| EPSRC Reference: |
GR/K79277/01 |
| Title: |
PARALLEL SIMULATION OF PORTFOLIO PERFORMANCE WITH HEURISTICS |
| Principal Investigator: |
Liddell, Professor H |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
London Parallel Applications Centre |
| Organisation: |
Queen Mary University of London |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
15 January 1996 |
Ends: |
14 July 1998 |
Value (£): |
208,563
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| EPSRC Industrial Sector Classifications: |
| Financial Services |
Information Technologies |
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Summary on Grant Application Form |
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This project aims to design and implement a novel system that simulates the performances of a managed portfolio over 10-15 years on a global scale. At every time step a non-linear, sparse mixed integer programming (MIP) problem must be solved. The system will allow fund managers to specify heuristics interactively. These will be incorporated into the optimisation through the modification of the objective function. The addition or deletion of constraints and the usage of integer or boolean variables. Users must be able to explore the results, and post-processing and visualisation will be investigated. The system will be implemented on a central HPC server in HFF and distributed clients.The result is a system enhancing the competitiveness of UK food management, adding valuable and generally useful routine to the NAG and LPAC libraries. It will also enhance the knowledge of the practical application of MIP, and its implementation on HPC distributed systems.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
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| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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