flight. This methodology is then applied to a set of aeroassisted inclination change missions. In the fourth part, the explicit regular perturbation solution technique is extended to include the class of guidance laws with partial state information. This methodology is then applied to an aeroassisted plane change mission using inertial measurements and subject to uncertainties in the initial value

  1. Optimal strategy for selling on group-buying website

    Xuan Jiang

    2014-09-01

    Full Text Available Purpose: The purpose of this paper is to help business marketers with offline channels to make decisions on whether to sell through Group-buying (GB websites and how to set online price with the coordination of maximum deal size on GB websites. Design/methodology/approach: Considering the deal structure of GB websites especially for the service fee and minimum deal size limit required by GB websites, advertising effect of selling on GB websites, and interaction between online and offline markets, an analytical model is built to derive optimal online price and maximum deal size for sellers selling through GB website. This paper aims to answer four research questions: (1 How to make a decision on maximum deal size with coordination of the deal price? (2 Will selling on GB websites always be better than staying with offline channel only? (3 What kind of products is more appropriate to sell on GB website? (4How could GB website operator induce sellers to offer deep discount in GB deals? Findings and Originality/value: This paper obtains optimal strategies for sellers selling on GB website and finds that: Even if a seller has sufficient capacity, he/she may still set a maximum deal size on the GB deal to take advantage of Advertisement with Limited Availability (ALA effect; Selling through GB website may not bring a higher profit than selling only through offline channel when a GB site only has a small consumer base and/or if there is a big overlap between the online and offline markets; Low margin products are more suitable for being sold online with ALA strategies (LP-ALA or HP-ALA than high margin ones; A GB site operator could set a small minimum deal size to induce deep discounts from the sellers selling through GB deals. Research limitations/implications: The present study assumed that the demand function is determinate and linear. It will be interesting to study how stochastic demand and a more general demand function affect the optimal

  2. A comparison of the economic benefits of centralized and distributed model predictive control strategies for optimal and sub-optimal mine dewatering system designs

    Romero, Alberto; Millar, Dean; Carvalho, Monica; Maestre, José M.; Camacho, Eduardo F.

    2015-01-01

    Mine dewatering can represent up to 5% of the total energy demand of a mine, and is one of the mine systems that aim to guarantee safe operating conditions. As mines go deeper, dewatering pumping heads become bigger, potentially involving several lift stages. Greater depth does not only mean greater dewatering cost, but more complex systems that require more sophisticated control systems, especially if mine operators wish to gain benefits from demand response incentives that are becoming a routine part of electricity tariffs. This work explores a two stage economic optimization procedure of an underground mine dewatering system, comprising two lifting stages, each one including a pump station and a water reservoir. First, the system design is optimized considering hourly characteristic dewatering demands for twelve days, one day representing each month of the year to account for seasonal dewatering demand variations. This design optimization minimizes the annualized cost of the system, and therefore includes the investment costs in underground reservoirs. Reservoir size, as well as an hourly pumping operation plan are calculated for specific operating environments, defined by characteristic hourly electricity prices and water inflows (seepage and water use from production activities), at best known through historical observations for the previous year. There is no guarantee that the system design will remain optimal when it faces the water inflows and market determined electricity prices of the year ahead, or subsequent years ahead, because these remain unknown at design time. Consequently, the dewatering optimized system design is adopted subsequently as part of a Model Predictive Control (MPC) strategy that adaptively maintains optimality during the operations phase. Centralized, distributed and non-centralized MPC strategies are explored. Results show that the system can be reliably controlled using any of these control strategies proposed. Under the operating

  3. Decision support model for establishing the optimal energy retrofit strategy for existing multi-family housing complexes

    Hong, Taehoon; Koo, Choongwan; Kim, Hyunjoong; Seon Park, Hyo

    2014-01-01

    The number of multi-family housing complexes (MFHCs) over 15 yr old in South Korea is expected to exceed 5 million by 2015. Accordingly, the demand for energy retrofit in the deteriorating MFHCs is rapidly increasing. This study aimed to develop a decision support model for establishing the optimal energy retrofit strategy for existing MFHCs. It can provide clear criteria for establishing the carbon emissions reduction target (CERT) and allow efficient budget allocation for conducting the energy retrofit. The CERT for “S” MFHC, one of MFHCs located in Seoul, as a case study, was set at 23.0% (electricity) and 27.9% (gas energy). In the economic and environmental assessment, it was determined that scenario #12 was the optimal scenario (ranked second with regard to NPV 40 (net present value at year 40) and third with regard to SIR 40 (saving to investment ratio at year 40). The proposed model could be useful for owners, construction managers, or policymakers in charge of establishing energy retrofit strategy for existing MFHCs. It could allow contractors in a competitive bidding process to rationally establish the CERT and select the optimal energy retrofit strategy. It can be also applied to any other country or sector in a global environment. - Highlights: • The proposed model was developed to establish the optimal energy retrofit strategy. • Advanced case-based reasoning was applied to establish the community-based CERT. • Energy simulation was conducted to analyze the effects of energy retrofit strategy. • The optimal strategy can be finally selected based on the LCC and LCCO 2 analysis. • It could be extended to any other country or sector in the global environment

  4. Social cues trigger differential immune investment strategies in a non-social insect, Tenebrio molitor.

    Gallagher, Joe D; Siva-Jothy, Michael T; Evison, Sophie E F

    2018-02-01

    Social immunization (SI) is a horizontal transfer of immunity that protects naive hosts against infection following exposure to infected nestmates. While mainly documented in eusocial insects, non-social species also share similar ecological features which favour the development of group-level immunity. Here, we investigate SI in Tenebrio molitor by pairing naive females with a pathogen-challenged conspecific for 72 h before measuring a series of immune and fitness traits. We found no evidence for SI, as beetles who cohabited with a live pathogen-challenged conspecific were not better protected against bacterial challenge. However, exposure to a heat-killed-bacteria-challenged conspecific appeared to increase pathogen tolerance, which manifested in differential fitness investment. Our results together suggest that T. molitor do respond to immune-related cues in the social environment, despite not showing a classic immunization response as predicted. © 2018 The Author(s).

  5. Is carbon lock-in blocking investments in the hydrogen economy? A survey of actors' strategies

    Bento, Nuno

    2010-01-01

    The difficulty of introducing hydrogen and fuel cells in the market stems from the fact that they are not an evolutionary innovation such as biofuels or hybrid cars. Instead they create a disruption in technological utilization. The domination of oil technologies sets a socio-economical context favoring actors involved in the current paradigm, and gives less opportunity to alternative fuels to develop and challenge the status quo. If this hypothesis is correct, then companies interested in the hydrogen economy would not become active because of an unstable context or contradictory interests concerning the replacement of the present system. A review of actions and announcements of main actors shows that technology readiness and the absence of infrastructure are the major justifications to delay investments. Some measures are discussed, which could be deployed in order to reduce uncertainties, such as regulation of carbon emissions from cars, technological subvention, and partnerships for infrastructure implementation.

  6. Optimal Technology Investment and Operation in Zero-Net-Energy Buildings with Demand Response

    Stadler, Michael; Siddiqui, Afzal; Marnay, Chris; Hirohisa, Aki; Lai, Judy

    2009-01-01

    The US Department of Energy has launched the Zero-Net-Energy (ZNE) Commercial Building Initiative (CBI) in order to develop commercial buildings that produce as much energy as they use. Its objective is to make these buildings marketable by 2025 such that they minimize their energy use through cutting-edge energy-efficient technologies and meet their remaining energy needs through on-site renewable energy generation. We examine how such buildings may be implemented within the context of a cost- or carbon-minimizing microgrid that is able to adopt and operate various technologies, such as photovoltaic (PV) on-site generation, heat exchangers, solar thermal collectors, absorption chillers, and passive/demand-response technologies. We use a mixed-integer linear program (MILP) that has a multi-criteria objective function: the minimization of a weighted average of the building's annual energy costs and carbon/CO2 emissions. The MILP's constraints ensure energy balance and capacity limits. In addition, constraining the building's energy consumed to equal its energy exports enables us to explore how energy sales and demand-response measures may enable compliance with the CBI. Using a nursing home in northern California and New York with existing tariff rates and technology data, we find that a ZNE building requires ample PV capacity installed to ensure electricity sales during the day. This is complemented by investment in energy-efficient combined heat and power equipment, while occasional demand response shaves energy consumption. A large amount of storage is also adopted, which may be impractical. Nevertheless, it shows the nature of the solutions and costs necessary to achieve ZNE. For comparison, we analyze a nursing home facility in New York to examine the effects of a flatter tariff structure and different load profiles. It has trouble reaching ZNE status and its load reductions as well as efficiency measures need to be more effective than those in the CA case

  7. 广告效应分析与投入策略研究%Analysis of Advertising’s Effect and Investment Strategies

    岳宇君

    2014-01-01

    Advertising plays an increasingly important role in market competition ,which has become an important part of many companies ’ development strategy . Advertising-information diffusion model , advertising-goodwill model and advertising-consumer model are established in this article .The article tries to systematically analyze the effects of advertising .It establishes corporate profit maximization model with market share as state variables and advertising costs as control variables , and analyzes advertising investment strategy with optimal control theory .%广告在市场竞争中扮演越来越重要的角色,已成为许多企业发展战略的重要组成部分。论文建立广告-信息扩散模型、广告-商誉模型和广告-消费者模型,试图系统分析广告的效应。以市场份额为状态变量、广告费用为控制变量,建立了企业利润最大化模型,并运用最优控制理论求解与分析广告的投入策略。

  8. An Overview of Optimizing Strategies for Flotation Banks

    Miguel Maldonado

    2012-10-01

    Full Text Available A flotation bank is a serial arrangement of cells. How to optimally operate a bank remains a challenge. This article reviews three reported strategies: air profiling, mass-pull (froth velocity profiling and Peak Air Recovery (PAR profiling. These are all ways of manipulating the recovery profile down a bank, which may be the property being exploited. Mathematical analysis has shown that a flat cell-by-cell recovery profile maximizes the separation of two floatable minerals for a given target bank recovery when the relative floatability is constant down the bank. Available bank survey data are analyzed with respect to recovery profiling. Possible variations on recovery profile to minimize entrainment are discussed.

  9. Gradient Material Strategies for Hydrogel Optimization in Tissue Engineering Applications

    2018-01-01

    Although a number of combinatorial/high-throughput approaches have been developed for biomaterial hydrogel optimization, a gradient sample approach is particularly well suited to identify hydrogel property thresholds that alter cellular behavior in response to interacting with the hydrogel due to reduced variation in material preparation and the ability to screen biological response over a range instead of discrete samples each containing only one condition. This review highlights recent work on cell–hydrogel interactions using a gradient material sample approach. Fabrication strategies for composition, material and mechanical property, and bioactive signaling gradient hydrogels that can be used to examine cell–hydrogel interactions will be discussed. The effects of gradients in hydrogel samples on cellular adhesion, migration, proliferation, and differentiation will then be examined, providing an assessment of the current state of the field and the potential of wider use of the gradient sample approach to accelerate our understanding of matrices on cellular behavior. PMID:29485612

  10. Optimizing urology group partnerships: collaboration strategies and compensation best practices.

    Jacoby, Dana L; Maller, Bruce S; Peltier, Lisa R

    2014-10-01

    Market forces in health care have created substantial regulatory, legislative, and reimbursement changes that have had a significant impact on urology group practices. To maintain viability, many urology groups have merged into larger integrated entities. Although group operations vary considerably, the majority of groups have struggled with the development of a strong culture, effective decision-making, and consensus-building around shared resources, income, and expense. Creating a sustainable business model requires urology group leaders to allocate appropriate time and resources to address these issues in a proactive manner. This article outlines collaboration strategies for creating an effective culture, governance, and leadership, and provides practical suggestions for optimizing the performance of the urology group practice.

  11. Optimal Strategies for Probing Terrestrial Exoplanet Atmospheres with JWST

    Batalha, Natasha E.; Lewis, Nikole K.; Line, Michael

    2018-01-01

    It is imperative that the exoplanet community determines the feasibility and the resources needed to yield high fidelity atmospheric compositions from terrestrial exoplanets. In particular, LHS 1140b and the TRAPPIST-1 system, already slated for observations by JWST’s Guaranteed Time Observers, will be the first two terrestrial planets observed by JWST. I will discuss optimal observing strategies for observing these two systems, focusing on the NIRSpec Prism (1-5μm) and the combination of NIRISS SOSS (1-2.7μm) and NIRSpec G395H (3-5μm). I will also introduce currently unsupported JWST readmodes that have the potential to greatly increase the precision on our atmospheric spectra. Lastly, I will use information content theory to compute the expected confidence interval on the retrieved abundances of key molecular species and temperature profiles as a function of JWST observing cycles.

  12. Optimized control strategy for crowbarless solid state modular power supply

    Upadhyay, R.; Badapanda, M.K.; Tripathi, A.; Hannurkar, P.R.; Pithawa, C.K.

    2009-01-01

    Solid state modular power supply with series connected IGBT based power modules have been employed as high voltage bias power supply of klystron amplifier. Auxiliary compensation of full wave inverter bridge with ZVS/ZCS operations of all IGBTs over entire operating range is incorporated. An optimized control strategy has been adopted for this power supply needing no output filter, making this scheme crowbarless and is presented in this paper. DSP based fully digital control with same duty cycle for all power modules, have been incorporated for regulating this power supply along with adequate protection features. Input to this power supply is taken directly from 11 kV line and the input system is intentionally made 24 pulsed to reduce the input harmonics, improve the input power factor significantly, there by requiring no line filters. Various steps have been taken to increase the efficiency of major subsystems, so as to improve the overall efficiency of this power supply significantly. (author)

  13. Evolution strategy based optimal chiller loading for saving energy

    Chang, Y.-C.; Lee, C.-Y.; Chen, C.-R.; Chou, C.-J.; Chen, W.-H.; Chen, W.-H.

    2009-01-01

    This study employs evolution strategy (ES) to solve optimal chiller loading (OCL) problem. ES overcomes the flaw that Lagrangian method is not adaptable for solving OCL as the power consumption models or the kW-PLR (partial load ratio) curves include convex functions and concave functions simultaneously. The complicated process of evolution by the genetic algorithm (GA) method for solving OCL can also be simplified by the ES method. This study uses the PLR of chiller as the variable to be solved for the decoupled air conditioning system. After analysis and comparison of the case study, it has been concluded that this method not only solves the problems of Lagrangian method and GA method, but also produces results with high accuracy within a rapid timeframe. It can be perfectly applied to the operation of air conditioning systems

  14. Optimal Inspection and Repair Strategies for Structural Systems

    Sommer, A. M.; Nowak, A. S.; Thoft-Christensen, Palle

    1992-01-01

    and a design variable as optimization variables. A model for estimating the total expected costs for structural systems is given including the costs associated with the loss of individual structural members as well as the costs associated with the loss of at least one element of a particular group......A model for reliability-based repair and maintenance strategies of structural systems is described. The total expected costs in the lifetime of the structure are minimized with the number of inspections, the number and positions of the inspected points, the inspection efforts, the repair criteria...... of structural members and the costs associated with the simultaneous loss of all members of a specific group of structural members. The approach is based on the pre-posteriori analysis from the classical decision theory. Special emphasis is given to the problem of selecting the number of points in the structure...

  15. Investing in Marine Scrubber under Uncertainty with Real Option Thinking

    Jiang, Liping; Hansen, Carsten Ørts

    works that examine the economic feasibility of scrubber retrofitting through the net present value rule, this paper applies the Real Option Analysis to find the optimal investment strategies. The proposed decision-making framework addresses the uncertainty and the value of deferral option embedded...... in the scrubber investment. The multiple sources of investment uncertainties are explicitly analyzed and integrated in the modeling by using Rainbow option. The results demonstrate that the value of the scrubber investment has significantly increased for several cases by considering the deferral option....... It is thus important for ship owners to consider the available options before proceeding with abandoning or investing strategy. The proposed framework can be widely applied to other ship retrofitting investment evaluations, which include similar investment alternatives and uncertainties....

  16. Investigation of factors determining risk-taking strategies in Pension fund investment of Defined Benefit schemes in the UK corporate pension system

    Hu, Chunan

    2014-01-01

    This paper investigates various incentives determining risk taking strategies of the corporate pension fund investment from the perspective of sponsors. In the United Kingdom, occupational pension plans especially defined benefit (DB) pension schemes play important roles in the financial market. Comparing with the conventional framework managing pension risk as a contained part of the whole firm risk, recent studies start to focus on pension risk especially investment risk as an individual to...

  17. Optimization of behavioral, biobehavioral, and biomedical interventions the multiphase optimization strategy (MOST)

    Collins, Linda M

    2018-01-01

    This book presents a framework for development, optimization, and evaluation of behavioral,  biobehavioral, and biomedical interventions.  Behavioral, biobehavioral, and biomedical interventions are programs with the objective of improving and maintaining human health and well-being, broadly defined, in individuals, families, schools, organizations, or communities.  These interventions may be aimed at, for example, preventing or treating disease, promoting physical and mental health, preventing violence, or improving academic achievement.   This volume introduces the Multiphase Optimization Strategy (MOST), pioneered at The Methodology Center at the Pennsylvania State University, as an alternative to the classical approach of relying solely on the randomized controlled trial (RCT).  MOST borrows heavily from perspectives taken and approaches used in engineering, and also integrates concepts from statistics and behavioral science, including the RCT.  As described in detail in this book, MOST consists of ...

  18. Optimal Order Strategy in Uncertain Demands with Free Shipping Option

    Qing-Chun Meng

    2014-01-01

    Full Text Available Free shipping with conditions has become one of the most effective marketing tools; more and more companies especially e-business companies prefer to offer free shipping to buyers whenever their orders exceed the minimum quantity specified by them. But in practice, the demands of buyers are uncertain, which are affected by weather, season, and many other factors. Firstly, we model the centralization ordering problem of retailers who face stochastic demands when suppliers offer free shipping, in which limited distributional information such as known mean, support, and some deviation measures of the random data is needed only. Then, based on the linear decision rule mainly for stochastic programming, we analyze the optimal order strategies of retailers and discuss the approximate solution. Further, we present the core allocation between all retailers via dual and cooperative game theory. The existence of core shows that each retailer is pleased to cooperate with others in the centralization problem. Finally, a numerical example is implemented to discuss how uncertain data and parameters affect the optimal solution.

  19. The Land-Potential Knowledge System (LandPKS): mobile apps and collaboration for optimizing climate change investments

    Massive investments in climate change mitigation and adaptation are projected during coming decades. Many of these investments will seek to modify how land is managed. The return on both types of investments can be increased through an understanding of land potential: the potential of the land to s...

  20. Optimizing the HLT Buffer Strategy with Monte Carlo Simulations

    AUTHOR|(CDS)2266763

    2017-01-01

    This project aims to optimize the strategy of utilizing the disk buffer for the High Level Trigger (HLT) of the LHCb experiment with the help of Monte-Carlo simulations. A method is developed, which simulates the Event Filter Farm (EFF) -- a computing cluster for the High Level Trigger -- as a compound of nodes with different performance properties. In this way, the behavior of the computing farm can be analyzed at a deeper level than before. It is demonstrated that the current operating strategy might be improved when data taking is reaching a mid-year scheduled stop or the year-end technical stop. The processing time of the buffered data can be lowered by distributing the detector data according to the processing power of the nodes instead of the relative disk size as long as the occupancy level of the buffer is low enough. Moreover, this ensures that data taken and stored on the buffer at the same time is processed by different nodes nearly simultaneously, which reduces load on the infrastructure.

  1. The Russian oil industry between public and private governance: obstacles to international oil companies' investment strategies

    Locatelli, Catherine

    2006-01-01

    The low level of involvement by international oil companies in Russia seems difficult to explain given what development of its resources and production has to offer. There are still many restrictions and contradictions, born of the particular institutional and political environment of the Russian oil industry at the end of 15 years of transition, that act as a bar to international integration. Three factors currently define the establishment of relations with foreign investors. First, because of the many different levels of negotiation with Russian companies, the State and the Regions, the decisions are based on complex relations between the various forces. Second, the reforms, and especially privatisation and the allocation of rights of ownership to deposits, are considered by sizeable sections of public opinion and many political classes to be illegitimate, thus making the issue of international investment and foreign presence still more complicated. Finally, the State's wish to take back the oil industry in order to use it to fulfil its economic and foreign policies is creating further uncertainty. These three elements seriously restrict the entry of international oil companies to the Russian market

  2. A decade of investment in radiotherapy in New South Wales: why does the gap between optimal and actual persist?

    Barton, Michael B.; Delaney, Geoff P.

    2011-01-01

    There is a gap between optimal and actual radiotherapy utilization (RTU) rates in New South Wales (NSW). It is uncertain if this is because these investments have been insufficient to meet demand, or demand has been over-estimated. In this study we assess trends in infrastructure, staffing and productivity in NSW over the last 10 years. The NSW Radiotherapy Management Information System reports annually on activity including new patients, new courses, retreatments, attendances, radiotherapy fields and Area Health Service (AHS) of residence. Data are obtained from interstate radiotherapy departments that treat NSW residents. A census of equipment and staffing is reported. RTU was defined as the number of new cases in a year treated by radiotherapy divided by the number of new cases of cancer in that year. From 1999 to 2008, 115 941 NSW residents received at least one course of radiotherapy. During this time period there were 325 965 new diagnoses of cancer reported by the Central Cancer Registry. RTU was 38% in 1999 and in 2008. The number of linear accelerators increased from 34 to 42 between 1999 and 2008 but the number of accelerators per 1000 new cases of cancer remained static at 1.2. For AHSs, there was a significant relationship between more linear accelerators per 1000 patients and higher RTU (P = 0.0023). Radiotherapy utilization in NSW has remained at 38% for the period 1999 to 2008 because investment in new facilities only just kept pace with the increase in the number of new cases of cancer with an indication for radiotherapy. Some regional AHS have shown significant increases in RTU with new facilities.

  3. A strategy to encourage housing associations to invest in energy conservation

    Egmond, C.; Jonkers, R.; Kok, G.

    2005-01-01

    To meet the Dutch Government goal of reducing CO 2 emission, target groups must intensify their efforts to conserve energy. Novem, in commission of the Dutch Ministry of Environmental Affairs, developed a strategy to effectively change the behaviour of target groups. This paper answers the questions: what are the influencing determinants of energy-relevant behaviour of housing associations; and which policy instruments are most suitable for an intervention strategy? From a survey of housing associations we determined the factors making up the determinants of behaviour. The four main types of policy instruments-judicial, economical and communicative instruments and physical provisions-were analysed for their active ingredients. An intervention strategy was then based on matching the factors making up the target-group determinants and the active ingredients of the policy instruments. The factors: attitude, feedback of peer organizations and feedback from authorities strongly influence the energy-relevant behaviour of housing associations and the most effective policy instruments have a facilitating and encouraging character and include covenants with local authorities. We conclude that this method forms a solid basis for formulating an intervention strategy to change the behaviour of housing associations

  4. Proactive environmental strategy in a supply chain context: the mediating role of investments

    Akin, M.; Bloemhof, J.M.; Raaij, van E.M.; Wynstra, F.

    2012-01-01

    There is a growing body of knowledge on the link between environmental management and supply chain management, but there is contradicting evidence on the impact of a proactive environmental strategy on environmental performance. Therefore, this paper investigates the impact of proactive

  5. Repair rather than segregation of damage is the optimal unicellular aging strategy.

    Clegg, Robert J; Dyson, Rosemary J; Kreft, Jan-Ulrich

    2014-08-16

    How aging, being unfavourable for the individual, can evolve is one of the fundamental problems of biology. Evidence for aging in unicellular organisms is far from conclusive. Some studies found aging even in symmetrically dividing unicellular species; others did not find aging in the same, or in different, unicellular species, or only under stress. Mathematical models suggested that segregation of non-genetic damage, as an aging strategy, would increase fitness. However, these models failed to consider repair as an alternative strategy or did not properly account for the benefits of repair. We used a new and improved individual-based model to examine rigorously the effect of a range of aging strategies on fitness in various environments. Repair of damage emerges as the best strategy despite its fitness costs, since it immediately increases growth rate. There is an optimal investment in repair that outperforms damage segregation in well-mixed, lasting and benign environments over a wide range of parameter values. Damage segregation becomes beneficial, and only in combination with repair, when three factors are combined: (i) the rate of damage accumulation is high, (ii) damage is toxic and (iii) efficiency of repair is low. In contrast to previous models, our model predicts that unicellular organisms should have active mechanisms to repair damage rather than age by segregating damage. Indeed, as predicted, all organisms have evolved active mechanisms of repair whilst aging in unicellular organisms is absent or minimal under benign conditions, apart from microorganisms with a different ecology, inhabiting short-lived environments strongly favouring early reproduction rather than longevity. Aging confers no fitness advantage for unicellular organisms in lasting environments under benign conditions, since repair of non-genetic damage is better than damage segregation.

  6. Coping with poverty in international assistance policy: an evaluation of spatially integrated investment strategies. [World Bank, USAID, and UN

    Rondinelli, D A [Syracuse Univ., NY; Ruddle, K

    1978-04-01

    International assistance agencies have turned increasingly to integrated rural development policies in an attempt to ameliorate the inequitable distribution of economic growth plaguing Third World nations since World War II. This paper reviews the functionally and spatially integrated investment strategies of the World Bank, US Agency for International Development, and the United Nations, outlines their objectives, perceptions of the problem, basic assumptions and programs, and evaluates them in terms of potential difficulties for implementation. Those factors crucial to making integrated development policies operational--knowledge of human ecosystems in rural areas, analytical ability, operational procedures, arrangements for local participation, subsistence systems indicators and administrative capacity of local and national governments--are discussed and assessed.

  7. Outward Foreign Direct Investment from BRIC countries: Comparing strategies of Brazilian, Russian, Indian and Chinese multinational companies

    Wladimir Andreff

    2015-12-01

    Full Text Available An overall comparative study of outward foreign direct investment (OFDI from BRIC countries and strategies conducted by multinational companies (MNCs based in the BRICs is elaborated on with a same methodology for Brazil, Russia, India and China. The comparison pertains to the historical emergence of firms’ internationalisation, their booming expansion in the 2000s then their muddling through the current crisis, the specificities of OFDI from each home country, OFDI geographical distribution and industrial structure, econometric testing of the respective determinants of Brazilian, Russian, Indian and Chinese OFDI, and the role of home countries’ governments vis-à-vis home-based MNCs. Beyond some common characteristics, BRICs’ MNCs exhibit a number of major country-specific features.

  8. Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston’s SV Model

    Jingyun Sun

    2016-01-01

    Full Text Available We consider a portfolio selection problem for a defined contribution (DC pension plan under the mean-variance criteria. We take into account the inflation risk and assume that the salary income process of the pension plan member is stochastic. Furthermore, the financial market consists of a risk-free asset, an inflation-linked bond, and a risky asset with Heston’s stochastic volatility (SV. Under the framework of game theory, we derive two extended Hamilton-Jacobi-Bellman (HJB equations systems and give the corresponding verification theorems in both the periods of accumulation and distribution of the DC pension plan. The explicit expressions of the equilibrium investment strategies, corresponding equilibrium value functions, and the efficient frontiers are also obtained. Finally, some numerical simulations and sensitivity analysis are presented to verify our theoretical results.

  9. Impact and return on investment of online marketing strategies for small and medium enterprises

    Stepien, Pierre

    2012-01-01

    Internet has opened many opportunities for businesses. Indeed, it let them sell their products without a physical store and market their brand image faster than ever. The science of being visible online is called online marketing and it evolves every day. It is interesting to know that these strategies are less expensive than the traditional ways of marketing such as TV spots or magazines advertisement. It makes it perfect for small and medium enterprises which are limited in term of capital....

  10. Property types diversification strategy of Malaysian real estate investment trust (M-REITs

    Ping Tiong Chai

    2016-01-01

    Full Text Available The aim of this paper is to review the property types diversification strategy of Malaysian REITs. Previous study has found that Malaysian REITs received poor response form investors both local and international. Furthermore, the underperformance of Malaysian REITs was linked to the characteristics of REITs’ property types and REITs’ portfolio influenced its financial performance. The lack of local study on both of these determinants of influence on performance of Malaysian REITs is a research gap, which needs to be explored that can provide more insight of it. This study showed that the property types such as office space, commercial lot, industrial, hotel and specialized property type are the important determinants, which can influence the performance of REITs. The study comprised of REITs data from 2010 until 2014, and through Multiple Regression Analysis (MRA reveals there is little influence of property types diversification strategy toward Malaysian REITs’ performance. Nevertheless, by employ correlation analysis between each of the five property types with expected return and dividend yield, this study shows Malaysian REITs’ performance of dividend yield(DY has a positive correlation value with commercial lot property type and Malaysian REITs’ performance of expected return(ER have a highest positive correlation value with industrial property types. Also, this study suggests that property type diversification play a significant role in Malaysia REITs. Other determinants such as location of property, market capitalization and REITs’ quality of advisory style that might influence the diversification strategy and financial performance of Malaysian REITs.

  11. Credit Rating via Dynamic Slack-Based Measure And It´s Optimal Investment Strategy

    A. Delavarkhalafi; A. Poursherafatan

    2015-01-01

    In this paper we check the credit rating of firms applied for a loan. In this regard we introduce a model, named Dynamic Slack-Based Measure (DSBM) for measuring credit rating of applicant companies. Selection of financial ratios that represent the financial state of a company -in the best possible way- is one of the most challenging parts of any credit rating analysis. At first, ranking needs to identify the appropriate variables. Therefore we introduce five financial variables to provide a ...

  12. Optimal investment strategies in an international economy with stochastic interest rates

    Larsen, Linda Sandris

    2010-01-01

    Vi undersøger hvordan investorer optimalt skal investere i et dynamisk komplet marked. Vi finder lukkede løsninger for den optimale investeringsstrategy og for det velfærdstab en investor pådrager sig ved ikke at investere internationalt. Teoretisk vises at gevinsten ved at handle internationalt ...

  13. Group search optimiser-based optimal bidding strategies with no Karush-Kuhn-Tucker optimality conditions

    Yadav, Naresh Kumar; Kumar, Mukesh; Gupta, S. K.

    2017-03-01

    General strategic bidding procedure has been formulated in the literature as a bi-level searching problem, in which the offer curve tends to minimise the market clearing function and to maximise the profit. Computationally, this is complex and hence, the researchers have adopted Karush-Kuhn-Tucker (KKT) optimality conditions to transform the model into a single-level maximisation problem. However, the profit maximisation problem with KKT optimality conditions poses great challenge to the classical optimisation algorithms. The problem has become more complex after the inclusion of transmission constraints. This paper simplifies the profit maximisation problem as a minimisation function, in which the transmission constraints, the operating limits and the ISO market clearing functions are considered with no KKT optimality conditions. The derived function is solved using group search optimiser (GSO), a robust population-based optimisation algorithm. Experimental investigation is carried out on IEEE 14 as well as IEEE 30 bus systems and the performance is compared against differential evolution-based strategic bidding, genetic algorithm-based strategic bidding and particle swarm optimisation-based strategic bidding methods. The simulation results demonstrate that the obtained profit maximisation through GSO-based bidding strategies is higher than the other three methods.

  14. Biomass Power Generation Investment in China: A Real Options Evaluation

    Mingming Zhang

    2016-06-01

    Full Text Available This paper proposes a real options model for evaluating the biomass power generation investment in China. The uncertainties in the market price of electricity, CO2 price and straw price are considered. Meanwhile the dynamic relationship between installed capacity and fuel cost, as well as the long-term reduction of subsidy are described. Two scenarios, i.e., with the carbon emission trading scheme existent and non-existent, respectively, is built to empirically analyze the investment of a 25-MW straw-based power generation project. The results show that investors should undertake the investment in 2030 under two scenarios. Investment values are 14,869,254.8 and 37,608,727 Chinese Yuan (RMB, respectively. The implementation of the carbon emission trading scheme theoretically helps improve investment value and advance the most likely optimal investment time. However, the current CO2 price is not sufficient to advance the most likely optimal investment time. The impacts of several factors, including subsidy policy, CO2 price, straw price, installed capacity, correlation structure and the validity period of investment, on the optimal investment strategy are also examined. It is suggested that governments take some measures, including increasing subsidy, setting the growth pattern of subsidy and establishing and perfecting a nationwide carbon trading market, to improve the investment environment and attract more investments.

  15. Exploring the Optimal Strategy to Predict Essential Genes in Microbes

    Yao Lu

    2011-12-01

    Full Text Available Accurately predicting essential genes is important in many aspects of biology, medicine and bioengineering. In previous research, we have developed a machine learning based integrative algorithm to predict essential genes in bacterial species. This algorithm lends itself to two approaches for predicting essential genes: learning the traits from known essential genes in the target organism, or transferring essential gene annotations from a closely related model organism. However, for an understudied microbe, each approach has its potential limitations. The first is constricted by the often small number of known essential genes. The second is limited by the availability of model organisms and by evolutionary distance. In this study, we aim to determine the optimal strategy for predicting essential genes by examining four microbes with well-characterized essential genes. Our results suggest that, unless the known essential genes are few, learning from the known essential genes in the target organism usually outperforms transferring essential gene annotations from a related model organism. In fact, the required number of known essential genes is surprisingly small to make accurate predictions. In prokaryotes, when the number of known essential genes is greater than 2% of total genes, this approach already comes close to its optimal performance. In eukaryotes, achieving the same best performance requires over 4% of total genes, reflecting the increased complexity of eukaryotic organisms. Combining the two approaches resulted in an increased performance when the known essential genes are few. Our investigation thus provides key information on accurately predicting essential genes and will greatly facilitate annotations of microbial genomes.

  16. Optimizing strategies to improve interprofessional practice for veterans, part 1

    Bhattacharya SB

    2014-04-01

    Full Text Available Shelley B Bhattacharya,1–3 Michelle I Rossi,1,2 Jennifer M Mentz11Geriatric Research Education and Clinical Center (GRECC, Veteran's Affairs Pittsburgh Healthcare System, 2University of Pittsburgh Medical Center, Pittsburgh, PA, USA; 3Albert Schweitzer Fellowship Program, Pittsburgh, PA, USAIntroduction: Interprofessional patient care is a well-recognized path that health care systems are striving toward. The Veteran's Affairs (VA system initiated interprofessional practice (IPP models with their Geriatric Evaluation and Management (GEM programs. GEM programs incorporate a range of specialties, including but not limited to, medicine, nursing, social work, physical therapy and pharmacy, to collaboratively evaluate veterans. Despite being a valuable resource, they are now faced with significant cut-backs, including closures. The primary goal of this project was to assess how the GEM model could be optimized at the Pittsburgh, Pennsylvania VA to allow for the sustainability of this important IPP assessment. Part 1 of the study evaluated the IPP process using program, patient, and family surveys. Part 2 examined how well the geriatrician matched patients to specialists in the GEM model. This paper describes Part 1 of our study.Methods: Three strategies were used: 1 a national GEM program survey; 2 a veteran/family satisfaction survey; and 3 an absentee assessment.Results: Twenty-six of 92 programs responded to the GEM IPP survey. Six strategies were shared to optimize IPP models throughout the country. Of the 34 satisfaction surveys, 80% stated the GEM clinic was beneficial, 79% stated their concerns were addressed, and 100% would recommend GEM to their friends. Of the 24 absentee assessments, the top three reasons for missing the appointments were transportation, medical illnesses, and not knowing/remembering about the appointment. Absentee rate diminished from 41% to 19% after instituting a reminder phone call policy.Discussion: Maintaining the

  17. Emergency strategy optimization for the environmental control system in manned spacecraft

    Li, Guoxiang; Pang, Liping; Liu, Meng; Fang, Yufeng; Zhang, Helin

    2018-02-01

    It is very important for a manned environmental control system (ECS) to be able to reconfigure its operation strategy in emergency conditions. In this article, a multi-objective optimization is established to design the optimal emergency strategy for an ECS in an insufficient power supply condition. The maximum ECS lifetime and the minimum power consumption are chosen as the optimization objectives. Some adjustable key variables are chosen as the optimization variables, which finally represent the reconfigured emergency strategy. The non-dominated sorting genetic algorithm-II is adopted to solve this multi-objective optimization problem. Optimization processes are conducted at four different carbon dioxide partial pressure control levels. The study results show that the Pareto-optimal frontiers obtained from this multi-objective optimization can represent the relationship between the lifetime and the power consumption of the ECS. Hence, the preferred emergency operation strategy can be recommended for situations when there is suddenly insufficient power.

  18. Optimal Portfolios in Wishart Models and Effects of Discrete Rebalancing on Portfolio Distribution and Strategy Selection

    Li, Zejing

    2012-01-01

    This dissertation is mainly devoted to the research of two problems - the continuous-time portfolio optimization in different Wishart models and the effects of discrete rebalancing on portfolio wealth distribution and optimal portfolio strategy.

  19. Verification and synthesis of optimal decision strategies for complex systems

    Summers, S. J.

    2013-07-01

    that quantifies the probability of hitting a target set at some point during a finite time horizon, while avoiding an obstacle set during each time step preceding the target hitting time. In contrast with the general reach-avoid formulation, which assumes that the target and obstacle sets are constant and deterministic, we allow these sets to be both time-varying and probabilistic. An optimal reach-avoid control policy is derived as the solution to an optimal control problem via dynamic programming. A framework for analyzing probabilistic safety and reachability problems for discrete time stochastic hybrid systems in scenarios where system dynamics are affected by rational competing agents follows. We consider a zero sum game formulation of the probabilistic reach-avoid problem, in which the control objective is to maximize the probability of reaching a desired subset of the hybrid state space, while avoiding an unsafe set, subject to the worst case behavior of a rational adversary. Theoretical results are provided on a dynamic programming algorithm for computing the maximal reach-avoid probability under the worst-case adversary strategy, as well as the existence of a maxmin control policy that achieves this probability. Probabilistic Computation Tree Logic (PCTL) is a well-known modal logic that has become a standard for expressing temporal properties of finite state Markov chains in the context of automated model checking. Here we consider PCTL for non countable-space Markov chains, and we show that there is a substantial affinity between certain of its operators and problems of dynamic programming. We prove some basic properties of the solutions to the latter. The dissertation concludes with a collection of computational examples in the areas of ecology, robotics, aerospace, and finance. (author)

  20. Verification and synthesis of optimal decision strategies for complex systems

    Summers, S. J.

    2013-01-01

    that quantifies the probability of hitting a target set at some point during a finite time horizon, while avoiding an obstacle set during each time step preceding the target hitting time. In contrast with the general reach-avoid formulation, which assumes that the target and obstacle sets are constant and deterministic, we allow these sets to be both time-varying and probabilistic. An optimal reach-avoid control policy is derived as the solution to an optimal control problem via dynamic programming. A framework for analyzing probabilistic safety and reachability problems for discrete time stochastic hybrid systems in scenarios where system dynamics are affected by rational competing agents follows. We consider a zero sum game formulation of the probabilistic reach-avoid problem, in which the control objective is to maximize the probability of reaching a desired subset of the hybrid state space, while avoiding an unsafe set, subject to the worst case behavior of a rational adversary. Theoretical results are provided on a dynamic programming algorithm for computing the maximal reach-avoid probability under the worst-case adversary strategy, as well as the existence of a maxmin control policy that achieves this probability. Probabilistic Computation Tree Logic (PCTL) is a well-known modal logic that has become a standard for expressing temporal properties of finite state Markov chains in the context of automated model checking. Here we consider PCTL for non countable-space Markov chains, and we show that there is a substantial affinity between certain of its operators and problems of dynamic programming. We prove some basic properties of the solutions to the latter. The dissertation concludes with a collection of computational examples in the areas of ecology, robotics, aerospace, and finance. (author)

  1. Computing Optimal Stochastic Portfolio Execution Strategies: A Parametric Approach Using Simulations

    Moazeni, Somayeh; Coleman, Thomas F.; Li, Yuying

    2010-09-01

    Computing optimal stochastic portfolio execution strategies under appropriate risk consideration presents great computational challenge. We investigate a parametric approach for computing optimal stochastic strategies using Monte Carlo simulations. This approach allows reduction in computational complexity by computing coefficients for a parametric representation of a stochastic dynamic strategy based on static optimization. Using this technique, constraints can be similarly handled using appropriate penalty functions. We illustrate the proposed approach to minimize the expected execution cost and Conditional Value-at-Risk (CVaR).

  2. Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement

    Yonggu Kim

    2017-10-01

    Full Text Available This research determines the optimal investment timing using real options valuation to support decision-making for economic sustainability assessment. This paper illustrates an option pricing model using the Black-Scholes model applied to a case project to understand the model performance. Applicability of the project to the model requires two Monte Carlo simulations to satisfy a Markov process and a Wiener process. The position of project developers is not only the seller of products, but it is also the buyer of raw materials. Real options valuation can be influenced by the volatility of cash outflow, as well as the volatility of cash inflow. This study suggests two-color rainbow options valuation to overcome this issue, which is demonstrated for a steel plant project. The asymmetric results of the case study show that cash outflow (put option influences the value of the steel plant project more than cash inflow (call option does of which the discussion of the results is referred to a sensitivity analysis. The real options valuation method proposed in this study contributes to the literature on applying the new model, taking into consideration that investors maximize project profitability for economic sustainable development.

  3. Optimal Stochastic Advertising Strategies for the U.S. Beef Industry

    Kun C. Lee; Stanley Schraufnagel; Earl O. Heady

    1982-01-01

    An important decision variable in the promotional strategy for the beef sector is the optimal level of advertising expenditures over time. Optimal stochastic and deterministic advertising expenditures are derived for the U.S. beef industry for the period `1966 through 1980. They are compared with historical levels and gains realized by optimal advertising strategies are measured. Finally, the optimal advertising expenditures in the future are forecasted.

  4. The costs of electricity systems with a high share of fluctutating renewables. A stochastic investment and dispatch optimization model for Europe

    Nagl, Stephan; Fuersch, Michaela; Lindenberger, Dietmar

    2012-01-01

    Renewable energies are meant to produce a large share of the future electricity demand. However, the availability of wind and solar power depends on local weather conditions and therefore weather characteristics must be considered when optimizing the future electricity mix. In this article we analyze the impact of the stochastic availability of wind and solar energy on the cost-minimal power plant mix and the related total system costs. To determine optimal conventional, renewable and storage capacities for different shares of renewables, we apply a stochastic investment and dispatch optimization model to the European electricity market. The model considers stochastic feed-in structures and full load hours of wind and solar technologies and different correlations between regions and technologies. Key findings include the overestimation of fluctuating renewables and underestimation of total system costs compared to deterministic investment and dispatch models. Furthermore, solar technologies are - relative to wind turbines - underestimated when neglecting negative correlations between wind speeds and solar radiation.

  5. An optimization strategy for the control of small capacity heat pump integrated air-conditioning system

    Gao, Jiajia; Huang, Gongsheng; Xu, Xinhua

    2016-01-01

    Highlights: • An optimization strategy for a small-scale air-conditioning system is developed. • The optimization strategy aims at optimizing the overall system energy consumption. • The strategy may guarantee the robust control of the space air temperature. • The performance of the optimization strategy was tested on a simulation platform. - Abstract: This paper studies the optimization of a small-scale central air-conditioning system, in which the cooling is provided by a ground source heat pump (GSHP) equipped with an on/off capacity control. The optimization strategy aims to optimize the overall system energy consumption and simultaneously guarantee the robustness of the space air temperature control without violating the allowed GSHP maximum start-ups number per hour specified by customers. The set-point of the chilled water return temperature and the width of the water temperature control band are used as the decision variables for the optimization. The performance of the proposed strategy was tested on a simulation platform. Results show that the optimization strategy can save the energy consumption by 9.59% in a typical spring day and 2.97% in a typical summer day. Meanwhile it is able to enhance the space air temperature control robustness when compared with a basic control strategy without optimization.

  6. Noninfectious uveitis: strategies to optimize treatment compliance and adherence

    Dolz-Marco R

    2015-08-01

    Full Text Available Rosa Dolz-Marco,1 Roberto Gallego-Pinazo,1 Manuel Díaz-Llopis,2 Emmett T Cunningham Jr,3–6 J Fernando Arévalo7,8 1Unit of Macula, Department of Ophthalmology, University and Polytechnic Hospital La Fe, 2Faculty of Medicine, University of Valencia, Spain; 3Department of Ophthalmology, California Pacific Medical Center, San Francisco, 4Department of Ophthalmology, Stanford University School of Medicine, Stanford, 5The Francis I Proctor Foundation, University of California San Francisco Medical Center, 6West Coast Retina Medical Group, San Francisco, CA, USA; 7Vitreoretina Division, King Khaled Eye Specialist Hospital, Riyadh, Saudi Arabia; 8Retina Division, Wilmer Eye Institute, Johns Hopkins University School of Medicine, Baltimore, MD, USA Abstract: Noninfectious uveitis includes a heterogenous group of sight-threatening ocular and systemic disorders. Significant progress has been made in the treatment of noninfectious uveitis in recent years, particularly with regard to the effective use of corticosteroids and non-corticosteroid immunosuppressive drugs, including biologic agents. All of these therapeutic approaches are limited, however, by any given patient’s ability to comply with and adhere to their prescribed treatment. In fact, compliance and adherence are among the most important patient-related determinants of treatment success. We discuss strategies to optimize compliance and adherence. Keywords: noninfectious uveitis, intraocular inflammation, immunosuppressive treatment, adherence, compliance, therapeutic failure

  7. Optimal breast cancer screening strategies for older women: current perspectives

    Braithwaite D

    2016-02-01

    Full Text Available Dejana Braithwaite,1 Joshua Demb,1 Louise M Henderson2 1Department of Epidemiology and Biostatistics, University of California, San Francisco, CA, 2Department of Radiology, University of North Carolina, Chapel Hill, NC, USA Abstract: Breast cancer is a major cause of cancer-related deaths among older women, aged 65 years or older. Screening mammography has been shown to be effective in reducing breast cancer mortality in women aged 50–74 years but not among those aged 75 years or older. Given the large heterogeneity in comorbidity status and life expectancy among older women, controversy remains over screening mammography in this population. Diminished life expectancy with aging may decrease the potential screening benefit and increase the risk of harms. In this review, we summarize the evidence on screening mammography utilization, performance, and outcomes and highlight evidence gaps. Optimizing the screening strategy will involve separating older women who will benefit from screening from those who will not benefit by using information on comorbidity status and life expectancy. This review has identified areas related to screening mammography in older women that warrant additional research, including the need to evaluate emerging screening technologies, such as tomosynthesis among older women and precision cancer screening. In the absence of randomized controlled trials, the benefits and harms of continued screening mammography in older women need to be estimated using both population-based cohort data and simulation models. Keywords: aging, breast cancer, precision cancer screening

  8. Optimizing individual iron deficiency prevention strategies in physiological pregnancy

    Kramarskiy V.A.

    2018-04-01

    Full Text Available Sideropenia by the end of pregnancy takes place in all mothers without exception. Moreover, the selective administration of iron preparations, in contrast to the routine, makes it possible to avoid hemochromatosis, frequency of which in the general population makes from 0.5 to 13 %. The aim of the study was to optimize the individual strategy for the prevention of iron deficiency in physiological pregnancy. A prospective pre-experimental study was conducted, the criterion of inclusion in which was the mother’s extragenital and obstetrical pathology during the first half of pregnancy, a burdened obstetric and gynecological anamnesis. The study group of 98 women with a physiological pregnancy in the period of 20 to 24 weeks was recruited by simple ran- dom selection. Serum ferritin, hemoglobin, and serum iron were used to estimate iron deficiency. In the latent stage of iron deficiency against a background of monthly correction with Fenules ® in a dose of 90 mg of elemental iron per day, there was a significant increase in ferritin and iron in the blood rotor. In healthy mothers, during the gestational period of 20–24 weeks, a regularity arises in the replenishment of iron status, especially in the case of repeated pregnancy, which is successfully satisfied during the month of Fenules ® intake in doses of 45 mg or 90 mg per day with a serum ferritin level of, respectively, 30 up to 70 μg/l or less than 30 μg/l.

  9. Free electron lasers for 13nm EUV lithography: RF design strategies to minimise investment and operational costs

    Keens, Simon; Rossa, Bernhard; Frei, Marcel

    2016-03-01

    As the semiconductor industry proceeds to develop ever better sources of extreme ultraviolet (EUV) light for photolithography applications, two distinct technologies have come to prominence: Tin-plasma and free electron laser (FEL) sources. Tin plasma sources have been in development within the industry for many years, and have been widely reported. Meanwhile, FELs represent the most promising alternative to create high power EUV frequencies and, while tin-plasma source development has been ongoing, such lasers have been continuously developed by academic institutions for use in fundamental research programmes in conjunction with universities and national scientific institutions. This paper follows developments in the field of academic FELs, and presents information regarding novel technologies, specifically in the area of RF design strategy, that may be incorporated into future industrial FEL systems for EUV lithography in order to minimize the necessary investment and operational costs. It goes on to try to assess the cost-benefit of an alternate RF design strategy, based upon previous studies.

  10. Genomic Medicine Without Borders: Which Strategies Should Developing Countries Employ to Invest in Precision Medicine? A New "Fast-Second Winner" Strategy.

    Mitropoulos, Konstantinos; Cooper, David N; Mitropoulou, Christina; Agathos, Spiros; Reichardt, Jürgen K V; Al-Maskari, Fatima; Chantratita, Wasun; Wonkam, Ambroise; Dandara, Collet; Katsila, Theodora; Lopez-Correa, Catalina; Ali, Bassam R; Patrinos, George P

    2017-11-01

    Genomic medicine has greatly matured in terms of its technical capabilities, but the diffusion of genomic innovations worldwide faces significant barriers beyond mere access to technology. New global development strategies are sorely needed for biotechnologies such as genomics and their applications toward precision medicine without borders. Moreover, diffusion of genomic medicine globally cannot adhere to a "one-size-fits-all-countries" development strategy, in the same way that drug treatments should be customized. This begs a timely, difficult but crucial question: How should developing countries, and the resource-limited regions of developed countries, invest in genomic medicine? Although a full-scale investment in infrastructure from discovery to the translational implementation of genomic science is ideal, this may not always be feasible in all countries at all times. A simple "transplantation of genomics" from developed to developing countries is unlikely to be feasible. Nor should developing countries be seen as simple recipients and beneficiaries of genomic medicine developed elsewhere because important advances in genomic medicine have materialized in developing countries as well. There are several noteworthy examples of genomic medicine success stories involving resource-limited settings that are contextualized and described in this global genomic medicine innovation analysis. In addition, we outline here a new long-term development strategy for global genomic medicine in a way that recognizes the individual country's pressing public health priorities and disease burdens. We term this approach the "Fast-Second Winner" model of innovation that supports innovation commencing not only "upstream" of discovery science but also "mid-stream," building on emerging highly promising biomarker and diagnostic candidates from the global science discovery pipeline, based on the unique needs of each country. A mid-stream entry into innovation can enhance collective

  11. Investing in lean to improve basic capabilities: A strategy for system supply?

    Inga-Lill Carlsson

    2017-04-01

    Full Text Available Purpose: This paper describes the perceived effects of implementing lean production in a Swedish SME contract manufacturer. Especially focused are the effects on, and possible trade-offs between, cost-efficiency and flexibility. Design/methodology/approach: SME suppliers need basic capabilities of qualitative production performance which may then be stepping-stones to develop more system supplier capabilities for added customer value: leadership to manage systems and processes, SCM, communications and relations management. Development of stable production processes is seen as a way to reach stable basic performance, efficient and with higher resource utilization. Quality is a precursor to delivery performance as well as to cost reduction and flexibility. This is a longitudinal single case study of a SME supplier striving to become a system supplier. Two main sources of data collection are used: interviews and the main author’s presence as employee and business developer, participating in and following up the ongoing change process. Findings: Two specific findings appeared: (1 An initial effect was an important “eye-opener” for the balance between cost efficiency and flexibility in the organization. (2 Process orientation, as the basis of both lean and agile approaches, allows many improvements without any conflicts or trade-offs between these two goals. Stability in the production leads to increased controllability, initially resulting in both higher cost-efficiency and higher flexibility. As the organization develops however, strategic considerations relating to the chosen market strategy might occur: cost leadership or differentiation.    Research limitations/implications: These results reflect the experiences of one SME supplier and further studies are needed for generalizability. Originality/value: The study increases the understanding of how a SME may develop stable processes in its different supplier-customer contexts. The study

  12. Polymerase chain reaction: basic protocol plus troubleshooting and optimization strategies.

    Lorenz, Todd C

    2012-05-22

    In the biological sciences there have been technological advances that catapult the discipline into golden ages of discovery. For example, the field of microbiology was transformed with the advent of Anton van Leeuwenhoek's microscope, which allowed scientists to visualize prokaryotes for the first time. The development of the polymerase chain reaction (PCR) is one of those innovations that changed the course of molecular science with its impact spanning countless subdisciplines in biology. The theoretical process was outlined by Keppe and coworkers in 1971; however, it was another 14 years until the complete PCR procedure was described and experimentally applied by Kary Mullis while at Cetus Corporation in 1985. Automation and refinement of this technique progressed with the introduction of a thermal stable DNA polymerase from the bacterium Thermus aquaticus, consequently the name Taq DNA polymerase. PCR is a powerful amplification technique that can generate an ample supply of a specific segment of DNA (i.e., an amplicon) from only a small amount of starting material (i.e., DNA template or target sequence). While straightforward and generally trouble-free, there are pitfalls that complicate the reaction producing spurious results. When PCR fails it can lead to many non-specific DNA products of varying sizes that appear as a ladder or smear of bands on agarose gels. Sometimes no products form at all. Another potential problem occurs when mutations are unintentionally introduced in the amplicons, resulting in a heterogeneous population of PCR products. PCR failures can become frustrating unless patience and careful troubleshooting are employed to sort out and solve the problem(s). This protocol outlines the basic principles of PCR, provides a methodology that will result in amplification of most target sequences, and presents strategies for optimizing a reaction. By following this PCR guide, students should be able to: • Set up reactions and thermal cycling

  13. Bacterial Quorum Sensing Stabilizes Cooperation by Optimizing Growth Strategies.

    Bruger, Eric L; Waters, Christopher M

    2016-11-15

    Communication has been suggested as a mechanism to stabilize cooperation. In bacteria, chemical communication, termed quorum sensing (QS), has been hypothesized to fill this role, and extracellular public goods are often induced by QS at high cell densities. Here we show, with the bacterium Vibrio harveyi, that QS provides strong resistance against invasion of a QS defector strain by maximizing the cellular growth rate at low cell densities while achieving maximum productivity through protease upregulation at high cell densities. In contrast, QS mutants that act as defectors or unconditional cooperators maximize either the growth rate or the growth yield, respectively, and thus are less fit than the wild-type QS strain. Our findings provide experimental evidence that regulation mediated by microbial communication can optimize growth strategies and stabilize cooperative phenotypes by preventing defector invasion, even under well-mixed conditions. This effect is due to a combination of responsiveness to environmental conditions provided by QS, lowering of competitive costs when QS is not induced, and pleiotropic constraints imposed on defectors that do not perform QS. Cooperation is a fundamental problem for evolutionary biology to explain. Conditional participation through phenotypic plasticity driven by communication is a potential solution to this dilemma. Thus, among bacteria, QS has been proposed to be a proximate stabilizing mechanism for cooperative behaviors. Here, we empirically demonstrate that QS in V. harveyi prevents cheating and subsequent invasion by nonproducing defectors by maximizing the growth rate at low cell densities and the growth yield at high cell densities, whereas an unconditional cooperator is rapidly driven to extinction by defectors. Our findings provide experimental evidence that QS regulation prevents the invasion of cooperative populations by QS defectors even under unstructured conditions, and they strongly support the role of

  14. Understanding the differentiating impacts of the communication strategies of a high involvement service (investment advisory services) and a high involvement product (precious jewellery) on customer satisfaction and loyalty.

    Gupta, Gauri

    2009-01-01

    While marketing literature has largely focused on high and low involvement purchases and the positive relationship between customer satisfaction and loyalty; the differentiating impacts of communication strategies for a high involvement service and a high involvement product on customer satisfaction and loyalty has received little academic attention. Consequently, this study examines the differentiating impacts of the communication strategies for investment advisory services and precious jewe...

  15. Climate change, uncertainty and investment in flood risk reduction

    Pol, van der, T.D.

    2015-01-01

    Economic analysis of flood risk management strategies has become more complex due to climate change. This thesis investigates the impact of climate change on investment in flood risk reduction, and applies optimisation methods to support identification of optimal flood risk management strategies. Chapter 2 provides an overview of cost-benefit analysis (CBA) of flood risk management strategies under climate change uncertainty and new information. CBA is applied to determine optimal dike height...

  16. Firm Decisions: Determinants of Investments

    Ionescu Alexandra

    2011-01-01

    The investment decision is part of a companies’ investment strategy. Defined as a logical set of technical and economic information, the investment strategy determines the main objectives of the firm regarding its investments, based on studies, analysis and simulations. It also establishes the actions to be undertaken in order to achieve the objectives, methods of achieving them, sources of funding and resource allocation methods. Still, all these are influenced by several factors. The invest...

  17. How to manage future groundwater resource of China under climate change and urbanization: An optimal stage investment design from modern portfolio theory.

    Hua, Shanshan; Liang, Jie; Zeng, Guangming; Xu, Min; Zhang, Chang; Yuan, Yujie; Li, Xiaodong; Li, Ping; Liu, Jiayu; Huang, Lu

    2015-11-15

    Groundwater management in China has been facing challenges from both climate change and urbanization and is considered as a national priority nowadays. However, unprecedented uncertainty exists in future scenarios making it difficult to formulate management planning paradigms. In this paper, we apply modern portfolio theory (MPT) to formulate an optimal stage investment of groundwater contamination remediation in China. This approach generates optimal weights of investment to each stage of the groundwater management and helps maximize expected return while minimizing overall risk in the future. We find that the efficient frontier of investment displays an upward-sloping shape in risk-return space. The expected value of groundwater vulnerability index increases from 0.6118 to 0.6230 following with the risk of uncertainty increased from 0.0118 to 0.0297. If management investment is constrained not to exceed certain total cost until 2050 year, the efficient frontier could help decision makers make the most appropriate choice on the trade-off between risk and return. Copyright © 2015 Elsevier Ltd. All rights reserved.

  18. Optimal Portfolio Rebalancing Strategy : Evidence from Finnish Stocks

    Savage, Akinwunmi

    2010-01-01

    Portfolio rebalancing is an established concept in portfolio management and investing generally. Assets within a portfolio have different return and risk prospects, and this inevitably leads them to drift away from their initial allocation weights overtime. Portfolio rebalancing is arguably the only method by which such assets can be reset to their initial weights, thus ensuring the portfolio reflects the risk appetite of the investor. Like many other concepts and practices in finance, portfo...

  19. Model-based optimization strategy of chiller driven liquid desiccant dehumidifier with genetic algorithm

    Wang, Xinli; Cai, Wenjian; Lu, Jiangang; Sun, Youxian; Zhao, Lei

    2015-01-01

    This study presents a model-based optimization strategy for an actual chiller driven dehumidifier of liquid desiccant dehumidification system operating with lithium chloride solution. By analyzing the characteristics of the components, energy predictive models for the components in the dehumidifier are developed. To minimize the energy usage while maintaining the outlet air conditions at the pre-specified set-points, an optimization problem is formulated with an objective function, the constraints of mechanical limitations and components interactions. Model-based optimization strategy using genetic algorithm is proposed to obtain the optimal set-points for desiccant solution temperature and flow rate, to minimize the energy usage in the dehumidifier. Experimental studies on an actual system are carried out to compare energy consumption between the proposed optimization and the conventional strategies. The results demonstrate that energy consumption using the proposed optimization strategy can be reduced by 12.2% in the dehumidifier operation. - Highlights: • Present a model-based optimization strategy for energy saving in LDDS. • Energy predictive models for components in dehumidifier are developed. • The Optimization strategy are applied and tested in an actual LDDS. • Optimization strategy can achieve energy savings by 12% during operation

  20. Do females invest more into eggs when males sing more attractively? Postmating sexual selection strategies in a monogamous reed passerine.

    Krištofík, Ján; Darolová, Alžbeta; Majtan, Juraj; Okuliarová, Monika; Zeman, Michal; Hoi, Herbert

    2014-04-01

    Maternal investment can play an important role for offspring fitness, especially in birds, as females have to provide their eggs with all the necessary nutrients for the development of the embryo. It is known that this type of maternal investment can be influenced by the quality of the male partner. In this study, we first verify that male song is important in the mate choice of female Eurasian reed warblers, as males mate faster when their singing is more complex. Furthermore, female egg investment varies in relation to male song characteristics. Interestingly, clutch size, egg weight, or size, which can be considered as an high-cost investment, is not influenced by male song characteristics, whereas comparably low-cost investment types like investment into diverse egg components are adjusted to male song characteristics. In line with this, our results suggest that female allocation rules depend on investment type as well as song characteristics. For example, egg white lysozyme is positively correlated with male song complexity. In contrast, a negative correlation exists between-song speed and syllable repetitiveness and egg yolk weight as well as egg yolk testosterone concentration. Thus, our results suggest that female egg investment is related to male song performance in several aspects, but female investment patterns regarding various egg compounds are not simply correlated.

  1. Determinants of farmers' tree-planting investment decisions as a degraded landscape management strategy in the central highlands of Ethiopia

    Gessesse, Berhan; Bewket, Woldeamlak; Bräuning, Achim

    2016-04-01

    Land degradation due to lack of sustainable land management practices is one of the critical challenges in many developing countries including Ethiopia. This study explored the major determinants of farm-level tree-planting decisions as a land management strategy in a typical farming and degraded landscape of the Modjo watershed, Ethiopia. The main data were generated from household surveys and analysed using descriptive statistics and a binary logistic regression model. The model significantly predicted farmers' tree-planting decisions (χ2 = 37.29, df = 15, P labour force availability, the disparity of schooling age, level of perception of the process of deforestation and the current land tenure system had a critical influence on tree-growing investment decisions in the study watershed. Eventually, the processes of land-use conversion and land degradation were serious, which in turn have had adverse effects on agricultural productivity, local food security and poverty trap nexus. Hence, the study recommended that devising and implementing sustainable land management policy options would enhance ecological restoration and livelihood sustainability in the study watershed.

  2. Determinants of farmers' tree planting investment decision as a degraded landscape management strategy in the central highlands of Ethiopia

    Gessesse, B.; Bewket, W.; Bräuning, A.

    2015-11-01

    Land degradation due to lack of sustainable land management practices are one of the critical challenges in many developing countries including Ethiopia. This study explores the major determinants of farm level tree planting decision as a land management strategy in a typical framing and degraded landscape of the Modjo watershed, Ethiopia. The main data were generated from household surveys and analysed using descriptive statistics and binary logistic regression model. The model significantly predicted farmers' tree planting decision (Chi-square = 37.29, df = 15, Plabour force availability, the disparity of schooling age, level of perception of the process of deforestation and the current land tenure system have positively and significantly influence on tree growing investment decisions in the study watershed. Eventually, the processes of land use conversion and land degradation are serious which in turn have had adverse effects on agricultural productivity, local food security and poverty trap nexus. Hence, devising sustainable and integrated land management policy options and implementing them would enhance ecological restoration and livelihood sustainability in the study watershed.

  3. Optimal strategy analysis based on robust predictive control for inventory system with random demand

    Saputra, Aditya; Widowati, Sutrisno

    2017-12-01

    In this paper, the optimal strategy for a single product single supplier inventory system with random demand is analyzed by using robust predictive control with additive random parameter. We formulate the dynamical system of this system as a linear state space with additive random parameter. To determine and analyze the optimal strategy for the given inventory system, we use robust predictive control approach which gives the optimal strategy i.e. the optimal product volume that should be purchased from the supplier for each time period so that the expected cost is minimal. A numerical simulation is performed with some generated random inventory data. We simulate in MATLAB software where the inventory level must be controlled as close as possible to a set point decided by us. From the results, robust predictive control model provides the optimal strategy i.e. the optimal product volume that should be purchased and the inventory level was followed the given set point.

  4. Implementation of an optimal control energy management strategy in a hybrid truck

    Mullem, D. van; Keulen, T. van; Kessels, J.T.B.A.; Jager, B. de; Steinbuch, M.

    2010-01-01

    Energy Management Strategies for hybrid powertrains control the power split, between the engine and electric motor, of a hybrid vehicle, with fuel consumption or emission minimization as objective. Optimal control theory can be applied to rewrite the optimization problem to an optimization

  5. Mixed-integer evolution strategies for parameter optimization and their applications to medical image analysis

    Li, Rui

    2009-01-01

    The target of this work is to extend the canonical Evolution Strategies (ES) from traditional real-valued parameter optimization domain to mixed-integer parameter optimization domain. This is necessary because there exist numerous practical optimization problems from industry in which the set of

  6. Anodic Cyclization Reactions and the Mechanistic Strategies That Enable Optimization.

    Feng, Ruozhu; Smith, Jake A; Moeller, Kevin D

    2017-09-19

    Oxidation reactions are powerful tools for synthesis because they allow us to reverse the polarity of electron-rich functional groups, generate highly reactive intermediates, and increase the functionality of molecules. For this reason, oxidation reactions have been and continue to be the subject of intense study. Central to these efforts is the development of mechanism-based strategies that allow us to think about the reactive intermediates that are frequently central to the success of the reactions and the mechanistic pathways that those intermediates trigger. For example, consider oxidative cyclization reactions that are triggered by the removal of an electron from an electron-rich olefin and lead to cyclic products that are functionalized for further elaboration. For these reactions to be successful, the radical cation intermediate must first be generated using conditions that limit its polymerization and then channeled down a productive desired pathway. Following the cyclization, a second oxidation step is necessary for product formation, after which the resulting cation must be quenched in a controlled fashion to avoid undesired elimination reactions. Problems can arise at any one or all of these steps, a fact that frequently complicates reaction optimization and can discourage the development of new transformations. Fortunately, anodic electrochemistry offers an outstanding opportunity to systematically probe the mechanism of oxidative cyclization reactions. The use of electrochemical methods allows for the generation of radical cations under neutral conditions in an environment that helps prevent polymerization of the intermediate. Once the intermediates have been generated, a series of "telltale indicators" can be used to diagnose which step in an oxidative cyclization is problematic for less successful transformation. A set of potential solutions to address each type of problem encountered has been developed. For example, problems with the initial

  7. Scaling up Corporate Social Investments in Education: Five Strategies That Work. Global Views. Policy Paper 2012-01

    van Fleet, Justin W.

    2012-01-01

    Scaling up good corporate social investment practices in developing countries is crucial to realizing the "Education for All" and "Millennium Development Goals". Yet very few corporate social investments have the right mix of vision, financing, cross-sector engagement and leadership to come to scale. Globally, 67 million…

  8. Simulación de Estrategias de Inversión para Pequeños Caficultores Colombianos Simulation of Investment Strategies for Small Coffee Farmers in Colombia

    Felipe Abaunza Osorio

    2011-12-01

    Full Text Available El cultivo del café proporciona el sustento de más de medio millón de pequeños caficultores en Colombia. La volatilidad y las fluctuaciones del precio del café dificultan la toma decisiones de inversión afectando la calidad de vida. Los caficultores no cuentan con herramientas para el análisis de esquemas estratégicos, así como el análisis a largo plazo del impacto de estas estrategias sobre sus ingresos. En este trabajo se plantean diferentes esquemas estratégicos de inversión para los caficultores basados en las estrategias genéricas de Porter y en estrategias de diversificación. Para el análisis a largo plazo de algunas de las estrategias propuestas se usa un modelo de dinámica de sistemas, y se tienen en cuenta diferentes escenarios en cuanto a precios del café.Coffee farming is the main source of income for more than half a million peasants in Colombia. These small farmers are exposed to the high volatility of coffee price which causes fluctuations in their income and which is an obstacle for making good investment decisions. In addition, small farmers have no tools for formulating and evaluating investment strategies or for assessing the impact of such strategies in their income. We propose and discuss alternative investment strategies for small coffee farmers. These strategies are based on Porter's generic strategies and on diversification strategies. To evaluate the long-run effect of alternative investment plans in farmers' income, we build a system dynamics simulation model, and run it under several price scenarios.

  9. A multi-objective decision framework for lifecycle investment

    Timmermans, S.H.J.T.; Schumacher, J.M.; Ponds, E.H.M.

    2017-01-01

    In this paper we propose a multi-objective decision framework for lifecycle investment choice. Instead of optimizing individual strategies with respect to a single-valued objective, we suggest evaluation of classes of strategies in terms of the quality of the tradeoffs that they provide. The

  10. Climate change, uncertainty and investment in flood risk reduction

    Pol, van der T.D.

    2015-01-01

    Economic analysis of flood risk management strategies has become more complex due to climate change. This thesis investigates the impact of climate change on investment in flood risk reduction, and applies optimisation methods to support identification of optimal flood risk management strategies.

  11. Finding optimal vaccination strategies for pandemic influenza using genetic algorithms.

    Patel, Rajan; Longini, Ira M; Halloran, M Elizabeth

    2005-05-21

    In the event of pandemic influenza, only limited supplies of vaccine may be available. We use stochastic epidemic simulations, genetic algorithms (GA), and random mutation hill climbing (RMHC) to find optimal vaccine distributions to minimize the number of illnesses or deaths in the population, given limited quantities of vaccine. Due to the non-linearity, complexity and stochasticity of the epidemic process, it is not possible to solve for optimal vaccine distributions mathematically. However, we use GA and RMHC to find near optimal vaccine distributions. We model an influenza pandemic that has age-specific illness attack rates similar to the Asian pandemic in 1957-1958 caused by influenza A(H2N2), as well as a distribution similar to the Hong Kong pandemic in 1968-1969 caused by influenza A(H3N2). We find the optimal vaccine distributions given that the number of doses is limited over the range of 10-90% of the population. While GA and RMHC work well in finding optimal vaccine distributions, GA is significantly more efficient than RMHC. We show that the optimal vaccine distribution found by GA and RMHC is up to 84% more effective than random mass vaccination in the mid range of vaccine availability. GA is generalizable to the optimization of stochastic model parameters for other infectious diseases and population structures.

  12. Optimal Software Strategies in the Presence of Network Externalities

    Liu, Yipeng

    2009-01-01

    Network externalities or alternatively termed network effects are pervasive in computer software markets. While software vendors consider pricing strategies, they must also take into account the impact of network externalities on their sales. My main interest in this research is to describe a firm's strategies and behaviors in the presence of…

  13. Optimizing the stirring strategy for the vibrating intrinsic reverberation chamber

    Serra, Ramiro; Serra, Ramiro; Leferink, Frank Bernardus Johannes

    2010-01-01

    This work describes the definition, application and assessment of a factorial plan with the aim of gaining insight on what kind of stirring strategy could work the best in a vibrating intrinsic reverberation chamber. Three different stirring strategies were defined as factors of a factorial

  14. Optimal Pricing Strategies for New Products in Dynamic Oligopolies

    Engelbert Dockner; Steffen Jørgensen

    1988-01-01

    This paper deals with the determination of optimal pricing policies for firms in oligopolistic markets. The problem is studied as a differential game and optimal pricing policies are established as Nash open-loop controls. Cost learning effects are assumed such that unit costs are decreasing with cumulative output. Discounting of future profits is also taken into consideration. Initially, the problem is addressed in a general framework, and we proceed to study some specific cases that are rel...

  15. Multi-Objective Optimization of Start-up Strategy for Pumped Storage Units

    Jinjiao Hou

    2018-05-01

    Full Text Available This paper proposes a multi-objective optimization method for the start-up strategy of pumped storage units (PSU for the first time. In the multi-objective optimization method, the speed rise time and the overshoot during the process of the start-up are taken as the objectives. A precise simulation platform is built for simulating the transient process of start-up, and for calculating the objectives based on the process. The Multi-objective Particle Swarm Optimization algorithm (MOPSO is adopted to optimize the widely applied start-up strategies based on one-stage direct guide vane control (DGVC, and two-stage DGVC. Based on the Pareto Front obtained, a multi-objective decision-making method based on the relative objective proximity is used to sort the solutions in the Pareto Front. Start-up strategy optimization for a PSU of a pumped storage power station in Jiangxi Province in China is conducted in experiments. The results show that: (1 compared with the single objective optimization, the proposed multi-objective optimization of start-up strategy not only greatly shortens the speed rise time and the speed overshoot, but also makes the speed curve quickly stabilize; (2 multi-objective optimization of strategy based on two-stage DGVC achieves better solution for a quick and smooth start-up of PSU than that of the strategy based on one-stage DGVC.

  16. Simulation Modeling to Compare High-Throughput, Low-Iteration Optimization Strategies for Metabolic Engineering.

    Heinsch, Stephen C; Das, Siba R; Smanski, Michael J

    2018-01-01

    Increasing the final titer of a multi-gene metabolic pathway can be viewed as a multivariate optimization problem. While numerous multivariate optimization algorithms exist, few are specifically designed to accommodate the constraints posed by genetic engineering workflows. We present a strategy for optimizing expression levels across an arbitrary number of genes that requires few design-build-test iterations. We compare the performance of several optimization algorithms on a series of simulated expression landscapes. We show that optimal experimental design parameters depend on the degree of landscape ruggedness. This work provides a theoretical framework for designing and executing numerical optimization on multi-gene systems.

  17. Optimal operation strategies of compressed air energy storage (CAES) on electricity spot markets with fluctuating prices

    Lund, Henrik; Salgi, Georges; Elmegaard, Brian

    2009-01-01

    on electricity spot markets by storing energy when electricity prices are low and producing electricity when prices are high. In order to make a profit on such markets, CAES plant operators have to identify proper strategies to decide when to sell and when to buy electricity. This paper describes three...... plants will not be able to achieve such optimal operation, since the fluctuations of spot market prices in the coming hours and days are not known. Consequently, two simple practical strategies have been identified and compared to the results of the optimal strategy. This comparison shows that...... independent computer-based methodologies which may be used for identifying the optimal operation strategy for a given CAES plant, on a given spot market and in a given year. The optimal strategy is identified as the one which provides the best business-economic net earnings for the plant. In practice, CAES...

  18. Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function

    Bogolubov, Nikolai N. Jr.; Kyshakevych, Bohdan Yu.; Blackmore, Denis; Prykarpatsky, Anatoliy K.

    2010-12-01

    A competing market model with a polyvariant profit function that assumes 'zeitnot' stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant and bivariant profit functions is developed. Under certain conditions on the bank 'promotional' parameter with respect to the 'fee' for a missed share package transaction and at an asymptotically large enough portfolio volume, universal transcendental equations - determining the optimal share package choice among competing strategies with monovariant and bivariant profit functions - are obtained. (author)

  19. Evolutionarily stable strategy of carbon and nitrogen investments in forest leaves and its application in vegetation dynamic modeling

    Weng, E.; Farrior, C.; Dybzinski, R.; Pacala, S. W.

    2015-12-01

    Leaf mass per area (LMA) and leaf lifespan (LL) are two highly correlated plant traits that are key to plant physiological and ecological properties. Usually, low LMA means short LL, high nitrogen (N) content per unit mass, and fast turnover rates of nutrients; high LMA leads to long LL, low N content, and slow turnover rates. Deciduous trees with low LMA and short lifespan leaves have low carbon cost but high nitrogen demand; and evergreen trees, with high LMA and long lifespan leaves, have high carbon cost but low nitrogen demand. These relationships lead to: 1) evergreen trees have higher leaf area index than deciduous trees; 2) evergreen trees' carbon use efficiency is lower than the deciduous trees' because of their thick leaves and therefore high maintenance respiration; 3) the advantage of evergreens trees brought by their extra leaves over deciduous trees diminishes with increase N in ecosystem. These facts determine who will win when trees compete with each other in a N-limited ecosystem. In this study, we formulate a mathematical model according to the relationships between LMA, LL, leaf nitrogen, and leaf building and maintenance cost, where LMA is the fundamental variable determining the other three. We analyze the evolutionarily stable strategies (ESSs) of LMA with this mathematical model by examining the benefits of carbon and nitrogen investments to leaves in ecosystems with different N. The model shows the ESS converges to low LMA at high N and high LMA at low N. At intermediate N, there are two ESSs at low and high ends of LMA, respectively. The ESS also leads to low forest productivity by outcompeting the possible high productive strategies. We design a simulation scheme in an individual-based competition model (LM3-PPA) to simulate forest dynamics as results of the competition between deciduous and evergreen trees in three different biomes, which are temperate deciduous forest, deciduous-evergreen mixed forest, and boreal evergreen forest. The

  20. Application of evolution strategy algorithm for optimization of a single-layer sound absorber

    Morteza Gholamipoor

    2014-12-01

    Full Text Available Depending on different design parameters and limitations, optimization of sound absorbers has always been a challenge in the field of acoustic engineering. Various methods of optimization have evolved in the past decades with innovative method of evolution strategy gaining more attention in the recent years. Based on their simplicity and straightforward mathematical representations, single-layer absorbers have been widely used in both engineering and industrial applications and an optimized design for these absorbers has become vital. In the present study, the method of evolution strategy algorithm is used for optimization of a single-layer absorber at both a particular frequency and an arbitrary frequency band. Results of the optimization have been compared against different methods of genetic algorithm and penalty functions which are proved to be favorable in both effectiveness and accuracy. Finally, a single-layer absorber is optimized in a desired range of frequencies that is the main goal of an industrial and engineering optimization process.