Details of Grant 

EPSRC Reference:	GR/M16016/01
Title:	DEVELOPMENT OF PARALLEL WORST-CASE DESIGN ALGORITHMS FOR RISK MANAGEMENT
Principal Investigator:	Rustem, Professor B
Other Investigators:	Pantelides, Professor CC Darlington, Professor J
Researcher Co-Investigators:
Project Partners:	Imperial College London
Department:	Computing
Organisation:	Imperial College London
Scheme:	Standard Research (Pre-FEC)
Starts:	30 March 1999	Ends:	29 July 2002	Value (£):	260,542
EPSRC Research Topic Classifications:	Design of Process systems Parallel Computing
EPSRC Industrial Sector Classifications:	Aerospace, Defence and Marine Chemicals Information Technologies
Related Grants:
Panel History:
Summary on Grant Application Form
The proposed project is for the development, extension, analysis and application of algorithms for risk management/min-max. These allow the formulation of decisions under uncertainty through worst-case analysis. Uncertainty is viewed in terms of scenarios. Worst-case design, or min-max, provides the best guaranteed optimum value which is noninferior: performance will improve if any scenario, other than the worst-case, happens. Even in a statistical framework, the optimisation of expected value performance needs to be justified in view of the worst-case scenario. The scenarios may be discrete (e.g. two or more rival values purporting to represent the same effect). Alternatively, the scenarios may be continuous (e.g. all possible values of some parameters between upper and lower bounds).Two basic algorithms will be considered. The discrete min-max algorithm, for discrete scenarios, will be parallelised and applied to large-scale problems. Work on the continuous min-max algorithm will be in the constrained versions; interior point algorithms; global optima and parallelisation. An interactive framework will be considered for the complex algorithm-application-model software.The project will involve significant multidisciplinary collaboration between computer science, operations research and process systems engineering. The main application considered will be the design of safe chemical processes with guaranteed optimal worst-case performance.
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Further Information:
Organisation Website:	http://www.imperial.ac.uk