| EPSRC Reference: |
GR/T02560/01 |
| Title: |
Computational Systems Engineering - Worse-case Analysis and Parametric/Stochastic Programming |
| Principal Investigator: |
Rustem, Professor B |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| 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
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| EPSRC Research Topic Classifications: |
| Mathematical Aspects of OR |
Parallel Computing |
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| EPSRC Industrial Sector Classifications: |
| Aerospace, Defence and Marine |
Chemicals |
| Financial Services |
Information Technologies |
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| Related Grants: |
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| Panel History: |
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Summary on Grant Application Form |
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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.
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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 |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| 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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| Further Information: |
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| Organisation Website: |
http://www.imperial.ac.uk |