EPSRC logo

Details of Grant 

EPSRC Reference: GR/T02560/01
Title: Computational Systems Engineering - Worse-case Analysis and Parametric/Stochastic Programming
Principal Investigator: Rustem, Professor B
Other Investigators:
Pistikopoulos, Professor E
Researcher Co-Investigators:
Dr S Zakovic
Project Partners:
Air Products and Chemicals BP Deloitte & Touche
Goethe University of Frankfurt am Main
Department: Process Systems Engineering (IRC)
Organisation: Imperial College London
Scheme: Standard Research (Pre-FEC)
Starts: 15 October 2004 Ends: 14 April 2008 Value (£): 419,439
EPSRC Research Topic Classifications:
Mathematical Aspects of OR Parallel Computing
EPSRC Industrial Sector Classifications:
Aerospace, Defence and Marine Chemicals
Financial Services Information Technologies
Related Grants:
Panel History:  
Summary on Grant Application Form
The present proposal is intended to address novel computational methods for design, operation and analysis of engineering-economic-financial systems involving uncertainty and risk. Worst-case robustness is one issue where the best design is considered in view of worst-case uncertainties and worst-case scenarios. This is essentially a combination of min-max and parametric programming. Nonlinear mean-variance optimisation is another concern since the robustness of worst-case design needs to be evaluated in view of the benefits of expected value optimisation. In a sense the price to be paid for the insurance of robust design needs to be properly assessed. We believe this to be an important issue and this is the first proposal to analyse this important issue. Other issues are the use of higher order moments in nonlinear stochastic systems and the imprecise nature of their forecasts. An important tool to address this inherent difficulty is worst-case analysis, to be realised using nonlinear min-max algorithms.
Key Findings
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Potential use in non-academic contexts
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Impacts
Description This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Summary
Date Materialised
Sectors submitted by the Researcher
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Project URL:  
Further Information:  
Organisation Website: http://www.imperial.ac.uk