Rodríguez Aguilar, Román
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Rodríguez Aguilar, Román
Official Name
Rodríguez Aguilar, Román
Alternative Name
Rodríguez-Aguilar, Román
Rodríguez-Aguilar, R.
Aguilar, R.R.
Rodriguez-Aguiler, R.
Rodríguez, R.
Roman, R.A.
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ORCID
Scopus Author ID
56717663000
Researcher ID
AAO-6158-2020

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The mahalanobis distance between the hurst coefficient and the Alpha-Stable parameter: An early warning indicator of crises

2016 , Rodríguez Aguilar, Román , Cruz-Aké, Salvador , Venegas-Martínez, Francisco

The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case. © 2010, Academic Publications, Ltd.; https://ijpam.eu ©The authors.

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A proposed method for design of test cases for economic analysis in power systems

2015 , Marmolejo Saucedo, José Antonio , Rodríguez Aguilar, Román

Nowadays, in power systems, we still lack the existence of standardized test systems that can be used to benchmark the performance and solution quality of proposed optimization techniques. Several authors report that the electric load pattern is very complex. It is therefore necessary to develop new methods for design of test cases for economic analysis in power systems. Therefore, we compared two methods to generate test systems: time series model and a method simulating stable random variables based on the use of Chambers-Mallows-Stuck. This paper describes a method for simulating stable random variables in the generation of test systems for economic analysis in power systems. A study focused on generating test electrical systems through stable distribution to model for unit commitment problem in electrical power systems. Usually, the instances of test systems in unit commitment are generated using normal distribution, but the behavior of electrical demand does not follow a normal distribution; in this work, simulation data are based on a new method. For empirical analysis, we used three original systems to obtain the demand behavior and thermal production costs. Numerical results illustrate the applicability of the proposed method by solving several unit commitment problems directly and through the Lagrangian relaxation of the original problem. All Rights Reserved © 2015 Universidad Nacional Autónoma de México, Centro de Ciencias Aplicadas y Desarrollo Tecnológico. This is an open access item distributed under the Creative Commons CC License BY-NC-ND 4.0.

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Design of a Distribution Network Using Primal-Dual Decomposition

2016 , Marmolejo Saucedo, José Antonio , Rodríguez Aguilar, Román , Cruz-Mejía, Oliverio , Saucedo-Martínez, Jania Astrid

A method to solve the design of a distribution network for bottled drinks company is introduced. The distribution network proposed includes three stages: manufacturing centers, consolidation centers using cross-docking, and distribution centers. The problem is formulated using a mixed-integer programming model in the deterministic and single period contexts. Because the problem considers several elements in each stage, a direct solution is very complicated. For medium-to-large instances the problem falls into large scale. Based on that, a primal-dual decomposition known as cross decomposition is proposed in this paper. This approach allows exploring simultaneously the primal and dual subproblems of the original problem. A comparison of the direct solution with a mixed-integer lineal programming solver versus the cross decomposition is shown for several randomly generated instances. Results show the good performance of the method proposed.

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Technical efficiency of thermal power units through a stochastic frontier

2015 , Marmolejo Saucedo, José Antonio , Rodríguez Aguilar, Román , Cedillo-Campos, Miguel Gastón , Salazar-Martínez, María Soledad

This work presents a model to obtain a stochastic frontier production function of a Mexican power generation company. The stochastic frontier allows us to evaluate the technical efficiency of an energy producer according of the level of inputs. Electricity generation based on thermal generation is highly expensive due to operational inefficiency of thermal power plants. At the moment, in Mexico, technical efficiency of thermal power units has not been studied for the national electricity system. Therefore, in order to know the productivity levels of thermal generation, an empirical application of the stochastic frontier model is obtained using a panel data of thermoelectric units from the Mexican electricity system for the 2009-2013. © The author; licensee Universidad Nacional de Colombia

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El coeficiente de Hurst y el parámetro α-estable para el análisis de series financieras Aplicación al mercado cambiario mexicano

2014 , Rodríguez Aguilar, Román

Este trabajo aborda la utilidad de estimar, previo a cualquieranálisis, el parámetro de la distribución -estable y el coeficientede Hurst para una serie financiera en periodos de altavolatilidad. Mediante la estimación del coeficiente de Hurst yel parámetro se busca explorar la violación de dos grandessupuestos en la modelación de series financieras: suponer quelas series presentan una distribución normal y que los rendimientossucesivos son independientes; asimismo, se analiza elcaso del tipo de cambio Fix peso-dólar en México en el periodo1992-2011. Uno de los principales resultados es la identificaciónde características fractales y colas pesadas en la seriepara algunos periodos en magnitudes diferenciadas; dichasdiferencias se acentúan en periodos de crisis. Caracterizar laserie mediante estos parámetros a través de un índice permitirámejorar la toma de decisiones sobre el tipo de análisis que esmetodológicamente correcto aplicar en una ventana de tiempoespecífica, ya sea para valuación de activos o para la gestiónde riesgos. ©2012 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración © El autor.

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Short-term generation planning by primal and dual decomposition techniques

2015 , Marmolejo Saucedo, José Antonio , Rodríguez Aguilar, Román

This paper addresses the short-term generation planning (STGP) through thermoelectric units. The mathematical model is presented as a Mixed Integer Non Linear Problem (MINLP). Several works on the state of art of the problem have revealed that the computational effort of this problem grows exponentially with the number of time periods and number of thermoelectric units. Therefore, we present two alternatives to solve a STGP based on Benders’ partitioning algorithm and Lagrangian relaxation in order to reduce the computational effort. The proposal is to apply primal and dual decomposition techniques, which exploit the structure of the problem to reduce solution time by decomposing the STGP into a master problem and a subproblem. For Benders’ algorithm, the master problem is a Mixed Integer Problem (MIP) and for the subproblem, it is a Non Linear Problem (NLP). For Lagrangian relaxation, the master problem and the subproblem are MINLP. The computational experiments show the performance of both decomposition techniques applied to the STGP. These techniques allow us to save computation time when compared to some high performance commercial solvers. ©Universidad Nacional de Colombia: Facultad de Minas, Los autores.

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Fat Tail Model for Simulating Test Systems in Multiperiod Unit Commitment

2015 , Marmolejo Saucedo, José Antonio , Rodríguez Aguilar, Román

This paper describes the use of Chambers-Mallows-Stuck method for simulating stable random variables in the generation of test systems for economic analysis in power systems. A study that focused on generating test electrical systems through fat tail model for unit commitment problem in electrical power systems is presented. Usually, the instances of test systems in Unit Commitment are generated using normal distribution, but in this work, simulations data are based on a new method. For simulating, we used three original systems to obtain the demand behavior and thermal production costs. The estimation of stable parameters for the simulation of stable random variables was based on three generally accepted methods: (a) regression, (b) quantiles, and (c) maximum likelihood, choosing one that has the best fit of the tails of the distribution. Numerical results illustrate the applicability of the proposed method by solving several unit commitment problems.

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