1,456 research outputs found

    Research update, Spring 2018

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    Welcome.- Features.- Publications.- Events.- People.- Announcement

    Will the proposed regulatory reforms by the Basel com

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    У статті вивчаються перспективи реалізації Базельських рекомендацій (Базель ІІІ) на прикладі економік Єгипту та України. Зроблено висновок, що країни мають різні перспективи у цьому напряму. Значно кращі перспективи має Єгипет за причини більш стабільного розвитку банківської системи, діяльність якої до кризи у меньшому ступені залежала від зовнішніх запозичень.Стаття розглядалася у рамках другої онлайн конференції "Корпоративне управління та регулювання в банках", ДВНЗ "УАБС НБУ", 2-4 лютого 2011 р.The aim of this research is to assess the efficacy of the prospective reforms proposed by the Basel Committee on emerging market economies. Egypt and Ukraine are selected as comparative case studies representing middle-income developing nations and transition economies that have shown diverse reactions to the global crisis. Using a small-scale DSGE model, the projected changes to capital adequacy measures, minimum liquidity requirements and Corporate Governance are tested on a set of macroeconomic outputs: GDP growth, employment, inflation and interest rates over the period of 2000:01-2010:03. The results reveal that the DSGE model is an inaccurate forecasting tool for both nations. Also, the impacts of the proposed regulatory reforms are quite detrimental for Ukraine, but better weathered by the Egyptian economy, implying that emerging nations that were well geared up through meeting requirements of Basel II will show more resilience to the costliness of future reforms.Видавнича компанія "Віртус Інтерпрес", м. Сум

    The New Basel Capital Accord and Questions for Research

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    The New Basel Accord for bank capital regulation is designed to better align regulatory capital to the underlying risks by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an overview of the objectives, analytical foundations and main features of the Accord and then open the door to some research questions provoked by the Accord. We see these questions falling into three groups: what is the impact of the proposal on the global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank’s risk profile; issues brought about by Pillar 2 (supervisory review) and Pillar 3 (public disclosure).Bank capital regulation, risk management, credit risk, operational risk

    Short and long-term wind turbine power output prediction

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    In the wind energy industry, it is of great importance to develop models that accurately forecast the power output of a wind turbine, as such predictions are used for wind farm location assessment or power pricing and bidding, monitoring, and preventive maintenance. As a first step, and following the guidelines of the existing literature, we use the supervisory control and data acquisition (SCADA) data to model the wind turbine power curve (WTPC). We explore various parametric and non-parametric approaches for the modeling of the WTPC, such as parametric logistic functions, and non-parametric piecewise linear, polynomial, or cubic spline interpolation functions. We demonstrate that all aforementioned classes of models are rich enough (with respect to their relative complexity) to accurately model the WTPC, as their mean squared error (MSE) is close to the MSE lower bound calculated from the historical data. We further enhance the accuracy of our proposed model, by incorporating additional environmental factors that affect the power output, such as the ambient temperature, and the wind direction. However, all aforementioned models, when it comes to forecasting, seem to have an intrinsic limitation, due to their inability to capture the inherent auto-correlation of the data. To avoid this conundrum, we show that adding a properly scaled ARMA modeling layer increases short-term prediction performance, while keeping the long-term prediction capability of the model

    Development of robust building energy demand-side control strategy under uncertainty

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    The potential of carbon emission regulations applied to an individual building will encourage building owners to purchase utility-provided green power or to employ onsite renewable energy generation. As both cases are based on intermittent renewable energy sources, demand side control is a fundamental precondition for maximizing the effectiveness of using renewable energy sources. Such control leads to a reduction in peak demand and/or in energy demand variability, therefore, such reduction in the demand profile eventually enhances the efficiency of an erratic supply of renewable energy. The combined operation of active thermal energy storage and passive building thermal mass has shown substantial improvement in demand-side control performance when compared to current state-of-the-art demand-side control measures. Specifically, "model-based" optimal control for this operation has the potential to significantly increase performance and bring economic advantages. However, due to the uncertainty in certain operating conditions in the field its control effectiveness could be diminished and/or seriously damaged, which results in poor performance. This dissertation pursues improvements of current demand-side controls under uncertainty by proposing a robust supervisory demand-side control strategy that is designed to be immune from uncertainty and perform consistently under uncertain conditions. Uniqueness and superiority of the proposed robust demand-side controls are found as below: a. It is developed based on fundamental studies about uncertainty and a systematic approach to uncertainty analysis. b. It reduces variability of performance under varied conditions, and thus avoids the worst case scenario. c. It is reactive in cases of critical "discrepancies" observed caused by the unpredictable uncertainty that typically scenario uncertainty imposes, and thus it increases control efficiency. This is obtainable by means of i) multi-source composition of weather forecasts including both historical archive and online sources and ii) adaptive Multiple model-based controls (MMC) to mitigate detrimental impacts of varying scenario uncertainties. The proposed robust demand-side control strategy verifies its outstanding demand-side control performance in varied and non-indigenous conditions compared to the existing control strategies including deterministic optimal controls. This result reemphasizes importance of the demand-side control for a building in the global carbon economy. It also demonstrates a capability of risk management of the proposed robust demand-side controls in highly uncertain situations, which eventually attains the maximum benefit in both theoretical and practical perspectives.Ph.D.Committee Chair: Augenbroe, Gofried; Committee Member: Brown, Jason; Committee Member: Jeter, Sheldon; Committee Member: Paredis,Christiaan; Committee Member: Sastry, Chellur

    Multiple-Model Adaptive Control With Set-Valued Observers

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    This paper proposes a multiple-model adaptive control methodology, using set-valued observers (MMAC-SVO) for the identification subsystem, that is able to provide robust stability and performance guarantees for the closed-loop, when the plant, which can be open-loop stable or unstable, has significant parametric uncertainty. We illustrate, with an example, how set-valued observers (SVOs) can be used to select regions of uncertainty for the parameters of the plant. We also discuss some of the most problematic computational shortcomings and numerical issues that arise from the use of this kind of robust estimation methods. The behavior of the proposed control algorithm is demonstrated in simulation.Comment: Combined 48th IEEE Conference on Decision and Control and 28th Chinese Control Conference, 200

    Model Predictive Control (MPC) for Enhancing Building and HVAC System Energy Efficiency: Problem Formulation, Applications and Opportunities

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    In the last few years, the application of Model Predictive Control (MPC) for energy management in buildings has received significant attention from the research community. MPC is becoming more and more viable because of the increase in computational power of building automation systems and the availability of a significant amount of monitored building data. MPC has found successful implementation in building thermal regulation, fully exploiting the potential of building thermal mass. Moreover, MPC has been positively applied to active energy storage systems, as well as to the optimal management of on-site renewable energy sources. MPC also opens up several opportunities for enhancing energy efficiency in the operation of Heating Ventilation and Air Conditioning (HVAC) systems because of its ability to consider constraints, prediction of disturbances and multiple conflicting objectives, such as indoor thermal comfort and building energy demand. Despite the application of MPC algorithms in building control has been thoroughly investigated in various works, a unified framework that fully describes and formulates the implementation is still lacking. Firstly, this work introduces a common dictionary and taxonomy that gives a common ground to all the engineering disciplines involved in building design and control. Secondly the main scope of this paper is to define the MPC formulation framework and critically discuss the outcomes of different existing MPC algorithms for building and HVAC system management. The potential benefits of the application of MPC in improving energy efficiency in buildings were highlighted
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