Real Options using Markov Chains: an application to Production Capacity Decisions

In this work we address investment decisions using real options. A standard numerical approach for valuing real options is dynamic programming. The basic idea is to establish a discrete-valued lattice of possible future values of the underlying stochastic variable (demand in our case). For most approaches in the literature, the stochastic variable is assumed normally distributed and then approximated by a binomial distribution, resulting in a binomial lattice. In this work, we investigate the use of a sparse Markov chain to model such variable. The Markov approach is expected to perform better since it does not assume any type of distribution for the demand variation, the probability of a variation on the demand value is dependent on the current demand value and thus, no longer constant, and it generalizes the binomial lattice since the latter can be modelled as a Markov chain. We developed a stochastic dynamic programming model that has been implemented both on binomial and Markov models. A numerical example of a production capacity choice problem has been solved and the results obtained show that the investment decisions are different and, as expected the Markov chain approach leads to a better investment policy.Flexible Capacity Investments, Real Options, Markov Chains, Dynamic Programming

Assessment and forecast of the culvert’s performance within a road infrastructure management system. Literature review

During the 21st century, within road infrastructure management there is a strong enforcement on preserving assets and prevent roadway collapses. As a result, public agencies have to implement periodic inspections and asset condition assessments. As pavements and bridges also culverts management play a special role in roadway safety, because they prevent roadbed erosion. The scope of this investigation is the assessment and forecast of culverts performance regarding rating condition and network reliability forecast. In addition, it intends to analyze hazards influence in the culvert serviceability, modelling the hazards actions on the infrastructure. In this paper, is performed the literature review of studies done during the past decade comparing advantages and limitations. Five main subjects are identified in the development of a culvert management system, since the inventory and inspection framework, to forecasting models and risk assessment. Moreover, it will determine the correlation between subjects and will find gaps for improvement.(undefined

Thermal modification of most representative Portuguese wood species. A preliminary study

The thermal modification has proved to be an effective method to improve the durability of wood elements. Until now, most applications of thermally modified wood have been limited to non-structural applications since the wood’s heat treatment leads to a significant reduction in mechanical performances. However, there is no knowledge about these treatments applied on the wood species more used in Portuguese constructions. In order to evaluate the effect of heat treatment on the wood species of Maritime pine (Pinus pinaster), Eucalyptus (Eucalyptus globulus), Beech (Fagus sylvatica), Acacia (Acacia melanoxylon) and Oak (Quercus faginea), an experimental program consisted of mechanical bending tests and dimensional stability tests (shrinkage, swelling and equilibrium moisture content) was defined. For comparison purposes, all tests were made with test specimens of non-modified and thermally modified wood using four temperature values (200ºC, 240ºC, 260ºC and 300ºC) and three exposed periods (2, 4 and 8 hours). The obtained results show that the behaviour of the studied experimented species was similar to the one of other species already studied in the available literature. It was possible to point out that mechanical properties decrease with the severity of the thermal treatment, while the dimensional stability improved.The support given by Portuguese industry Santos & Santos through the supply of the wood specimens used in the experimental campaign is acknowledged

Predictors of Poststroke Depression: a Retrospective Study in a Rehabilitation Unit

INTRODUÇÃO/OBJECTIVOS: O Acidente Vascular Cerebral (AVC) pode limitar de forma importante a funcionalidade. As complicações psiquiátricas têm sido identificadas como factores determinantes na reabilitação pós-AVC, sendo a Depressão a complicação psiquiátrica mais frequente e a que está associada a pior prognóstico. Subsiste ainda incerteza quanto à sua etiologia e factores de risco. Na revisão sistemática mais recente, reconhecem-se como factores preditivos a gravidade do AVC, o grau de incapacidade do doente e o défice cognitivo. Questões metodológicas impediram a determinação de outros factores. Assim, urge definir novos factores que facilitem um diagnóstico atempado, que possa diminuir os efeitos negativos sobre o processo de reabilitação. Objectivos: determinação da incidência da Depressão de novo pós-AVC (DPA) e o estudo das variáveis descritas na literatura como possíveis factores preditivos de DPA: sexo, idade, tipo de AVC, lateralidade, território vascular e presença de afasia. Foi definido como endpoint secundário o estudo do tipo de afasia. MATERIAIS E MÉTODOS: Estudo longitudinal retrospectivo, envolvendo todos os doentes admitidos no internamento de um Serviço de MFR com o diagnóstico de AVC de novo, entre 1-1-2009 e 31-12-2009. Foram colhidos elementos demográficos e clínicos dos processos clínicos, num total de 74 doentes. Critérios de exclusão: ‘AVC prévio’, ‘Doença psiquiátrica com perturbação do humor prévia’ e ‘Medicação antidepressiva à data do AVC’. Para o tratamento estatístico usou-se o SPSS 11.5. RESULTADOS: A incidência da DPA observada foi de 44,6%. Dos possíveis factores preditivos testados, apenas a presença de afasia apresentou uma relação estatisticamente significativa com a depressão (p=0.02). Não se encontrou relação com o tipo de afasia. Os restantes factores preditivos testados não mostraram correlação estatística significativa. Parece existir uma relação entre o sexo masculino e a DPA (p=0.07), que não atingiu significância no tamanho da amostra conseguido (n). CONCLUSÕES: Este estudo estabelece a afasia como factor preditivo da DPA. A elevada incidência de DPA nesta população particular concorda com os estudos existentes, sendo necessário outro tipo de estudo que permita justificar o valor encontrado. São necessários mais estudos não só para aumentar o conhecimento dos factores de risco para a DPA, como para melhorar os resultados dos programas de reabilitação

Wood dimensional changes as consequences of its hygroscopic behavior

Wood has a strong hygroscopic behavior, with a huge variation of moisture content and dimension stability caused by modifications of the relative humidity and temperature of the surrounding air. This moisture relationship has an important influence on wood properties and performance. Many of the challenges of using wood as an engineering material arise from changes in moisture content or an abundance of moisture within the wood. Wood is dimensionally stable when moisture content is greater than the fiber saturation point (MCfs). Below MCfs wood changes dimension as it gains moisture (swells) or loses moisture (shrinks), because volume of the cell wall depends on the amount of bound water. With respect to dimensional stability, wood is an anisotropic material. It shrinks (or swells) most in the direction of the annual growth rings (tangentially), about half as much across the rings (radially), and only slightly along the grain (longitudinally). In this work, an experimental program was defined with the aim to evaluate the dimensional stability of three coniferous wood species: maritime pine (Pinus pinaster), scots pine (Pinus sylvestris) and spruce (Picea abies). Comparing the wood species, it is the Spruce (A) that presents higher dimensional changes, while it is the Maritime pine (P) that is more stable under moisture content variation. Tests results allow to conclude that the most important dimensional variation occurs in the first 24 hours

Fatores associados à atividade física na população portuguesa

OBJECTIVE: To evaluate the association between demographic, social and behavior characteristics and different types of physical activity. METHODS: A total of 37.692 subjects of a representative sample of the Portuguese population were studied as part of the National Health Survey in 1998 and 1999. Most were females (53.1%) aged >;20 years. Daily physical activity was self-reported based on a questionnaire and discriminated in different types: total physical activity, leisure-time and exercise. Each type of physical activity was dichotomized into low (light/moderate) and high intensity (heavy/very heavy). Odds ratios (OR) and 95% confidence intervals were estimated using unconditional logistic regression. RESULTS: In both men and women, a significant inverse association between age and different types of physical activity and between obesity and leisure time physical activity and exercise was seen. A positive association was found between education (OBJETIVO: Avaliar como as características demográficas, sociais e comportamentais se associam a diferentes tipos de atividade física. MÉTODOS: Avaliaram-se 37.692 indivíduos de amostra representativa da população portuguesa, no âmbito do Inquérito Nacional de Saúde, 1998-99. A maioria era constituída por mulheres (53,1%) e idade 20 anos. A avaliação da atividade física diária foi baseada em questionário e classificada como: total, de lazer e exercício. Cada tipo foi dicotomizado em baixa intensidade (atividades leves/moderadas) e alta intensidade (atividades pesadas/muito pesadas). Calcularam-se odds ratios (OR) e respectivos intervalos de confiança de 95% por regressão logística não condicional. RESULTADOS: Em ambos os sexos, verificou-se associação inversa significativa entre idade e diferentes tipos de atividade física, e entre a obesidade e a atividade de lazer e exercício. A escolaridade

Fatores associados à atividade física na população portuguesa

OBJECTIVE: To evaluate the association between demographic, social and behavior characteristics and different types of physical activity. METHODS: A total of 37.692 subjects of a representative sample of the Portuguese population were studied as part of the National Health Survey in 1998 and 1999. Most were females (53.1%) aged >;20 years. Daily physical activity was self-reported based on a questionnaire and discriminated in different types: total physical activity, leisure-time and exercise. Each type of physical activity was dichotomized into low (light/moderate) and high intensity (heavy/very heavy). Odds ratios (OR) and 95% confidence intervals were estimated using unconditional logistic regression. RESULTS: In both men and women, a significant inverse association between age and different types of physical activity and between obesity and leisure time physical activity and exercise was seen. A positive association was found between education (OBJETIVO: Avaliar como as características demográficas, sociais e comportamentais se associam a diferentes tipos de atividade física. MÉTODOS: Avaliaram-se 37.692 indivíduos de amostra representativa da população portuguesa, no âmbito do Inquérito Nacional de Saúde, 1998-99. A maioria era constituída por mulheres (53,1%) e idade 20 anos. A avaliação da atividade física diária foi baseada em questionário e classificada como: total, de lazer e exercício. Cada tipo foi dicotomizado em baixa intensidade (atividades leves/moderadas) e alta intensidade (atividades pesadas/muito pesadas). Calcularam-se odds ratios (OR) e respectivos intervalos de confiança de 95% por regressão logística não condicional. RESULTADOS: Em ambos os sexos, verificou-se associação inversa significativa entre idade e diferentes tipos de atividade física, e entre a obesidade e a atividade de lazer e exercício. A escolaridade

Assessing the life cycle of existing maritime structures – application to a harbour bridge in Porto port

Since the construction industry is the one that bears most expenses, both in financial and environmental terms, it is of the upmost importance that these expenses originate a product with a long term exploitation, so as to mitigate them. Having this problem in consideration, in this paper the bridge located in the north of Portugal, near Porto, in the oil tanker terminal at the Leixões port was studied. This structure is located in one of the most aggressive environments for concrete structures, a maritime zone. The most accepted durability models in the country, related to deterioration induced by sea chlorides penetration, were then implemented. Thereby, it was possible to identify which model better reflects reality, since the structure in analysis is now at the end of its lifetime, after 50 years of service and shows advanced degradation due to chloride attack. In the context of this work, the structure and the test methods relevant to the theme being studied were described by inspection reports and in situ test results, made available by the Douro and Viana do Castelo Port Authority. From this data it was possible to study the structure deterioration by introducing them into durability models. These models range from prescriptive to performance based approaches, being possible to identify, from the later ones, a deterministic model, based on the Model Code 2010, a semi-probabilistic based on the E465 specification from the Portuguese National Laboratory for Civil Engineering (LNEC) and two probabilistic models, based on the same standards, for which a computer code was developed during this work. Through these deterioration prediction tools, different project scenarios were established, originating a list of minimal concrete covers to ensure 100 years of lifetime to a structure built in the studied exposure zone.(undefined)info:eu-repo/semantics/publishedVersio

Effect of biomass fly ash on fresh and hardened properties of high volume fly ash mortars

The objective of this work was to assess the use of biomass fly ash (BFA) as cement replacement material or as an alkalinity source in high volume fly ash mortar and concrete. Mortar formulations were prepared with different types of cement replacement: fly ash from thermal power plants, BFA, a blend of two pozzolans, and small amounts of BFA or/and hydrated lime (HL). Mortar formulations were tested both in the fresh and hardened state. The replacement of cement by the two fly ashes led to a decrease in the mechanical strength. The best strength values were obtained when higher HL content was introduced in mortars, however, mortars with the lower BFA content presented the best results for the majority of the tests. In general, BFA has a similar effect on cementitious mortars to coal fly ash, having good performance as cement replacement.Portuguese Foundation for Science and Technology (FCT)and the Eco-Construction and Rehabilitation Doctoral Program for supporting the PhD scholarship(reference PD/BD/52661/2014). This work was partly financed by FCT/MCTES through nationalfunds (PIDDAC) under the R&D Unit Institute for Sustainability and Innovation in StructuralEngineering (ISISE), under reference UIDB/04029/202

Low cost high performance concrete using low quality fly ash

High performance concretes (HPC) usually have been produced using silica fume, high quality fly ash and carefully chosen aggregates. These constituents increase drastically the initial cost of HPCs. The objectives of this research work were twofold. On one hand, it intended to study the possibility of producing low cost HPC, with 28 day strengths in the range of 65 MPa, using low quality fly ash and locally available crushed aggregates. On the other hand, to verify the impact of carbon content of fly ash on the strength and durability of HPC. For this purpose it was decided to enhance the ‘as received’ fly ash by eliminating particles coarser than 75m, thus reducing the carbon content by 50%. Compressive strength and diffusion coefficient of concretes replacing 0, 20%, 40%, and 60% of Portland cement by ‘as received’ fly ash, and 20% and 40% replacement by ‘enhanced’ fly ash, were determined. Comparing the results obtained, it was found that HPC with up to 65 MPa can be made by replacing up to 40% of cement by ‘as received’ and ‘enhanced’ fly ash and using the crushed granite aggregates. It was also observed that the carbon content did have little impact on the strength and durability of concrete. Furthermore, it was observed that the durability of concrete, as measured by diffusion coefficient, increased drastically when fly ash replaced partially Portland cement