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Optimisation technologies have become key tools in making important business decisions that increase competitive advantage. Optimisation, through the use of advanced mathematics and computer science techniques, is used to assist organisations with solving their complex business problems in areas such as manufacturing, distribution, finance and scheduling. The success of optimisation projects depends on many different factors such as which modelling tools are used, integration with corporate data and the selection of the most efficient solution algorithms available for the problem. The purpose of this optimisation workshop is to provide participants with an insightful overview and give step-by-step instructions for successfully building optimisation applications.

In this workshop, our instructors, who all have years of experience in this field, will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL/AMPL Studio Modelling System, CPLEX and FortMP. The purpose of the workshop is to show how optimisation models, relational data and optimisation algorithms can be brought together in one cohesive business application.

This workshop is an advanced course designed to allow individuals with various levels of optimisation knowledge to attend. Some previous exposure to optimisation is helpful.

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At the end of the workshop, the participants will be able to develop their own optimisation models, link them to data sources and solve the models using state-of-the-art commercial solvers. Participants will also acquire a good knowledge on how to embed optimisation models into applications.

By attending this workshop you will be able to:
• Build your own optimisation applications.
• Identify the best use of optimisation techniques and how to deploy them for your purposes.
• Gain an insightful and realistic view on the use of optimisation for business applications.
• Prepare and consolidate data from disparate sources for optimisation applications.
• Identify solving and fine-tuning requirements in your optimisation applications.

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This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, DSS application developers, and academics. Everyone can benefit from a clear presentation of optimisation and how it is applied to solve business problems.

• OR Professionals: This workshop series will help you to get up-to-date on the latest methodologies and receive exposure to the wide range of technologies and soft-ware now available in the field of optimisation.
• Quantitative Analysts / Risk Analysts: These workshop series gives you an overview of the wide range of the technologies available allowing you to define and conceptualise your business problem in terms of an optimisation problem.
• Software Developers/IT: This workshop series provides instruction on how to embed optimisation models into software applications. It will also give you all the necessary information and techniques in order to understand optimisation modelling and data modelling integration.
• Academics and Students: Take advantage of our special academic prices to view optimisation from a business perspective, as well as receive hands-on experience with leading optimisation software.

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Day 1

TIME	TOPIC	Presenter
9.00	REGISTRATION AND COFFEE
9.15	Ice Breaker session
9.30	Introduction and Overview
9.40	Introduction to LP Terminology, model representation and mathematical models	Gautam Mitra
10.30	COFFEE BREAK
11.00	An Introduction to Modelling via AMPL Studio Participants will learn how to use various functionalities of AMPL Studio	Christian Valente
11.30	An Introduction to AMPL Syntax A formal presentation of basic AMPL modelling constructs	Christian Valente
12.00	Efficient/Structured Modelling A process to create an efficient model starting from the problem is presented	Gautam Mitra
12.30	Goal programming/Elastic Constraints Presentation of an introductory financial model that includes goal programming	Katharina Schwaiger
13.15	LUNCH
14.15	Using EXCEL as data source for AMPL How to connect an AMPL model to Excel	Christian Valente
14.45	Workshop (I) Financial Model Participants investigate, formulate and solve an introductory financial model using AMPL	Cormac Lucas, Katharina Schwaiger, Christian Valente
15.15	TEA BREAK
15.30	Hands-on models partial description: bond stripping, portfolio, ALM, supply chain The models for the hands-on sessions will be described and hints for their implementation will be given	Cormac Lucas, Katharina Schwaiger, Christian Valente
16.00	Hands-On Session The attendees should form groups and implement one of the models presented in the previous session	Cormac Lucas, Katharina Schwaiger, Christian Valente
17.00	Discussion and Feedback

Day 2

TIME	TOPIC	Presenter
9.00	COFFEE
9.30	Mixed Integer Programming Problems Integer problems involving binary variables, semi-continuous variables and special ordered set variables are introduced. A few discrete programming problems are explained	Gautam Mitra
10.30	COFFEE BREAK
11.00	Case study: IP with buying threshold An IP model with semi-continuous variables is introduced	Cormac Lucas
11.45	An Introduction to AMPL scripting functionalities Introduction to AMPL’s powerful scripting functionalities	Christian Valente
12.15	Continuation of Hands-On Session The groups should continue the implementation of the chosen models and prepare brief presentations of their results	Cormac Lucas, Katharina Schwaiger, Christian Valente
13.15	LUNCH
14.15	Introducing AMPL-COM How to embed optimisation models in applications	Christian Valente
15.00	TEA BREAK
15.30	Part I: Heuristic for solving Integer Programs using AMPL Script Different kind of heuristics to speed up solution of problems are here proposed and prototyped using AMPL scripting functionalities	Cormac Lucas
16.00	Part II: AMPL-COM implementation of AMPL script procedures Examples of integration of models and scripts into applications	Christian Valente
16.30	Attendees’ Presentations and feedback The groups have ten minutes each to present the model they implemented and their results

Day 3

TIME	TOPIC	Presenter
9.00	COFFEE
9.30	Stochastic Programming: optimum decision making under uncertainty: an overview A theoretical background to decision making under uncertainty will be given, with a particular focus on Stochastic Programming	Gautam Mitra
10.30	Stochastic Programming and Risk Measures	Gautam Mitra
11.00	COFFEE BREAK
11.30	Two Stage SP: Expected value, scenario analysis and deterministic equivalent approaches Different approaches to SP using modelling languages	Katharina Schwaiger, Christian Valente
12.30	LUNCH
13.30	Hands-on: Expected Value, Wait and See and Deterministic Equivalent: an ALM model Various models will be described and attendees will be helped with their implementation in AMPL	Katharina Schwaiger, Christian Valente, Victor Zverovich
14.30	Stochastic Extensions to AMPL: SAMPL and SPInE AMPL Language extensions to represent SP, Chance Constrained, Integrated Chance Constrained and Robust Optimisation problems are presented	Christian Valente
15.15	SAMPL Example: an ALM model An ALM model will be refined by the introduction of uncertainty and expressed using SAMPL syntax	Christian Valente
15.45	TEA BREAK
16.00	Solution Methods for Stochastic Programming	Victor Zverovich
16.20	Accelerating Benders’ decomposition through regularisation	Csaba Fabian
16.40	Optimising the Conditional Value at Risk	Csaba Fabian
17.00	Discussion and Feedback

Day 4

TIME	TOPIC	Presenter
9.00	COFFEE
9.30	Stochastic Programming and Scenario Generation: A modelling perspective The role of scenario generation in SP will be illustrated	Gautam Mitra
10.00	Scenario Generation: overview and desirable properties	Gautam Mitra
10.30	COFFEE BREAK
11.00	Scenario Generation library in SPInE The functionalities of the scenario generation library in SPInE will be presented	Christian Valente
11.30	Hands-on: formulation of SP models in SAMPL Various SP models will be described and attendees will be helped in their implementation in SAMPL	Katharina Schwaiger, Christian Valente, Victor Zverovich
12.30	LUNCH
13.30	Strategic gas purchase portfolio planning for public utilities under uncertainty	Achim Koberstein
14.15	Hands-on: formulation of SP models in SAMPL Chance Constraint and Integrated Chance Constraint formulation of some models in SAMPL	Katharina Schwaiger, Christian Valente, Victor Zverovich
15.15	TEA BREAK
15.30	Integration of financial hedging instruments in optimization models for strategic production network planning under exchange rate and demand uncertainty in the automotive industry	Achim Koberstein, Marc Naumann
16.00	Hands-on: formulation of SP models in SAMPL Various SP models will be described and attendees will be helped in their implementation in SAMPL	Katharina Schwaiger, Christian Valente, Victor Zverovich
17.00	Discussion and Feedback

Day 5

TIME	TOPIC	Presenter
9.00	REGISTRATION AND COFFEE
9.30	Introduction and overview	Gautam Mitra
9.45	Formulation of Quadratic Programming problems and Mean Variance efficient frontier	Gautam Mitra
10.15	Hands-on: computation of mean variance efficient frontier	Gautam Mitra Diana Roman
10.45	Hands-on: representation of discrete constraints in portfolio planning	Gautam Mitra
11.15	COFFEE BREAK
11.45	Portfolio construction using stochastic dominance and reference distribution	Diana Roman
12.30	LUNCH
13.30	Mean variance and CVAR: a multi-objective model	Gautam Mitra
14.15	Hands-on: mean variance and CVaR model	Gautam Mitra Diana Roman
14.45	Indexation and enhanced indexation models for portfolio planning	John Beasley
15.30	Discussion and Feedback

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Professor Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India. Many of the research results of CARISMA are exploited through these companies.

Dr. Cormac Lucas has extensive knowledge of Mathematical programming modelling, Pre-analysis and reduction techniques in linear programs and representation of logical expressions as MIPs.  Dr Lucas has a PhD and BSc degree from Brunel University. He has held academic positions at CARISMA, Brunel University, London. Dr Lucas has published extensively in the area of optimisation modelling. He has led a number of industry projects on scheduling and decision support.

Dr. Katharina Schwaiger is a KTP Post-Doc Associate at OptiRisk Systems. She received her PhD in Operational Research on the topic of "Asset and Liability Management under Uncertainty: Models for Decision Making and Evaluation" from CARISMA (Centre for the Analysis of Risk and Optimisation Modelling Applications) in 2009. Prior to this she gained a First Class BSc in Financial Mathematics from Brunel University. Her work experience includes internships in Applied Research, Equities and Asset Management at Metzler Investments and Metzler Asset Management Frankfurt, Germany, sponsored research on the topic Liability Driven Investment at Insight Investments, London and an EPSRC funded research internship at ACE Ltd, London.

Dr. Christian Valente joined OptiRisk in 2005 as software engineer, coming from the field of Artificial Intelligence. He has participated in the development and maintenance of many of the company’s products. Along with Dr Lucas he is main responsible in holding workshops and training sessions, and he is the main technological advisor for external projects. He is the main designer and developer of SPInE, the OptiRisk modeling system for Stochastic Programming.
He has completed his PhD in Mathematics at Brunel University, and his main research interests are Stochastic Programming and parallel computing. He has a first class degree in Computer Science from Politecnico di Milano, Milan, Italy and an MSc equivalent in Artificial Intelligence from the same institution. He holds a ISEB Foundation certificate in software Testing.
Dr Valente speaks fluent Italian and English and has a good knowledge of German.

Mr. Victor Zverovich graduated from Belarusian State University in 2003 with a first class honours degree (diploma with distinction) in Mathematics. He has several years of software development experience in large projects in areas of natural language processing and IT service analysis.
He is also currently completing a PhD at CARISMA, Brunel University. His current research interests include stochastic programming from the perspective of solution algorithms and modelling languages.
His computing skills include:
(i) Optimisation Modelling and Solvers: AMPL, FortMP;
(ii) Programming Languages: C, C++, C#.
Mr Zverovich speaks Russian and English.

Dr. Diana Roman has a PhD in Models for Choice under Risk, from the School of Information Systems, Computing and Mathematics, Brunel University, UK; MSc in Applied Statistics and Optimisation, and BSc in Mathematics, from University of Bucharest, Romania.
Dr Roman is now a faculty member of CARISMA, a lecturer in the school of The School of Information Systems, Computing & Mathematics at Brunel University.
Formerly she was a software developer at OptiRisk Systems (KTP associate in a partnership between OptiRisk systems and Brunel University), tasked with designing a software library of scenario generators to be integrated within the SPInE system.
Her work experience comprises several years as a teaching assistant in the Department of Mathematics, Technical University of Civil Engineering, Bucharest. Her research interests include Risk decisions in finance (portfolio optimisation), financial risk measurement and modelling, scenario generation, stochastic programming. Dr Roman speaks Romanian and English.

Dr. Csaba Fabian has 15 years' experience in optimisation and decision support modelling; in particular he specialises in computational models for decision making under risk.
He has an MSc and PhD degrees from Eotvos Lorand University, Hungary.
He is senior researcher at Kecskemet College, Hungary; and lecturer at the Department of Operational Research, Eotvos Lorand University, Hungary. He supervises PhD researchers at Kecskemet College and is an Advisor to OptiRisk Systems. Dr Fabian speaks Hungarian and English.

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1 day: £575 + VAT
2 days £1025 + VAT
3 days £1500 + VAT
4 days £1750 + VAT
5 days £1950 + VAT

Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com

Discounted rates for group bookings can be also arranged on request.