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You are on page 1of 108

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research with Data Science

Project description

HiGHS is a high performance open-source software suite being developed by Julian Hall and his PhD students. It is built on an

efficient sparsity-exploiting implementation of the dual revised simplex method. However, for problems that are sufficiently dense,

the techniques for exploiting sparsity become inefficient, in terms of both computational cost and storage requirement. For most

computational components of the revised simplex method, their implementation within HiGHS using dense matrix utilities is

relatively routine, allowing some study of cache usage for further performance optimization. The more major challenge is

understanding and implementing the Fletcher-Matthews technique for updating the dense LU decomposition of the basis matrix

following a basis change. This project will also look at specific performance issues in the context of medical data science

applications yielding large scale dense LP problems.

Prerequisites

Recommended reading

Fletcher, R. and Matthews, S.P.J., 1984. Stable modification of explicit LU factors for simplex updates. Mathematical Programming,

30(3), pp.267-284.

Page 1/108

A primal revised simplex solver for HiGHS

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research with Data Science

Project description

HiGHS is a high performance open-source software suite being developed by Julian Hall and his PhD students. It is built on an

efficient implementation of the dual revised simplex method, which is preferred over the primal revised simplex method in many

applications and for most classes of LP problems. However, in several important situations, it is important to use the primal revised

simplex method to exploit the structure of an LP problem and information known about the optimal solution. This project will

review advanced algorithmic enhancements and computational techniques in the primal revised simplex method and implement

them within HiGHS.

Prerequisites

Recommended reading

Page 2/108

A toolset to model facilities location distribution problems

Project supervisor: Tim Pigden

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Many companies face the problem of locating warehouses and transshipment points, balancing transport costs against costs of

warehouses and inventory stock holding. While this area has been the subject of significant academic research, there is a

comparative lack of commercially available solutions that can be used by companies and consultants to assist in this type of

planning. The commercial optimisation software LocalSolver is marketed as a solution to many optimisation problems including this

type of supply-chain problem.

The objective of this project is to investigate the capabilities of the LocalSolver software for solving different types of facilities

location problem, possibly in conjunction with data and parameters generated with vehicle routing software packages. The exact

problem to work on is still open, but Optrak will assist in formulation of scenarios that have been encountered in the course of its

business and can provide access to its own software and data.

Optrak, the project sponsor, produces vehicle routing software and carries out consultancy to assist in various supply chain decision

making processes. It is specifically interested in whether a tool such as LocalSolver can significantly reduce the time taken by and

increase the scope of location distribution analysis; improving the ability of its clients to make well informed decisions to increase

efficiency and reduce costs and environmental impact of distribution operations.

Prerequisites

Good programming skills are required, as well as the course "Risk and Logistics".

Page 3/108

A toolset to model multi-echelon Urban Consolidation Centres

Project supervisor: Tim Pigden

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Urban consolidation centres have the potential to significantly reduce the number of trucks going into urban environments across

many distribution activities, including cold-chain deliveries and other food services. This provides major environmental benefits as

well as reducing overall distribution costs. While smaller cities can utilities a single distribution centre and multiple local hubs,

mega-cities are likely to require multiple distribution centres on the periphery as well as local centres for distribution, hence the

particular interest in multi-echelon systems.

There are no readily available off-the-shelf products that allow urban planners or consultants to model these problems. However,

there do exist a number of tools, such as Vehicle Routing Software, commercial tool LocalSolver, open-source LP solvers and

constraints programming tools.

The aim of this project is to formulate practical approaches for tackling these problems, using the most appropriate available

software and understanding the approximations and other simplifications necessary in these approaches.

Optrak, the project sponsor, produces vehicle routing software and also carries out consultancy in related areas. Optrak will provide

access to its own software and is in a position to assist with problem definition and generation of test data. The company is

particularly interested in exploring the potential of LocalSolver for this problem.

Prerequisites

Good programming skills are required, as well as the course "Risk and Logistics".

Page 4/108

Algorithmic approaches to semidefinite optimization with applications

Project supervisor: Miguel Anjos

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

This project is concerned with implementing and testing a new algorithm to solve semidefinite optimization problems. Semidefinite

optimization is relevant to a range of practical applications in areas such as control theory, circuit design, sensor network

localization, and principal component analysis [1].

Although several software packages can handle semidefinite optimization problems, solving large-scale instances in practice

remains a challenge. The objective of this project is to experiment with a new algorithm that uses a sequence of linear optimization

problems to solve a semidefinite problem.

In this project we will focus on an application in finance, namely the computation of the nearest correlation matrix [2]. The

well-known Markowitz portfolio optimization model requires as input the correlation matrix of all possible assets, but frequently the

data available is insufficient or too inaccurate to reliably estimate the pairwise asset correlations.

The task is to estimate the (unknown) symmetric positive semidefinite covariance matrix using only the available information by a

least-squares-like approach.

Objectives:

- study the theoretical background of the algorithm;

- understand the nearest correlation matrix problem and its formulations, especially those eligible for a semidefinite approach;

- implement (in Matlab)the new algorithm for semidefinite optimization;

- use this implementation to test the new algorithm on instances of the nearest correlation matrix problem.

Prerequisites

- Very good grasp of FuO (mark above 70%) and ODS.

Recommended reading

[1] Anjos, Miguel F., and Jean B. Lasserre. "Introduction to semidefinite, conic and polynomial optimization." Handbook on

semidefinite, conic and polynomial optimization. Springer US, 2012. 1-22.

https://scholar.google.ca/scholar?oi=bibs&cluster=7157849937737684992&btnI=1&hl=en

[2] Nicholas J. Higham, Computing the Nearest Correlation Matrix-A Problem from Finance, IMA Journal of Numerical Analysis

22 (2002) No 3, 329-343. http://scholar.google.co.uk/citations?user=EYlMkOgAAAAJ&hl=en&oi=ao

Page 5/108

Approximate Bayesian Computation (ABC) for 'large" data

Project supervisor: Ruth King

Project type

standard

Suitable degrees

Project description

As data increases in size and/or models increase in complexity fitting the models to the data can become increasingly time

consuming. This project will investigate the use of sub-sampling the data in order to obtain a reduced dataset from which a standard

Bayesian analysis can be conducted and a sample from the posterior obtained using standard computational techniques, such as

Markov chain Monte Carlo. The sampled posterior values will then be used within an approximate Bayesian computation approach

to "correct" the sampled posterior values obtained from the sub-sampled data to obtain an approximate sample from the posterior of

the full dataset. The project will not only investigate the ABC algorithm but also investigate the efficiency of different sub-sampling

techniques for a particular application area identified by the student.

Prerequisites

Bayesian Theory, Bayesian Data Analysis, Generalised Regression Models; Statistical Programming

Recommended reading

Handbook of Approximate Bayesian Computation. Edited by Sisson, Fan and Beaumont. CRC Press.

Page 6/108

Assessing risk of electricity capacity shortfalls using extreme value methods

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Ensuring an appropriately high level of security of supply is one of the key issues in management of electric power systems and

markets, and thus associated risk assessment is a major topic in electric power system analysis. There has been renewed research

interest in recent years due to the advent of high capacities of renewable generation in many systems, whose availability has very

different statistical properties from that of conventional fossil fuel powered generation (as its availability is primarily determined by

the wind or solar resource, rather than by mechanical availability). Within such risk assessments it is necessary to build a joint

statistical model of demand and available renewable capacity (a statistical association between these is naturally expected, as in most

power systems temperature has an influence on demand through heating or air conditioning load, and available renewable capacity is

clearly driven by the weather). This project will take extreme value statistical methods developed for modelling wind and demand in

the Great Britain system, and apply them to data from the Texas system (which has very different characteristics compared to GB,

with the main annual peak in summer driven by air conditioning rather than in the winter driven by heating and lighting). The

models developed will then be incorporated into risk assessments for the Texas system.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be challenging.

Recommended reading

https://www.dur.ac.uk/dei/resources/briefings/blackouts/

http://sites.ieee.org/pes-rrpasc/files/2015/09/AmyWilson.pdf

http://sites.ieee.org/pes-rrpasc/files/2016/08/Amy-Wilson-Durham-University-Accounting-for-wind-demand-dependence-when-esti

mating-LoLE.pdf

Page 7/108

Assessing uncertainty in planning background for government investment decisions

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Capital planning decisions are, by their nature, taken against uncertainty in the future planning background. Moreover, directly

relevant data are commonly not available - the future has not yet happened, so the possibility of changes in drivers of service

demands typically makes historic data at best indirectly relevant.

This project will develop methods for assessing uncertainty in planning background and using this in decison making. In some cases

assessment of future demand might be assessed directly, in other cases it may be necessary to do some kind of system modelling

(e.g. in the case of electric vehicles, charging point demand is a consequence of number of vehicles combined with usage patterns).

Possible applications include electric vehicle and school capacity planning in the city of Edinburgh, assessing need for newly

qualified teachers, and planning of new prison capacity. Detail of application direction can be discussed with a student carrying out

the project, as there are options to take this in a statistical, simulation or optimization direction depending.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be challenging.

Recommended reading

http://www.edinburgh.gov.uk/news/article/2556/edinburgh_blazes_green_trail_with_new_electric_vehicle_infrastructure_plan

https://www.nao.org.uk/wp-content/uploads/2016/02/Training-new-teachers.pdf

Page 8/108

Assigning Students to Learning Groups

Project supervisor: Joerg Kalcsics

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Data Science

Statistics and Operational Research

Project description

This project focusses on models and heuristic algorithms to assign students to learning groups. Several studies suggest that it is

desirable to create heterogeneous groups that include students of different genders, different cultural and academic backgrounds. The

more diverse groups are, the deeper the perspective each student can gain from his or her peers. The goal is therefore to assign

students to groups such that all students who are assigned to the same group are as "diverse" as possible. A common approach to

measure diversity is to quantify the characteristics of individual students using a binary attribute matrix that specifies for each

student whether he or she exhibits a certain attribute or not. Based on that, one can compute how "similar" two students are by

calculating, for example, the weighted sum of differences between the attribute values for all characteristics. The goal of the problem

can then be rephrased as assigning students to study groups such that a function of the pairwise distances between all students who

are assigned to the same group is as large as possible (larger = more diverse).

The abstract version of this problem is known as the maximum dispersion or maximum diversity problem. In this problem, we are

given a set of objects where each object has a non-negative weight assigned to it. Moreover, we are given a measure of distance

between each pair of objects. In addition, a number of groups is given and each group has a target value in terms of the sum of

weights, where the target value may be different for each group. The task is to exclusively assign each object to a group such that the

minimal pairwise distance or the sum of pairwise distances between two objects that are assigned to the same group is maximised

and such that the actual weight of a group meets its target weight. Hereby, the weight of a group is the sum of the weights of objects

assigned to it.

The goal of this project is to develop and inplement an efficient heuristic for the problem. There is no preference for a certain

heuristic. A natural choice would be a local search heuristic that is embedded in a Tabu Search or Variable Neighborhood Search

framework. The basic idea of a local search heuristic is to modify a given solution by moving, for example, a single object from its

current group to another group or to swap two objects that belong to different groups. If the exchange yields an improvement, we

accept it; otherwise, we reverse it and try a different exchange. We keep on doing this until we can no longer improve the solution,

i.e. until we have run into a local optimum. The heuristic frameworks Tabu Search and Variable Neighborhood Search then differ in

the way they try to escape from a local optimum and find another local optimium. A second type of heuristics that would be suitable

are matheuristics that combine concepts from mathematical programming and heuristic design. The idea of a matheuristic is to solve

the problem optimally just for a subset of the unknowns while keeping all other decisions fixed. The task is then to develop heuristic

strategies to select a "good" subset of unknows to be optimised.

Prerequisites

Page 9/108

Good programming skills. For the matheuristics knowledge of Xpress Mosel would be desirable.

Recommended reading

E. Fernandez, J. Kalcsics, S. Nickel, The Maximum Dispersion Problem, Omega 41, 721-730 (2013)

Page 10/108

Automatic Classification of Model Issues in Counterparty Credit Risk

Project supervisor: John Faben

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

In order to calculate counterparty credit risk exposure, trade exposure simulated across a long time

horizon. The data required for this calculation comes from a variety of sources, including market data,

trade specifics and information on legal agreements. When these simulations fail, there are therefore

a variety of different possible points of failure. Currently, identifying what has caused a particular

trade to fail requires a large amount of repetitive manual work. This project will explore whether the

identification of the reasons for failure for a particular trade can be made more efficient using

Prerequisites

Student will need some knowledge of machine learning techniques, and some programming experience.

Page 11/108

Bayesian analysis of single cell genomic data

Project supervisor: Natalia Bochkina

Project type

standard

Suitable degrees

Project description

Recent breakthrough in technology allows to observe concentration of molecules in a single cell. The aim of the project is to review

the current literature on the Bayesian and frequentist models of single cell data, identify the gaps and develop a novel model for a

real data single cell data.

Prerequisites

Recommended reading

Greg Finak et al (2015) MAST: a flexible statistical framework for assessing transcriptional changes and characterizing

heterogeneity in single-cell RNA sequencing data, Genome Biology, v.16, p.278.

Davide Risso et al (2018) A general and flexible method for signal extraction from single-cell RNA-seq data. Nature

Communications, volume 9, Article number: 284

CA Vallejos, S Richardson and JC Marioni (2016) Beyond comparisons of means: understanding changes in gene expression at the

single-cell level. Genome Biology 17:70

Page 12/108

Bayesian cluster analysis

Project supervisor: Sara Wade

Project type

standard

Suitable degrees

Project description

Clustering is widely studied in statistics and machine learning, with applications in a variety of fields. However, an important

problem, common to all clustering methods, is how to choose the number of clusters. In popular algorithms such as agglomerative

hierarchical clustering or k-means, the number of clusters is fixed or selected based on specified criteria and a single clustering

solution is returned. On the other hand, Bayesian model-based clustering provides a formal framework to assess uncertainty in the

cluster structure and the number of clusters through the posterior over the space of partitions. This project will consider and compare

three Bayesian approaches to incorporate uncertainty in the number of clusters: 1) hierarchical approaches that include a prior over

the number of clusters, 2) sparse overfitted mixtures that automatically prune unnecessary components, and 3) nonparametric infinite

mixtures.

Prerequisites

Bayesian Theory

Recommended reading

Wade and Ghahramani (2018). "Bayesian Cluster Analysis: Point Estimation and Credible Balls"

Malsiner-Walli (2016). "Model-based clustering based on sparse finite Gaussian mixtures."

Page 13/108

Bayesian decision analysis for electricity capacity procurement

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Ensuring an appropriately high level of security of supply is one of the key issues in management of electric power systems and

markets, and thus associated risk assessment is a major topic in electric power system analysis. There has been renewed research

interest in recent years due to the advent of high capacities of renewable generation in many systems, whose availability has very

different statistical properties from that of conventional fossil fuel powered generation (as its availability is primarily determined by

the wind or solar resource, rather than by mechanical availability).

In optimising procurement of electricity capacity, it is necessary to consider a full range of modelling uncertainties if one wishes to

take robust decisions for the real world. This includes not only uncertainty in planning background and in random fluctuations in the

availability of renewable and conventional generation, but also uncertainty over the statistical properties of generation availability

and demand (incluing the consequences of having finite histories of relevant data). All these uncertainties can naturally be combined

in a Bayesian decision analysis framework, where all uncertainties are quantified as probability distributions. Depending on the

interests of the student the project could take a more conceptual or computational direction.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be challenging.

Recommended reading

https://www.dur.ac.uk/dei/resources/briefings/blackouts/

http://sites.ieee.org/pes-rrpasc/files/2015/09/AmyWilson.pdf

http://sites.ieee.org/pes-rrpasc/files/2016/08/Amy-Wilson-Durham-University-Accounting-for-wind-demand-dependence-when-esti

mating-LoLE.pdf

https://ieeexplore.ieee.org/document/5378484

Page 14/108

Bayesian estimation of ROC curves for biomarkers subject to a limit of detection

Project supervisor: Vanda Inacio De Carvalho

Project type

standard

Suitable degrees

Project description

Accurate diagnosis of disease is of fundamental importance in clinical practice and medical research. The receiver operating

characteristic (ROC) curve is the most widely used tool for evaluating the discriminatory ability of a continuous biomarker/medical

test. In many clinical settings, due to technical limitations, measurements below a certain limit of detection cannot be obtained.

Ignoring observations below the limit of detection leads to biased estimates of the ROC curve and its corresponding area under the

curve, which is a popular summary measure of diagnostic accuracy. The aim of this project is to propose a Bayesian method that

properly takes into account the observations below the limit of detection, thus leading to valid estimates. An extensive simulation

study comparing the performance of the proposed method with the existing approaches will be conducted. Finally, an application to

data on the accuracy of glucose levels as a biomarker of diabetes will be investigated.

Prerequisites

Recommended reading

Pepe, M. S. (1997). The Statistical Evaluation of Medical Tests for Classification and Prediction. Oxford Statistical Science Series.

Perkins, N. J., Schisterman, E. F., and Vexler, A. (2007). Receiver operating characteristic curve inference from a sample with a

limit of detection. American Journal of Epidemiology, 165, 325?333.

Page 15/108

Bayesian misspecified models

Project supervisor: Natalia Bochkina

Project type

standard

Suitable degrees

Project description

Many statistical models used for big data are often misspecified, ie the assumed distribution of the data often does not corresponds to

the true distribution of the data. This implies that the corresponding statistical inference, such as confidence intervals or hypothesis

testing, can be incorrect. Considering a tempered likelihood has shown to be an effective method to adjust for model

misspecification and to lead to asymptotically valid statistical inference in a Bayesian setting. This project has scope for applied

work by creating code and applying this method to real data.

Prerequisites

Recommended reading

P.D. Grünwald. Safe Probability. Journal of Statistical Planning and Inference 195, 2018, pp. 47-63

P.D. Grünwald and T. van Ommen. Inconsistency of Bayesian Inference for Misspecified Linear Models, and a Proposal for

Repairing It . Bayesian Analysis, 2017, pp. 1069-1103

Page 16/108

Bias Reduction in Stochastic Programs Using Latin Hypercubes

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

In real life many decision problems should be solved under the presence of uncertainty in parameters. Stochastic programming

mainly deals with optimizing expectation of a function which depends on some random parameters. When the parameters follow a

continuous distribution or has a large support, it is not practical or sometime not possible to evaluate expectation exactly. Sampling

from the underlying distribution is a common approach to address this problem. However, it is known that the objective values are

biased and even though the estimators are asymptotically unbiased, it is not possible to assess the value of bias for a finite sample. In

this work, we will analyze how the Latin hypercube sampling affects the optimality bias. We will first investigate the problem

analytically and then employ numerical schemes to evaluate the effect of Latin hypercubes.

Prerequisites

Simulation

Fundamentals of Optimization

Page 17/108

C++ implementation of efficient interior point method for large-scale truss topology optimization.

Project supervisor: Alemseged Weldeyesus

Project type

standard

Suitable degrees

Operational Research with Data Science

Project description

Trusses are engineering structures that consist of straight members or bars connected at joints. Given some loading conditions, we

are concerned with finding the lightest truss structure that can sustain the given set of loads. The problems are usually modelled

using a ground structure approach in which a finite set of nodes are distributed in the design domain and are connected by the

potentials bars. The design variables are then the cross-sectional areas and internal forces of these bars.

We are concerned with problems that can be formulated as linear programming. However, they often lead to a very large scale

problems due to the large number of possible connections between each of the nodes, i.e., for n nodes, we will have n(n-1)/2

potential member bars. Then, the problems become computationally challenging. This imposes further requirements to optimization

method. Recently, a specialized interior point method for such problems is proposed in [1], which employs several novel approaches

such as column generation, warm-start strategy, the exploitation of sparsity structures, and the use iterative methods for the linear

systems originating in the interior point algorithm.

The purpose of this project is to develop a C++ implementation of the efficient interior point method described in [1].

References

[1] Weldeyesus, A. G., Gondzio, J.: A specialized primal-dual interior point method for the plastic truss layout optimization.

Computational Optimization and Applications 71(3), 613?640 (2018)

Page 18/108

Prerequisites

Familiarity with large-scale optimization problems, interior point methods, and linear algebra, and a good programming skill in C++

are requirements for the project.

Page 19/108

Calculation of bounds for the traveling salesman problem

Project supervisor: Sergio GarcÃa Quiles

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Project description

The Traveling Salesman Problem (TSP) is one of the most widely studied problems in Operational Research. Given a set of nodes

(cities), we need to find a route that visits each city exactly once and ends at the node we started the route (e.g., the home of a seller).

This problem has many applications not only in logistics but also in other areas such as drilling holes in circuit boards, astronomy,

and DNA sequencing.

The TSP is very difficult to solve because its formulation has an exponential number of constraints. Therefore, an important effort in

research is devoted to the calculation of bounds that help to solve this problem faster, for example when using branch-and-bound.

The goal of this project is to do a literature review of these methods and to choose some of them that will be coded and compared.

Examples (but the project is not restricted to them) are Clarke-Wright savings algorithm, moat packing, and the Lin-Kernighan

heuristic.

Prerequisites

- Integer programming.

- Experience with an optimization solver (e.g., Xpress).

- Programming skills (e.g., C++).

Recommended reading

- "The traveling salesman problem", D.L. Applegate, R.E. Bixby, V. Chvátal, and W.J. Cook, Princeton University Press (2007).

- "Scheduling of vehicles from a central depot to a number of delivery points", G.U. Clarke, and J.W. Wright. Operations Research

12 (4): 568?581 (1964).

"New primal and dual matching heuristics", M. Junger and W. Pulleyblank. Algorithmica 13:357-380 (1995).

- "An effective heuristic algorithm for the traveling-salesman problem", S. Lin and B.W. Kernighan. Operations Research 21 (2):

498?516 (1973).

Page 20/108

Censoring in multi-list data

Project supervisor: Serveh Sharifi Far

Project type

standard

Suitable degrees

Project description

The project will consider the analysis of multi-list data in the presence of censored cell observations. For example, due to the data

collection process some cells may be left censored so that the cell entry corresponds to only an upper limit of the cell entry.

Alternatively cell entries <5 are often censored for data protection issues. The aim of this project is to develop a model-fitting

approach for fitting log linear models to such contingency table data in the presence of censored cells. The effect of censoring the

cells will be investigated for simulated and/or real data.

Prerequisites

Recommended reading

Bishop, Fienberg and Holland (1975), Discrete Multivariate Analysis: Theory and Practice. M.I.T. Press, Cambridge, MA.

Overstall, A. M., King, R., Bird, S. M., Hutchinson, S. J. and Hay, G. (2014), Incomplete Contingency Tables with Censored Cells

with Application to Estimating the Number of People who Inject Drugs in Scotland. Statistics in Medicine 33 1564-1579.

Page 21/108

Challenging mixed integer nonlinear programming problems for the maintenance planning for

hydropower plants

Project supervisor: Miguel Anjos

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

The aim of the project is to study a crucial problem in energy management: the optimal maintenance planning for hydroelectric

power generation plants.

This is a challenging optimization problem and it is of great practice importance because the strategic decisions taken during

maintenance planning directly impact the availability of hydropower stations. This availability is a key input for the unit

commitment decisions taken daily by utility companies.

The objective of the project is to propose novel mixed integer nonlinear optimization approaches that take into account both the

standard constraints in maintenance planning for hydropower plants and the nonlinear aspects of the power output function, often

linearized in the literature but with loss of information.

This project will be carried out in collaboration with researchers from CNRS & École Polytechnique (France), and EDF R&D

(France).

Recommended reading

https://ieeexplore.ieee.org/abstract/document/8353798

Page 22/108

Column Generation for Combinatorial Optimization Problems

Project supervisor: Jacek Gondzio

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

This project will require to study and implement a column generationformulation of a particular combinatorial optimization

problem.The approach relies on an existing primal-dual column generationalgorithm which has already been used in a number of

applications: - the multicommodity network flow problem (MCNF), - the cutting stock problem (CSP), - the vehicle routing problem

with time windows (VRPTW), and - the capacitated lot sizing problem with setup times (CLSPST).The student may choose their

class of combinatorial optimizationproblem, such as for example, travelling salesman problem (TSP),Hamiltonian cycle problem

(HCP), quadratic assignment problem (QAP),or some other relevant OR problem.Students who took the OR in Telecommunication

course may suggestan interesting application which arises in telecom industry.

Objective: - study the theoretical background of the chosen problem; - study its formulations, especially those eligible for column

generation; - implement the approach within the context of PDCGM, Primal-Dual Column Generation Method based on HOPDM

software; - apply this implementation to solve real-life public domain instances of problems.

Prerequisites

- very good grasp of FuO (mark above 70%) and ODS and CO

Recommended reading

New Developments in the Primal-Dual Column Generation Technique

European Journal of Operational Research 224 (2013) 41--51.

DOI: http://dx.doi.org/10.1016/j.ejor.2012.07.024

(http://www.maths.ed.ac.uk/~gondzio/reports/pdcgm2011.html)

Large-Scale Optimization with the Primal-Dual Column Generation Method

http://www.maths.ed.ac.uk/~gondzio/reports/pdcgmDemo.html

{it Mathematical Programming Computation} 8 (2016), pp. 47--82.

DOI: 10.1007/s12532-015-0090-6

Page 23/108

(http://www.maths.ed.ac.uk/~gondzio/reports/pdcgmDemo.html)

http://www.maths.ed.ac.uk/~gondzio/software/pdcgm.html

Page 24/108

Comparative study of nonparametric ROC regression techniques

Project supervisor: Vanda Inacio De Carvalho

Project type

standard

Suitable degrees

Project description

The statistical evaluation of diagnostic and screening procedures, such as biomarkers and imaging technologies, is of great

importance in public health and medical research. The receiver operating characteristic (ROC) curve is a popular tool for evaluating

the performance of continuous markers and it is widely used in medical studies. It has been recently recognized that several factors

can affect the marker distribution beyond the disease status; examples of such factors include different test settings and

subject-specific characteristics (e.g., age or gender). For instance, in this project, we are interested in evaluating the influence of age

on the performance of blood glucose levels to accurately diagnose individuals with diabetes. Ignoring the covariate information may

yield biased or oversimplified inferences. Several methods have been proposed to assess covariate effects on the ROC curve. The

so-called "induced methodology" models the distribution of the marker in healthy and diseased populations separately and then

computes the induced ROC curve. Recently, some approaches have been developed for nonparametric estimation of the

covariate-specific ROC curve, within the induced methodology. The aim of this project is to compare the performance of

nonparametric methods based on kernel and splines techniques to estimate the covariate-specific ROC curve. An extensive

simulation study will be conducted and an application to the aforementioned diabetes study will be provided.

Prerequisites

Recommended reading

Pepe, M. S. (1997). The Statistical Evaluation of Medical Tests for Classification and Prediction. Oxford Statistical Science Series.

Rodriguez-Alvarez, M.X., Tahoces, P.G., Cadarso-Suarez, C., and Lado, M.J. (2011). Comparative study of ROC regression

techniques?Applications for the computer aided diagnostic system in breast cancer detection. Computational Statistics and Data

Analysis, 55, 888-902.

Rodriguez-Alvarez, M.X., Roca-Pardiñas, J., and Cadarso-Suarez, C. (2011). ROC curves and covariates: extending induced

methodology to the non-parametric framework. Statistics and Computing, 21, 483?499.

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Comparing environmental and behavioural factors in determining zoonotic disease risk

Project supervisor: Ioannis Papastathopoulos

Project type

standard

Suitable degrees

Project description

Many emerging or re-emerging diseases have zoonotic origins and some have had severe consequences for public health (e.g.

Ebola). Vietnam has been identified as a ?hotspot' for emerging zoonotic diseases which is thought to be due to the rapid

environmental changes which have occurred in Vietnam in recent years, as well as social and cultural practices facilitating close

contact between humans, livestock and wildlife (Jones et al. 2008). VIZIONS (Vietnam Initiative on Zoonotic InfectiONS) was a

multidisciplinary Vietnam-based project established to increase understanding of the origins, risks and emergence of zoonotic

infections (Rabaa et al. 2015). Data on disease symptoms, demographics, and animal contact behaviour were collected from hospital

patients with enteric disease using questionnaires distributed at six hospitals throughout Vietnam from 2012 to 2016. Clinical

specimens were also collected from patients to test for pathogens associated with zoonotic infections and environmental data were

collated from publically available datasets. This project aims to determine whether local environmental factors (e.g. land use,

livestock density, and climate) or behavioural factors (e.g. animal contact and water use) are better predictors of zoonotic disease

risk in hospital patients in Vietnam.

The student will carry out statistical modelling using the VIZIONS dataset to identify the most important risk factors for testing

positive for a zoonotic pathogen, and determine whether individual human behaviour or local environment better predict risk of

contracting a zoonotic infection.

References:

Jones KE, Patel NG, Levy MA, Storeygard A, Balk D, Gittleman JL & Daszak P (2008) Global trends in emerging infectious

diseases. Nature 451(7181): 990?994. doi:10.1038/nature06536

Rabaa, M. A., Tue, N. T., Phuc, T. M., Carrique-Mas, J., Saylors, K., Cotten, M., et al? Baker, S. (2015). The Vietnam Initiative on

Zoonotic Infections (VIZIONS): A Strategic Approach to Studying Emerging Zoonotic Infectious Diseases. EcoHealth, 12(4),

726?735. doi:10.1007/s10393-015-1061-0

Recommended reading

Coker, R. J., Hunter, B. M., Rudge, J. W., Liverani, M., & Hanvoravongchai, P. (2011). Emerging infectious diseases in southeast

Asia: Regional challenges to control. The Lancet, 377(9765), 599?609. https://doi.org/10.1016/S0140-6736(10)62004-1

Page 26/108

Graham et al. 2004. Spatial analysis for epidemiology. Acta Tropica 91, 219-225. https://doi.org/10.1016/j.actatropica.2004.05.001.

Diggle, P.J. 2003. Statistical analysis of spatial point patterns. Second edition. Oxford University Press

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Comparison of various linearizations of quadratic programmes

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Project description

In practice quadratic programming problems are sometimes solved by creating an equivalent linear model. There are a number of

different approaches to linearizing (mixed-integer) quadratic programming instances. They vary in the number of additional

variables and constraints, and in tightness. Additionally, most linearization induce some sort of structure in the constraints that can

be exploited by the linear solver. The goal of this dissertation project is to study and implement a few different linearization

approaches and compare them via numerical experiments. The comparison will be performed using problems from QPLIB, a library

of quadratic programming instances of various types (convex/nonconvex, continuous/binary/mixed-integer, sparse/dense) and sizes.

Prerequisites

Recommended reading

Sherali, Smith 2007: An improved linearization strategy for zero-one quadratic programming problems

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Computational study of the exactness of the semidefinite relaxation for large-scale optimal power flow

benchmarks

Project supervisor: Miguel Anjos

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

This project is concerned with analysis of semidefinite optimization relaxations of Optimal Power Flow (OPF).

The OPF problem is an important nonlinear nonconvex optimization problem which minimizes the electricity generation costs while

taking into account the constraints of the high voltage transmission network represented by the nonconvex power flow

equations. Recently semidefinite relaxations of OPF have been introduced that produce very good lower bounds. In some cases the

relaxation is even exact, and a global solution may be computed from the optimal solution of the relaxation. Moreover,

decomposition schemes using graph theory applied to the graph of the physical electric grid allow to decompose the large

semidefinite constraints into smaller ones; as a consequence, relaxations of OPF may be solved even for large-scale realistic

instances with more than 10,000 variables.

Many benchmarks have been published in repositories such as Matpower, Nesta, PGlib. Their OPF formulations may have

different characteristics. Specifically, the objective function (linear or quadratic) or the constraints (different ways of representing

maximum power on the lines) are not always the same.

The objective of this project is to carry out a thorough computational analysis of the exactness of the semidefinite relaxation in terms

of its dependence on the characteristics (objective function, flow constraints) of the formulation used. The project begins with

collecting all the available benchmarks and solving the semidefinite relaxation of each of them to determine the status (exact or not)

of the relaxation. In a second step, different variations of the characteristics will be considered for each benchmark instances, and for

each of them the exactness of the relaxation will again be determined. The set of results will then be analyzed using appropriate

statistical tools to quantify as precisely as possible the dependence of the exactness of the relaxation on the characteristics of the

formulation solved.

Prerequisites

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- Fluency in Matlab, knowledge of linear algebra

- Very good grasp of FuO (mark above 70%) and ODS

Recommended reading

Christian Bingane, Miguel F. Anjos, Sébastien Le Digabel. Tight-and-cheap conic relaxation for the optimal reactive power dispatch

problem. To appear in IEEE Transactions on Power Systems. https://www.gerad.ca/en/papers/G-2018-76/view

Anjos, Miguel F., and Jean B. Lasserre. "Introduction to semidefinite, conic and polynomial optimization." Handbook on

semidefinite, conic and polynomial optimization. Springer US, 2012. 1-22.

https://scholar.google.ca/scholar?oi=bibs&cluster=7157849937737684992&btnI=1&hl=en

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Considering load uncertainty in truss topology optimization with integer variables

Project supervisor: Alemseged Weldeyesus

Project type

standard

Suitable degrees

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Trusses are engineering structures that consist of straight members or bars connected at joints. The mathematical models for

optimization of truss structures are usually formulated using the so-called ground structure approach, where a set of nodes are

distributed in the design domain and the interconnecting bars are generated.

In this project, we will fuss when the design variables are the discrete finite set of cross-sectional areas of these bars. Moreover,

due to the practical uncertainty in the applied loads, we will choose the loads from ellipsoids to promote robustness of the optimal

designs.

The goal of the project is to propose a (mixed-integer) semidefinite programming problem formulation for robust truss topology

optimization based on [1] and [2].

[1] Kocvara, M.: Truss topology design with integer variables made easy, Opt. Online (2010)

[2] Ben-Tal, A., Nemirovski, A.: Robust truss topology optimization via semidefinite programming. SIAM J. Optim. 7, 991?1016

(1997)

Prerequisites

Familiarity with semidefinite programming and skill in Matlab are requirements for the project.

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Dynamic scenario selection for stochastic programming

Project supervisor: Andreas Grothey

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

The second assignment for the course "Optimization Methods in Finance" was using the following setup: You seek to divide your

money into 8 different investment opportunities in order to maxmimise expected return (actually minimize expected shortfall

relative to a return target). Future return of the investments are unknown but are assumed to be described (exactly) by 100000

(equally likely) future scenarios. Your aim is to find the investment that minimizes expected shortfall subject to these 100000

scenarios.

Unfortunately solving this problem is very expensive, so you seek a cheaper way of solving the problem approximately. In OMF

assignment 2 various avenues were explored, for example only using 10 well chosen scenarios as an approximation (these can be

found by clustering) or using stochastic gradient methods.

- After solving the problem with 10 scenarios one could try to identify which other scenarios should be added (or how the 10

scenarios should be modifed) in order to improve the performance of the investment.

- One could try to estimate the difference between the predicted performance of the investment (evaluated over the 10 chosen

scenarios) and the real performance (measure by evaluating expected shortfall over all 100000 scenarios) - i.e. the model error and

use this estimate as a correction to the 10-scenario model.

Prerequisites

While this project follows on naturally from Optimization Methods in Finance, it is not necessary that students have attended this

course, not is any previous knowledge of finance required. Indeed the same problem can be posed in any optimization problem that

includes uncertainty.

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Eat and grow old â€“ interplay of ingestion and ageing in immune cells

Project supervisor: Linus Schumacher

Project type

standard

Suitable degrees

Project description

Mathematical models in biology can be used to predict the macroscale behaviour of cell populations from the microscale dynamics

of individual cells. This project will use stochastic descriptions at the cellular scale to model experimental data from liver immune

cells, in a collaboration between the mathematical modelling group of Dr Schumacher and Dr Campana from the experimental group

of Prof. Forbes at the Centre of Regenerative Medicine in Edinburgh.

Immune cells play an important part in resolving tissue injury. Macrophages are a type of immune cell that can "eat up" debris from

dead cells, through a process known as phagocytosis. This is a necessary step in tissue regeneration, and failure in phagocytosis has

been implicated autoimmune and inflammatory disorders. A current challenge is to understand how phagocytosis is impaired by, and

itself causes, ageing-like stress, known as cellular senescence.

Recent experiments with liver macrophages [1] provide accessible data to explore some basic hypotheses of how phagocytosis and

senescence (eating and ageing) may be interlinked. To do this, we will use simple mathematical frameworks (broadly akin to [2]) to

test which cellular behaviours can explain the measured cell population data for healthy and age-stressed liver macrophages. A

rough outline of steps in this project is as follows:

? Construct stochastic models of macrophage phagocytosis, the dependence of phagocytosis on senescence, and senescence as a

function debris ingested

? Outstanding students could (a) perform model comparison in Bayesian framework and (b) treat the cell behaviour as a sample

space reducing stochastic process, and with phagocytosis as a function of senesce to state-dependent driving rate

Page 33/108

Prerequisites

- interest in biological applications

Recommended reading

1.Campana L, Starkey Lewis PJ, Pellicoro A, et al. The STAT3?IL-10?IL-6 Pathway Is a Novel Regulator of Macrophage

Efferocytosis and Phenotypic Conversion in Sterile Liver Injury. J. Immunol. 2018;200(3):1169?1187. Available at:

http://www.jimmunol.org/lookup/doi/10.4049/jimmunol.1701247

2.Karin O, Agrawal A, Porat Z, Krizhanovsky V, Alon U. Senescent cells and the dynamics of aging. bioRxiv. 2018. Available at:

http://dx.doi.org/10.1101/470500.

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Effect of zero observations on modelling categorical data

Project supervisor: Serveh Sharifi Far

Project type

standard

Suitable degrees

Project description

The project will focus on the analysis of categorical data in presence of sampling zero observations. Fitting log-linear and logistic

models to count data in contingency tables are considered. The zero cell entries in tables can cause parameter estimates with big

standard errors. The main aim of the project is to address and compare the effect of sampling zero observations on the two models,

using simulated and/or real data, and to develop models to overcome the problem. The project can be extended to assessing the

model's identifiability and also the Bayesian method of estimating the parameters.

Prerequisites

Recommended reading

Agresti, A. (2002). Categorical data analysis, Second Edition. John Wiley and Sons publication.

Fienberg, S. E. and Rinaldo, A. (2012). Maximum likelihood estimation in log-linear models. The Annals of Statistics. 40(2),

996--1023.

Brown, M. B., Fuchs, C. (1983). On Maximum likelihood estimation in sparse contingency table. Computational Statistics and Data

Analysis, 1, 3?15.

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Efficiency of Approximate Bayesian Computation

Project supervisor: Natalia Bochkina

Project type

standard

Suitable degrees

Project description

Approximate Bayesian Computation (ABC) algorithm is very popular in practice when the likelihood is intractable. Different

versions of it (for instance, the original rejection algorithm and its smoother local linear regression version) will be compared to

study their efficiency for different types of models, for instance arising in genetics. Both statistical and computational efficiency of

the methods will be studied.

Prerequisites

Recommended reading

Annual Review of Ecology, Evolution, and Systematics , Vol. 41:379-406,

https://doi.org/10.1146/annurev-ecolsys-102209-144621

Mark A. Beaumont, Wenyang Zhang and David J. Balding

GENETICS December 1, 2002 vol. 162 no. 4 2025-2035

http://www.genetics.org/content/162/4/2025

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Electricity security of supply risk assessment including climate considerations

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Ensuring an appropriately high level of security of supply is one of the key issues in management of electric power systems and

markets, and thus associated risk assessment is a major topic in electric power system analysis. There has been renewed research

interest in recent years due to the advent of high capacities of renewable generation in many systems, whose availability has very

different statistical properties from that of conventional fossil fuel powered generation (as its availability is primarily determined by

the wind or solar resource, rather than by mechanical availability). Within such risk assessments it is necessary to build a joint

statistical model of demand and available renewable capacity (a statistical association between these is naturally expected, as in most

power systems temperature has an influence on demand through heating or air conditioning load, and available renewable capacity is

clearly driven by the weather).

This project will investigate whether the statistical modelling can be improved by bringing in climate statistics as explanatory

variables for the wind and demand models. Candidates include the "North Atlantic Oscillation" and wind direction statistics. The

project will further consider how this can be used to assess uncertainty in estimates of headline risk indices for the Great Britain

system.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be challenging.

Recommended reading

https://www.dur.ac.uk/dei/resources/briefings/blackouts/

http://sites.ieee.org/pes-rrpasc/files/2015/09/AmyWilson.pdf

http://sites.ieee.org/pes-rrpasc/files/2016/08/Amy-Wilson-Durham-University-Accounting-for-wind-demand-dependence-when-esti

mating-LoLE.pdf

http://centaur.reading.ac.uk/33770/1/1-s2.0-S0301421513005223-main.pdf

https://ieeexplore.ieee.org/document/8440216

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Energy Systems Planning and Operation

Project supervisor: Ken McKinnon

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

This project will build on the planning model presented in Part A of the OR in the Energy Industry course. The project will tie in

with some of the work we are doing in UK National Centre for Energy Systems Integration (CESI).

Several separate projects can run in this area. There are several different possible topics that can be included in the project and these

can be combined together in different ways depending on your interests and degree programme. If the area interests you, contact me

to discuss details.

Topics:

1. Build a stochastic planning model. Investigate how to find scenarios that behave badly under the current plans and find how to

incorporate new scenarios incrementally so as to adapt the plans to cover these. Build an evaluator to test how plans perform on a

range of possible future scenarios. This can be done either by building your own stochastic planning model based on your OREI

model, or by extending our existing stochastic planning model, which is written in julia/JuMP.

2. When there is storage in the system it is no longer possible to plan future system using load duration curves. To assess how well

particular investments behave we can run the resulting operational model over realistic time sequences of demand and renewable

resources. The sequences need to cover several years to capture the range of weather conditions -- (e.g. there are persistently hot and

persistently cold years). It takes too long to solve the operational model over enough year to capture all these variations, so there is

need to understand these variations and select a set of "slices" which, when used in the operational model, result in the same

investment decisions as would occur if the entire multi-year operational model had been used. There is no generally accepted

methodology for selecting the slices, so this project will review the methods that have have suggested in the literature and the then

propose and develop and test a promising strategy.

3. Develop a model for district heating and incorporate this in the whole system model. Assess the economics of heat storage over

different time periods from night-day to summer-winter.

4. Long term storage of energy on an annual time scale, e.g. storing heat from summer to winter can be incorporated in the

operational model by including entire years. However as mentioned in 2, including so much data leads to very slow solution times.

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This project will develop methods of a combining model of annual storage using long time steps that capture the slow dynamics of

the bulk storage, with slices from different times of year that operate with short time steps and capture the fast dynamics of load and

renewable generaton.

5. There are usually economies of scale in developing and deploying new renewable technologies. This results in non-convex

planning problems and the possibility that there will be multiple optimal solutions, in which different technologies have been

developed. This project will develop and multi-period planning model incorporating commissioning and decommissioning of units

over and accounting for economies of scale. Methods will be investigated for finding global andlocal optima of the problem.

6 Some locations are better on average for wind, solar and wave power generation than others. However good locations are often in

places remote from the major demand centres. Also renewable generation of the same type and a different pattern at different

locations and this diversity means that the total generation over well spaced locations is is less variable that at individual locations.

Delivering the power to demand centres from possibly remote locations may need network reinforcement. This project will

investigate what is the optimal placement for new wind, solar and wave power generation, taking into account necessary network

reinforcements.

7 CO2 is produced in the manufacture of equipment used in the energy system, such as generators and storage, and this CO2

production should be taken into account in a whole system model. Gather information on this "embedded carbon" for the main

components of the energy system and incorporate this into the system planning model. Analyse how different the conclusion are

from investment models that do and don't include embedded carbon.

Prerequisites

Recommended reading

Material covered in Part A of the OREI course provides the background. See: OREI Web site

http://www.maths.ed.ac.uk/mckinnon/OREI-PartA/

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European Power Market Modelling in Aurora

Project supervisor: Dan Eager

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

Wood Mackenzie (WM), a Verisk business, is a trusted source of commercial intelligence for the world's natural resources sector.

With detailed coverage of power market fundamentals, gas, coal, solar, wind, energy storage, and grid edge technologies, we make it

easier to understand the rapidly evolving power landscape.

Our Power & Renewables (P&R) Research department are in the process of migrating their European power modelling capability to

a dispatch optimization modelling suite provided by Aurora.

Aurora is price forecasting and analysis software based on the fundamentals of the competitive electric market.[1] It applies

economic principles and dispatch simulation to model the relationships of supply, transmission, and demand for electric energy to

forecast market prices.

The operation of existing and future resources are based on forecasts of key fundamental drivers such as demand, fuel prices, hydro

conditions, and operating characteristics of new resources.

The Aurora software has been applied already by WM P&R to model power markets in the US and the intention is to draw on the

wealth of knowledge & expertise gained to migrate the existing Europe Power Model from the existing monthly time-step AIMMS

model to the 8760 hourly Aurora option.

The purpose of this MSc dissertation project will be to explore/review one or more of the following functionalities in Aurora with a

case study application to one of the key European power markets to calibrate model results[2]:

Energy storage - price and dispatch impacts of [battery and pumped storage] and [solar/wind + storage] units.

The project will require consolidation of existing data and, where necessary, the research of data to enrich the existing power plant

database and other complimentary modelling.

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Depending on the 1-3 option chosen, the calibration exercise will include a combination of comparing model results against 1)

out-turn market data (e.g., storage plant operation); 2) WM's existing European Power Model; and 3) if appropriate/possible a

comparison of results with a similar OR department dispatch model.

[2] Options include France, Germany, GB, Integrated Single Electricity Market is a new wholesale market for Ireland and Northern

Ireland, Italy, Portugal, Spain.

Prerequisites

Recommended reading

TBC

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Exploring the efficient frontier for genetic management and improvement of populations

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

The classical Markowitz Portfolio model is most familiar in financial portfolio analysis, where it balances the maximization of

expected return (a linear function of asset distribution) against the minimization of risk (a convex quadratic function of asset

distribution) by using a parameter lambda to weight the latter in the objective. However, the mathematically equivalent problem is

obtained in genetic management and improvement of populations when balancing the maximization of response to selection against

the desire to maintain genetic diversity. As the parameter lambda varies, the optimal values of the desired response to selection and

genetic diversity trace out an "efficient frontier", the study of which is of value to population managers (breeders). With the

exception of the case when lambda is zero, so the problem reduces to a LP, each point on the efficient frontier corresponds to the

solution of a quadratic program. However, the efficient frontier can be traced by solving the KKT conditions parametrically, starting

from the solution of the LP when lambda is zero. This project will study the algorithm required and implement it in C++ or C#,

using HiGHS to solve the initial LP problem. The performance of the algorithm will be studied in the context of pedigree and

genomic data in collaboration with Gregor Gorjanc of The Roslin Institute.

Prerequisites

Recommended reading

Markowitz, Harry M., and G. Peter Todd. Mean-variance analysis in portfolio choice and capital markets. Vol. 66. John Wiley &

Sons, 2000.

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Exploring the efficient frontier in portfolio analysis

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

The classical Markowitz Portfolio model balances the maximization of expected return (a linear function of asset distribution)

against minimization of risk (a convex quadratic function of asset distribution) by using a parameter lambda to weight the latter in

the objective. As the parameter varies, the optimal values of return and risk trace out an "efficient frontier", the study of which is of

value to financial analysts. With the exception of the case when lambda is zero, so the problem reduces to an LP, each point on the

efficient frontier corresponds to the solution of a quadratic programming problem. However, the efficient frontier can be traced by

solving the KKT conditions parametrically, starting from the solution of the LP when lambda is zero. This project will study the

algorithm required and implement it in C++ or C#, using HiGHS to solve the initial LP problem. The performance of the algorithm

will be studied in the context of either portfolio analysis for a local financial services company or (see related project OR166) in the

context of genomic data.

Prerequisites

Recommended reading

Markowitz, Harry M., and G. Peter Todd. Mean-variance analysis in portfolio choice and capital markets. Vol. 66. John Wiley &

Sons, 2000.

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Exponential family models on affine spaces

Project supervisor: Ioannis Papastathopoulos

Project type

standard

Suitable degrees

Project description

A family of probability densities on a finite dimensional affine space is standard exponential (EF) if the log-densities are affine

functions. When the likelihood of an exponential family cannot be calculated exactly, it can sometimes be calculated by Monte

Carlo using the Metropolis algorithm or the Gibbs sampler. The Monte Carlo log-likelihood, i.e., the log-likelihood in the

exponential family generated by the Monte Carlo empirical distribution, then converges almost surely over sample paths to the true

log-likelihood. During this project, EF models will be for used for modelling the event times of extremes in spatial environmental

applications. Particular emphasis will be placed on Gibbs sampling and in particular, in the simulation of a given class of

conditionally specified random fields.

Prerequisites

Recommended reading

- Davison, Padoan and Ribatet (2012). Statistical modeling of spatial extremes. Statistical Science.

- Charles J. Geyer, (1990). Likelihood and exponential models. PhD Thesis. University of Washington

- Whittle, P. J. (1954). On stationary processes on the plane. Biometrika

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Extended log-linear models for multi-list data

Project supervisor: Ruth King

Project type

standard

Suitable degrees

Project description

This project will consider multi-list data, where individuals may be recorded by multiple sources. Log-linear models are typically

applied to such data, which in turn permits an estimation of the number of unobserved individuals. The case will be considered

where individuals are not simply recorded as being observed by a given source, but also the time that they are observed. The data

can be summarised as the number of individuals observed by each source in a particular order. New, extended, log-linear models

will be developed within the project and fitted to data (either simulated or real data).

Prerequisites

Recommended reading

Fienberg (1972) The multiple recapture census for closed populations and incomplete 2^k contingency tables. Biometrika 59,

591-603

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Forecasting time-series as a problem within learning of linear dynamical systems

Project supervisor: Jakub Marecek

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Consider the problem of predicting the evolution of stock prices over time. This is, in general, impossible to do perfectly. One could

imagine, however, that the prices are a reflection of some underlying state of the market that evolves in a fashion that is not directly

observable. Clearly, there is also noise entering both the evolution of the hidden state and in the observations. If the relationships

between the hidden state and the observations are linear, and the noise is additive, this model is called a linear dynamical system

comprising a ?state equation' and an ?observation equation'. While the state equation provides predictions of the hidden state at the

next time-step, the observation equation relates the hidden state with the observation at the same time-step. The task, where one is to

combine the estimate of the hidden state with observations made at the time of prediction using this model, is known as ?filtering'.

For more than half a century, the dominant approach in filtering is based on the work of Rudolf Emil Kálmán. There, one guesses

what the system could be, and using observed measurements, possibly corrupted by noise, gauges one's confidence in the guess, and

produces estimates of its outputs based on a combination of the guess and recent observations. Despite Kalman filtering being a

staple of undergraduate courses across Engineering and Statistics, there has been little or no understanding as to how to perform or

circumvent the initial guess, such that one can guarantee the performance of the system relative to the use of the best possible guess.

Working with Mark Kozdoba and Shie Mannor at the Technion, the Israel Institute of Technology, the supervisor has recently asked

what conditions make it possible to model the predictions of Kalman filtering as a regression of a few past observations. We have

shown that when one sees the Kalman filter as an infinite sum of autoregressive terms, the dependence on the terms from the past is

decaying exponentially, whenever the linear dynamical system is observable and process noise is non-degenerate. Therefore,

Kalman filter can be approximated by regression on a few recent observations. This makes it possible to circumvent the initial guess

in Kalman filtering.

In particular, in a paper presented at AAAI 2019 (https://arxiv.org/pdf/1809.05870.pdf),we introduced an on-line algorithm for

estimating the output of a linear dynamical system considering only a few most recent observations and the respective autoregressive

terms within an on-line convex optimisation framework. The algorithm is imminently practical: its per-update run-time is linear in

the number of observations used (the regression depth). The above-mentioned decay results make it possible to prove the first-ever

regret bounds relative to Kalman filters, that is, relative to the use of Kalman filtering with the best initial guess in hindsight. In

computational experiments on an instance proposed by Hazan et al. (NIPS 2017), as well as stock market price evolution considered

by other authors, our present work reduces the error considerably.

https://github.com/jmarecek/OnlineLDS

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the project aims to test the approach computationally and, depending on the skill and interests of the student, extend to robustness to

heavy-tailed noise.

Prerequisites

Recommended reading

Mark Kozdoba, Jakub Marecek, Tigran Tchrakian, Shie Mannor

AAAI 2019, https://arxiv.org/abs/1809.05870

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Identifying the Author of Literary Texts and Social Media Posts

Project supervisor: Gordon Ross

Project type

standard

Suitable degrees

Statistics and Operational Research

Project description

Statistical methods can be used to quantify linguistic style for the purpose of authorship attribution. The assumption is that authors'

have a distinctive writing style which is stable over time, and which can be identified in all their writings. As such, a statistical

model that has been learned for the linguistic style of a particular author can be used to answer questions such as whether texts with

unknown authorship were written by the author in question. Applications include the analysis of literary texts with disputed

authorship (e.g. several Shakespeare plays) and internet security, where compromised social media accounts can be flagged as

having new authors. This project will explore various statistical approaches for this task

Prerequisites

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Improved algorithms for the Bin Packing Problem

Project supervisor: Maxence Delorme

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Given a set of weighted items and an unlimited number of identical capacitated bins, the Bin Packing Problem (BPP) consists in

packing all the items into the minimum number of bins. The BPP has been studied for 80 years now and we count thousands of

published papers dealing with the subject. The BPP has various real world application such as cutting problems in industry (e.g.,

wood, paper, aluminium) and loading problems (e.g., containers in harbours, file storage on computer).

One particular challenge for the researchers working on the BPP is to find good Integer Linear Programming (ILP) models. In the

last decades, no less than seven different ILP formulations have been proposed for the problem: in chronological order, the textbook

model, the set covering formulation, the one-cut, the arc-flow [1], the DP-flow, the general arc-flow with graph compression, and

reflect [2]. A survey on the BPP and most of these models is given in [3].

Among these models, the arc-flow formulation was shown to be a very good compromised between simplicity (the model can be

coded in few days) and performance. In the arc-flow, a bin is represented by a path that goes from node 0 to node c (the capacity of

the bin), in a graph where arcs are items. For example, to pack the items of size (4, 4, 3, 3, 2, 2) in bins of capacity 9, the optimal

solution of the arc-flow model would be two identical paths (0,4), (4,7), (7,9), that correspond to two identical bins containing one

item of each size.

It is a known fact that the way to build the graph has a major impact on the performances of the arc-flow model: as a variable in the

model is associated with each arc, the number of arcs should be as small as possible. However, it must always be possible to build

the path that corresponds to any feasible bin to ensure the correctness of the model.

In the literature, only one algorithm to build the graph was studied, and is based on ordering the items by non-increasing weight.

However, it is easy to find counter examples in which other strategies (e.g., put all the items with even size first) lead to graph of

smaller size.

In this project, we will build algorithms that determine the item ordering that leads to the graph of smallest size and we will measure

the performance of various ordering strategies (non-increasing, non-decreasing, even first ?).

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Review the literature on the arc-flow formulation applied to packing problem

Build a brute force algorithm that tries every possible item ordering, and test it on small size instances

Study statistically the results of the algorithm and outline the best ordering strategies

Build an ILP model that determines the best item ordering and test it on medium size instances

Extend this work to the arc-flow model applied to the BPP with item fragmentation

Prerequisites

- Good programming skills

Recommended reading

[1] Valério de Carvalho, J.M. (2002). LP models for bin packing and cutting stock problems, European Journal of Operational

Research, 141(2), 253?273.

[2] Delorme M., Iori M. (2019). Enhanced pseudo-polynomial formulations for bin packing and cutting stock problems, INFORMS

Journal on Computing, forthcoming.

[3] Delorme M., Iori M., Martello S. (2016). Bin packing and cutting stock problems: mathematical models and exact algorithms,

European Journal of Operational Research, 255(1):1?20.

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Inference for dynamical systems models of nerve regeneration

Project supervisor: Linus Schumacher

Project type

standard

Suitable degrees

Project description

Mathematical models can help to resolve complex interactions of multiple cell types in tissue regeneration. This project involves

modelling spinal cord repair in zebrafish using systems of non-linear differential equations representing cells and molecules at the

wound site. A successful project will contribute to ongoing research in a collaboration between the mathematical modelling group of

Dr Schumacher at the Centre of Regenerative Medicine in Edinburgh, and the Becker lab at the Centre for Inflammation Research.

Zebrafish have the ability to regenerate their spinal cord after injury, and immune cells of various kinds play important roles in

regulating inflammation and repair immediately after injury. However, the proposed interactions remain imprecisely defined, and

have not been quantitatively tested. This project will use recently published data [1] to construct, parameterise, and evaluate

quantiative models of cell interactions, and use these to predict outcomes of future experiments. A rough project outline is as

follows:

? Construct coupled ordinary differential equations to represent abundances of cells, interactions through secreted chemicals, and

their interactions

? Solve models numerically and fit to time-course data from normal and mutant animals

? Quantify model and parameter uncertainty using Bayesian inference approaches (see reference [2])

Prerequisites

- Bayesian statistics

- interest in Biological applications

Recommended reading

1. Tsarouchas, T. M., Wehner, D., Cavone, L., Munir, T., Keatinge, M., Lambertus, M., ? Becker, C. G. (2018). Dynamic control of

proinflammatory cytokines Il-1? and Tnf-? by macrophages in zebrafish spinal cord regeneration. Nature Communications, 9(1),

4670. https://doi.org/10.1038/s41467-018-07036-w

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2.Toni, T., Welch, D., Strelkowa, N., Ipsen, A., & Stumpf, M. P. H. (2009). Approximate Bayesian computation scheme for

parameter inference and model selection in dynamical systems. Journal of The Royal Society Interface, 6(31), 187?202.

https://doi.org/10.1098/rsif.2008.0172

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Integer programming formulations for edge deletion problems in graphs with applications to bovine

epidemiology

Project supervisor: Sergio GarcÃa Quiles

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

Livestock trading can be modelled through a graph where the nodes are farms with animals and the edges represent movement of the

animals. These nodes are in danger of becoming infected. Once a node is infected we assume that over time all the nodes in the

graph that can be reach from this infected node will also become infected. In the control and prevention of livestock disease it is

important the effect of deleting some edges of this graph, which in practice means forbidding some trade patterns or having extra

vaccination on some routes. In practice, deleting edges may create protected isolated subgraphs - the disease cannot jump from one

subgraph to another if there are no edges between them. The goal is to delete some edges so that the largest isolated subgraph is as

small as possible (it has as few nodes as possible)

So far there have been computer science approaches to this problem based on tree decompositions, but there have not been formal

mathematical programming formulations. The objective of this project will be to provide one or more possible formulations based

on integer programming and study how to solve them. As an extension, we will study temporal graphs, which happen when the

edges exist only during some time periods of the time horizon.

Prerequisites

- Integer programming.

- Experience with an optimization solver (e.g., Xpress).

Recommended reading

- "Deleting edges to restrict the size of an epidemic", Jessica Enright and Kitty Meeks. Research paper on Arxiv:

https://arxiv.org/abs/1504.05773

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Interior Point Methods for LP and QP

Project supervisor: Jacek Gondzio

Project type

standard

Suitable degrees

Project description

This project will require to study and implementan interior point method for a particular class of linearor quadratic programming

problem. It is a generic project.A student with a genuine interest in it is encouraged to contact Prof Jacek Gondzio to discuss

possible directions of research.

- study the theoretical background of the method; - implement the interior point method for a particular application.

Prerequisites

- fluency in the C programming language would be a plus,

- very good grasp of FuO (mark above 70%) and ODS.

Recommended reading

European Journal of Operational Research, 218 (2012), pp. 587--601.

http://www.maths.ed.ac.uk/~gondzio/reports/ipmXXV.html

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Intra-day Electricity Market Design and Optimization

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Operational Research with Risk

Project description

Intra-Day Market is an intermediate electricity market between the Day-Ahead Market and the Reserve Capacity Market that aims to

reduce the likelihood of imbalances (fluctuations in generation and consumption of electricity) by creating additional trading

opportunities for the electricity market participants. Intraday markets help to reduce imbalances arising from utility breakdowns,

fluctuations of power generation from renewables, and etc. In Europe, there are a number of Intra-day market designs used by

different countries. These designs mainly differ from each other by their focus on speed and liquidity. In this project, we aim to

provide mathematical models to formulate the different approaches to intra-day market modelling, and provide effective solution

methods to such models.

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Joint reliability assessment of the Great Britain and Ireland electricity systems

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Ensuring an appropriately high level of security of supply is one of the key issues in management of electric power systems and

markets, and thus associated risk assessment is a major topic in electric power system analysis. There has been renewed research

interest in recent years due to the advent of high capacities of renewable generation in many systems, whose availability has very

different statistical properties from that of conventional fossil fuel powered generation (as its availability is primarily determined by

the wind or solar resource, rather than by mechanical availability).

Within such risk assessments it is necessary to build a joint statistical model of demand and available renewable capacity (a

statistical association between these is naturally expected, as in most power systems temperature has an influence on demand

through heating or air conditioning load, and available renewable capacity is clearly driven by the weather).

This project will take methods developed for modelling wind and demand in the Great Britain system, and apply them to joint

reliability assessment of the GB and Ireland systems. Key applied questions will include how the reliability of each system depends

on the size of interconnection between them and the protocol for sharing resource between systems in the event of a shortfall.

Methodological questions will include the approach for joint modelling of wind generation and demand in the two systems

(including at extremes of the distribution of net demand), assessing the uncertainty in statistical estimates of reliability levels, and

efficient computation for calculations in the two area system.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be challenging.

Recommended reading

https://www.dur.ac.uk/dei/resources/briefings/blackouts/

http://sites.ieee.org/pes-rrpasc/files/2015/09/AmyWilson.pdf

http://sites.ieee.org/pes-rrpasc/files/2016/08/Amy-Wilson-Durham-University-Accounting-for-wind-demand-dependence-when-esti

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mating-LoLE.pdf

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Laplace-type distributions for statistical modelling

Project supervisor: Bruce J Worton

Project type

standard

Suitable degrees

Project description

This project involves studying the Laplace distribution, and its numerous generalizations and extensions, for statistical modelling.

There will be the opportunity to investigate the theory as well as apply the methods to data sets from areas such as Communications,

Economics, Engineering, and Finance.

Prerequisites

Statistical Programming (MATH11176)

Bayesian Theory (MATH11177)

Statistical Research Skills (MATH11188)

Recommended reading

Barnard, G.A. (1989). Sophisticated theory and practice in quality improvement. Philos. Trans. R. Soc. Lond. A 327, 581-589.

Barnard, G.A. (1995). Pivotal models and the fiducial argument. International Statistical Review 63, 309-323.

Kotz, S., Kozubowski, T.J. and Podgorski, K. (2001). The Laplace Distribution and Generalizations. New York: Wiley.

Wallis, K.F. (2014). The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries. Statistical

Science 29, 106-112.

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Learning and Forgetting Effects in Worker Cross-Training

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Project description

Cross-training workers to work on several tasks has proven to be one of the most efficient methods to hedge against the variabilities

in demand and increase utilization of the available resources. However, inclusion of cross-training significantly complicates the

capacity planning for organizations. One needs to decide not only the number of workers to be employed, but also decide which

individuals will be capable of doing which set of tasks. Yet another complication is the learning and forgetting effects due to being

cross-trained on a set of tasks. In psychology terms, the workers may be subject to retroactive and proactive inhibition effects which

will change their productivity on different tasks.

Our goal in this project will be to develop optimization methods to minimize the cost of capacity. We will utilize integer and

stochastic programming methods and analyze how the learning effects influences the capacity planning.

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Least Cost Generation Planning in Developing Countries

Project supervisor: Alice Waltham

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

EMRC has developed a suite of models that support electricity utilities in developing countries with constrained resources to

optimise their investment. These utilities typically suffer from insufficient generation and network capacity, resulting in frequent

outages and low levels of customer satisfaction, leading to low willingness to pay, high aggregate technical commercial and

collection (ATC&C) losses and a dire financial situation for the utility. To support utilities in breaking this cycle, EMRC are

developing a practical suite of models that will allow utilities to optimise the use of their limited capital to improve their financial

position.

Energy demand study using time series econometrics to model the underlying demand that is supressed by inadequate

generation/network constraints.

Optimised Modelling of Network Investments (OMNI) including the optimisation of the decision to invest capital expenditure in

loss reduction and/or network upgrades to remove constraints. The methodology recognises revenue/kWh for each feeder is different

depending on the mix of customers and ATC&C losses. The revenue/kWh by feeder provides a value for reducing technical losses

and a Value of Unmet Demand.

Optimised approach to electricity supply in currently unserved areas ? supporting the decision of whether to invest in network

expansion or off-grid supply (mini-grids or solar homes).

Modelling the financial performance of the utility given the selected investments.

This assignment will develop a least cost generation investment planning tool, to allow utilities to also optimise the procurement or

development of new electricity generation over a 5 ? 10 year planning horizon. The tool will be integrated with the other models to

provide an overall investment planning approach for utilities in developing countries.

The tool will need to consider different technologies (solar, hydro, diesel, LPG and possibly wind) and the great uncertainty attached

to the output of grid based generators. The possibility of intra-day trading to balance out load with existing generators will also need

to be considered.

The project will also improve the interface of the energy demand models to allow users to model supressed demand and derive load

duration curves more easily.

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The student will demonstrate the least cost generation plan operating in selected scenarios, based on confidential data EMRC will

provide for a specific developing country. An enthusiastic student may be able to demonstrate the full application of the integrated

model for selected scenarios.

Prerequisites

Advanced modelling skills in Excel are essential. Python and R also desirable for the econometrics element.

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Matrix-Free Interior Point Method

Project supervisor: Jacek Gondzio

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

This project will require to study and implementan interior point method for a particular class of linear(and separable quadratic)

programming problems in which the numberof variables significantly exceeds the number of constraints.The approach relies on

conjugate gradient algorithm anda special preconditioner which exploits particular featuresof the interior point method.

Objective - study the theoretical background of the method; - implement the interior point method with only an implicit access to the

constraint matrix; - apply this implementation to solve several classes of real-life problems originating from network optimization

and/or signal processing.

Prerequisites

- fluency in the C programming language would be a plus,

- very good grasp of FuO (mark above 70%) and ODS.

Recommended reading

Computational Optimization and Applications, 51 (2012), pp. 457--480.

http://www.maths.ed.ac.uk/~gondzio/reports/mtxFree.html

European Journal of Operational Research, 218 (2012), pp. 587--601.

http://www.maths.ed.ac.uk/~gondzio/reports/ipmXXV.html

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MIP/MINLP techniques for sparse regression/subset selection

Project supervisor: Lars Schewe

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

A standard additional constraint in many regression problems is to enforce sparsity on the solution or, to put it another way, to select

a subset of variables before solving the regression problem.

use combinatorial algorithms to find the correct subset (often via an active set type approach)

If one is interested in algorithms for large data sets then approach A is the most common. One, however, cannot guarantee global

optimality in most of the cases. To guarantee global optimality, one typically uses approach B. But general purpose solvers have

become much much better over the last years. So, how good is approach C?

Prerequisites

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Misalignment and uncertainty in remote sensing data

Project supervisor: Finn Lindgren

Project type

academic

Suitable degrees

Project description

Remote sensing data from satellites for weather and climate analysis comes in large volumes and at high resolution. When

performing spatial analysis it is often necessary to aggregate the raw pixel information into larger gridboxes or other regions. If the

aggregated data later needs to be converted into data on a different grid, misalignment errors are introduced. That aim of the

proposed project is to assess the effect of such data aggregation and regridding, in the context of spatial statistics methods based on

finite element mesh calculations, and is based on problems from the EUSTACE EU project on high resolution historical climate

reconstruction in cooperation with the UK MetOffice.

Prerequisites

Linear models are essential. Bayesian methods may also be useful. Some R coding experience is necessary.

Recommended reading

F. Lindgren, H. Rue, J. Lindström (2011) An explicit link between Gaussian fields and Gaussian Markov random fields: the

stochastic partial differential equation approach, Journal of the Royal Statistical Society Series B, 73(4), pp. 423?498.

Lindgren, F. and Rue, H., 2015. Bayesian Spatial Modelling with R-INLA. Journal of Statistical Software, 63 (19).

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Mixed Integer Linear Programming for the Bin Packing Problem with Item Fragility

Project supervisor: Maxence Delorme

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Given a set of weighted items and an unlimited number of identical capacitated bins, the Bin Packing Problem (BPP) consists in

packing all the items into the minimum number of bins. The BPP has been studied for 80 years now and we count thousands of

published papers dealing with the subject.

One variant of the BPP is the BPP with Fragile Objects (BPPFO). In the BPPFO, each item has a fragility in addition of a weight,

and the bin capacity is not fixed anymore: it is now equal to the smallest fragility among the items inserted in the bin. The BPPFO is

important in telecommunications, where it models the allocation of cellular calls to frequency channels. In Code Division Multiple

Access (CDMA) systems, a network is divided into cells, and each cell is equipped with an antenna having a limited number of

frequency channels. Any time a user makes a call, the CDMA system assigns the call to a frequency channel. See [1] for further

details.

One particular challenge for the researchers working on the BPP is to find good Integer Linear Programming (ILP) models. In the

last decades, no less than seven different ILP formulations have been proposed for the problem: in chronological order, the textbook

model, the set covering formulation, the one-cut, the arc-flow [2], the DP-flow, the general arc-flow with graph compression, and

reflect. A survey on the BPP and most of these models is given in [3].

Among these models, the arc-flow formulation was shown to be a very good compromised between simplicity (the model can be

coded in few days) and performance. In the arc-flow, a bin is represented by a path that goes from node 0 to node c (the capacity of

the bin), in a graph where arcs are items. For example, to pack the items of size (4, 4, 3, 3, 2, 2) in bins of capacity 9, the optimal

solution of the arc-flow model would be two identical paths (0,4), (4,7), (7,9), that correspond to two identical bins containing one

item of each size.

In this project, we will extend the arflow formulation (that was designed for the BPP) to the BPPFO.

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Propose a naïve implementation of the arcflow for the BPPFO, with one graph per item fragility

Try several ideas (item ordering, alternative graph construction) to improve the performances of the naïve model

Prerequisites

- Good programming skills

Recommended reading

[1] Martínez, M. A. A., Clautiaux, F., Dell'Amico, M., & Iori, M. (2013). Exact algorithms for the bin packing problem with fragile

objects. Discrete Optimization, 10(3), 210-223.

[2] Valério de Carvalho, J.M. (2002). LP models for bin packing and cutting stock problems, European Journal of Operational

Research, 141(2), 253?273.

[3] Delorme M., Iori M., Martello S. (2016). Bin packing and cutting stock problems: mathematical models and exact algorithms,

European Journal of Operational Research, 255(1):1?20.

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Mixed Integer Linear Programming for the Diet Problem

Project supervisor: Maxence Delorme

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Human diet is complicated to organize: in addition of the obvious budget constraint shared by any individual, one has to pick a set of

aliments that he likes, respects the recommended daily allowance (RDA) for each of the main nutrients, provides satiety, takes into

account any personal restriction (e.g., low-cholesterol, vegetarian, low-energy), and is sufficiently diversified to be followed.

As all of the constraints can be expressed in linear forms, the aim of the project is to use a mixed integer linear programming (MILP)

model to construct a diet schedule suitable for a multitude of profiles. The Cisqual tables (see

https://ciqual.anses.fr/#/cms/download/node/20) will be used as input data for the aliments while official UK guidelines (

https://www.nutrition.org.uk/nutritionscience/nutrients-food-and-ingredients/nutrient-requirements.html) will serve for the nutrient

constraints.

Review the literature on the MILP models proposed for the diet problem

Simplify the Cisqual tables that originally have 2807 aliments and 60 attributes through statistical analysis (e.g., by merging groups

of aliments and eliminating unnecessary attributes)

Define additional rules (i.e., constraints) to make the diet feasible (e.g., [1] stated that a naive modelling generated a solution

requiring to drink gallons of vinegar)

Analyse the limits of the models: e.g., up to how many aliments can the MILP model take into account until it is not able to give

the optimal solution anymore? Can we propose some preprocessing techniques excluding automatically some aliments with very

poor nutritive values?

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Prerequisites

- Good programming skills

Recommended reading

[2] Sklan, D., & Dariel, I. (1993). Diet planning for humans using mixed-integer linear programming. British Journal of Nutrition,

70(1), 27-35.

[3] Anderson, A. M., & Earle, M. D. (1983). Diet planning in the third world by linear and goal programming. Journal of the

Operational Research Society, 34(1), 9-16.

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Mixed Integer Linear Programming in video games: Dota 2 Auto Chess case study

Project supervisor: Maxence Delorme

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Before year 2000, most of the video games (e.g., Zelda, Mario, Sonic) had a linear gameplay: they consisted in defeating a fictional

enemy in an offline world where only few decisions were left to the player. Nevertheless, some optimization problems could already

be found: how to pack efficiently the "loots" in the character's knapsack to maximize the profit (Knapsack problem) or how to finish

the game as fast as possible in some speed run challenges (Shortest path problem).

When affordable broadband internet connectivity spread, other types of video games such as:

MMORPG -- Massively Multiplayer Online Role-Playing Game (e.g., World of Warcraft, Dofus)

were developed. These video games usually allow players to compete one against each other, and motivated by the huge cash price

involved (e.g., up to 100,000 $ for the winner of some Hearthstone competitions) various strategies based on optimization emerged

in order to be the strongest. For example, some websites (e.g., Raidbots https://www.raidbots.com/simbot) determine the set of items

for a World of Warcraft character that maximizes his damages. Some others (e.g., HSRreplay https://hsreplay.net) perform the win

rate of some Hearthstone cards so that the player knows which one he should keep in his starting hand. Some algorithms [1] also

determine the tours in Pokemon Go that maximize the items collected.

In this project, we are interested in Dota 2 Auto Chess, a recent game in which, at each turn, the player picks some pieces to position

on a chessboard in order to fight one of the seven other players (chosen randomly). Each piece has a cost, and only 5 pieces out of 55

(in the patch 1.1.7) are proposed to the player at each turn. The pieces can be sold for gold, or combined with similar pieces to

become stronger. The pieces also have a chance of appearance, a species, and a class. Some specific boosts (such as damage

multiplicator or defence bonus) can be obtained if the player has enough pieces of the same species / class on board.

Page 69/108

The main topic of the project is to identify the optimization problems related to the game, and propose some techniques to solve

them. In particular, the student should:

Review the literature on optimization applied to video games and games in general (e.g., [2] and [3]).

Design an MILP model that will, according to arbitrary weight functions, determine the optimal combination of pieces (i.e., the one

that has maximum weight).

Simulate the phases where the player picks the pieces, and determine the likelihood of obtaining a given combination of pieces. If

the best combination has too many rare pieces, it is unlikely that it can be obtained by the player.

Modify the MILP to incorporate some data about (i) the positive or negative interaction between boosts and pieces, and (ii) the

likelihood of obtaining the mentioned pieces.

Modify the simulation and the MILP model to make them as close as possible to the original game (e.g., the rarity of a piece is

impacted by the other players' choices, the gold income depends on the current gold of the player (interests), and his results of the

last games (last game won, winning or losing streak ?).

Prerequisites

- Excellent programming skills (ideally in c++)

- Interest in video games (ideally in Dota 2 Auto Chess)

Recommended reading

[1] Álvarez-Miranda E., Luipersbeck M., Sinnl M. (2018). Gotta (efficiently) catch them all: Pokémon GO meets Orienteering

Problems. European Journal of Operational Research, 265(2), 779-794.

[2] Hertog D.D., Hulshof P.B. (2006). Solving Rummikub Problems by Integer Linear Programming. The Computer Journal, 49(6),

665-669.

[3] Kiyomi M., Matsui T. (2001). Integer Programming Based Algorithms for Peg Solitaire Problems. International Conference on

Computers and Games, 2063, 229-240.

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Mixed-Integer Equilibrium problems

Project supervisor: Lars Schewe

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

A common model for energy markets, eps. electricity markets, are equilibrium models. We assume that we have a number of players

who want to maximise their profit and they all need to fulfill a market clearing condition. The theory for these problems is

well-studied in the case that each player has to optimise a convex problem. In real markets, however, nonconvexities appear

naturally. One instance are fill-or-kill bids, i.e. one either commits to produce a fixed amount or nothing. These requirements lead to

the question, how to include integer variables into the equilibrium framework. There are a number of approaches in the literature.

In this project, the goal is to analyse the results of different proposed schemes for a model problem.

Recommended reading

O'Neill, R. P., Sotkiewicz, P. M., Hobbs, B. F., Rothkopf, M. H., & Stewart Jr, W. R. (2005). Efficient market-clearing prices in

markets with nonconvexities. European Journal of Operational Research, 164(1), 269-285.

Huppmann, D., & Siddiqui, S. (2018). An exact solution method for binary equilibrium problems with compensation and the power

market uplift problem. European Journal of Operational Research, 266(2), 622-638.

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Money Dashboard - Duplicate Transactions

Project supervisor: Chris Dryden

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Money Dashboard holds 300 million UK consumer banking transactions. This reflects the spend in people's current, savings and

credit card accounts. This data can provide invaluable insight into consumer spending habits. The data is rich and complex and

Money Dashboard continue to strive to understanding and "taming" that data. This allows us to provide a better service to our users

and generate revenue from understanding consumer spending.

Money Dashboard has a web and mobile application which users can sign up to and provide their banking transaction data. We

inevitably end up with duplicate data where users signup multiple times (with different email addresses), where users add their bank

accounts multiple times or where users have a joint account with another Money Dashboard users.

This duplicate data can create "noise" within our analysis and the identification and management of duplicate handling is something

we need to handle. We have a process currently which can be shared.

The identification of duplicate accounts is one process we do well. The identification of duplicate transactions is much more

challenging (we can legitimately have two transactions with iTunes for the same amount on the same day which is not a duplicate, or

someone can buy two rounds of drinks on the same day for the same value or where someone withdraws the same amount of money

from the same cash machine).

This project would aim to find a consistent method of identifying duplicates within the data and provide a confidence rating for

those duplicates based on the transactions or trends in the data that identifies duplicates.

The final result would be a methodology that could be applied to identify duplicates in existing and incoming transactions.

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Money Dashboard - Income Identification

Project supervisor: Chris Dryden

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Money Dashboard holds 300 million UK consumer banking transactions. This reflects the spend in people's current, savings and

credit card accounts. This data can provide invaluable insight into consumer spending habits. The data is rich and complex and

Money Dashboard continue to strive to understanding and "taming" that data. This allows us to provide a better service to our users

and generate revenue from understanding consumer spending.

Money Dashboard is poor at identifying people's income. This presents challenges when we are trying to help our users be better

with their money. A fundamental first step in that help is to understand how much the user earns.

Income transactions are complex. Some people are paid monthly, others every four weeks and some weekly. Some people have two

jobs. People change jobs and therefore change the pattern of how they get paid. Some people get promoted and change their salary

amounts.

We need to define an algorithm that will allow us, with a high degree of confidence to identify income transactions and understand

the users income.

This approach would require machine learning techniques and feature identification over a large dataset.

The final result would be a method and algorithm that can be applied to a new user to accurately identify their income.

Difficulty: Hard (variations in income make the statistics very hard to implement)

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Money Dashboard - Metric Normalisation

Project supervisor: Chris Dryden

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Money Dashboard holds 300 million UK consumer banking transactions. This reflects the spend in people's current, savings and

credit card accounts. This data can provide invaluable insight into consumer spending habits. The data is rich and complex and

Money Dashboard continue to strive to understanding and "taming" that data. This allows us to provide a better service to our users

and generate revenue from understanding consumer spending.

Money Dashboard's user base is growing at an accelerated pace as more users adopt the platform, additionally some users are also

leaving the platform, ending their spending data history. We need to be able to control for this shifting panel size by creating steady

user panels which can be used to understand long-term real patterns in consumer spend.

Money Dashboard has developed a way to do this which does control for the panel but the method has its weaknesses.

This project would be looking to explore different ways to normalise the data to see if other methods should be used to improve

upon the current method. The efficacy of the method adopted should be measured by the following criteria:

The method should effectively control for the shifting panel size. Allowing for consistent analysis across time periods as the panel

grows.

The method should allow for calculation of metrics (such as spend, transaction count etc.) at different dimension granularities i.e.

daily, weekly, monthly, merchant, merchant brand.

The method should be intuitive enough to be easily communicated to our data clients

Difficulty: Medium (a number of methodologies for normalisation will more than likely exist which can be tested against the data)

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Money Dashboard - Representative Panel

Project supervisor: Chris Dryden

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

credit card accounts. This data can provide invaluable insight into consumer spending habits. The data is rich and complex and

Money Dashboard continue to strive to understanding and "taming" that data. This allows us to provide a better service to our users

and generate revenue from understanding consumer spending.

Money Dashboard has a skew in it's panel. We have more men than women (67% to 33%), younger, technology savvy users (we are

under represented in the over 50 age ground).

We would like to define a method that would weight the panel and their transactions to allow us to make the data more

representative of the UK population as a whole.

Using publicly available datasets the project would look to understand the representation of the UK population (by gender, age,

salary and postcode) and then define a method that would weight the Money Dashboard panel allowing the statistical methods to

analyse consumer spend to be more representative.

The result would be a dynamic method that could be maintained that would adjust to the constant changing Money Dashboard panel.

Difficulty: Hard (due to the need to map to publicly available external data sources and to assess the quality of the result).

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Multi-trip Multi-period Vehicle Routing Problems with Time Windows

Project supervisor: Joerg Kalcsics

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

The project is motivated by a problem brought to us by a Scottish company. The company manufacturs goods and distributes them

with their own fleet of vehicles to customers. If a customer places an order with the company before 3 pm on a given day, then the

company guarantees delivery on the next day. After 3 pm, transport planner of the company then starts to build the delivery routes

for the next day. However, not all customers require a next-day delivery. Some of them specify a time window saying that, for

example, they need the delivery within the next three days, or, if they order on Tuesday, that the delivery should be on Wednesday

or Friday. Hence, there is some flexibility for the planner as to when to schedule the deliveries of those customers. Thus, ideally, the

planner should create routes not only for the next day but for the next 2-3 days. However, given the complexity of the problem and

the size of data, this is usually not possible. In addition, most vehicles do two tours per day. That is, they have to return to the depot

for reloading during the day. The company has only two bays for reloading vehicles and if the trips are not properly scheduled,

queues form at the reloading stations, considerably delaying deliveries and increasing the working hours of the drivers. The

company is now seeking help with their routing problem.

The goal of the project is to develop and implement a model for above described Multi-trip Multi-period Vehicle Routing Problems

with Time Windows. There are two possible approaches that can be taken

Derive a mixed-integer linear programming formulation and implement it using a standard solver, e.g. Xpress.

It is not yet clear to what extent the company will want to get involved in the project and whether we will be able to obtain actual

data from them. If not, then we can either generate random data sets or use publicly available data sources, e.g., Ordnance Survey,

the Office of National Statistics, or the UK Data Service.

The project can be taken by two students, one working on a MIP formulation and implementation and the other one the heuristic.

Both students would then work together on gathering data and analysing the findings.

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Nonparametric Bayesian Methods

Project supervisor: Gordon Ross

Project type

standard

Suitable degrees

Statistics and Operational Research

Project description

In parametric Bayesian inference, one assumes that the data is generated by a probability distribution with a known form, such as the

Normal or Exponential distribution. However in most realistic situations the form of the distribution will not be known, and

inference based on a miss-specified parametric model can give wildly misleading results. This has motivated the development of

nonparametric and semi-parametric methods which do not require a full specification of the data distribution and can hence be used

when this is unknown. This project will explore the use of popular Bayesian nonparametric models such as the Dirichlet process and

Polya Tree process. A solid computational/programming background is required.

Prerequisites

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Optimal offering strategy of distributed energy assets in the UK balancing market

Project supervisor: Dr. Nick Good

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

PROJECT DESCRIPTION:

Upside Energy develops software and hardware to control and dispatch distributed energy assets to provide power system services and/or to p

The aim of this project is to develop, validate, and test a stochastic programming model for selecting a optimal set of bids in the UK balancin

The student will be provided with the technical characteristics of the cluster, the generation schedule already contracted, and a set of balancin

· build a multi-stage stochastic program for optimal offering in the UK balancing market able to capture the delay between decision makin

· implement standard techniques for scenario generation and reduction in order to obtain a tractable scenario tree;

· evaluate how the scenario generation and reduction process influences the optimal decisions in the out-of-sample analysis;

Prerequisites

Essential:

*proficiency in LP and MILP optimization.

*computer programming and modelling skills (e.g., Julia/JuMP, Xpress, Python).

Desired/Recommended:

*basic knowledge of energy system optimization (OREI).

*basic knowledge of scenario generation/reduction techniques.

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Optimistic Priors and Pessimistic Data? Measuring Compatibility

Project supervisor: Miguel de Carvalho

Project type

standard

Suitable degrees

Project description

The goal of this project will be on quantifying how much two experts agree, and how much do they agree with the observed data.

The measures to be reviewed in the project are based on a geometrical interpretation of Bayes theorem that can be used for

measuring the level of agreement between priors, likelihoods, and posteriors. The starting point for the construction of the said

geometry is the observation that the marginal likelihood can be regarded as an inner product between the prior and the likelihood.

Some examples are used to illustrate our methods, including data related to on-the-job drug usage, midge wing length, and prostate

cancer.

Prerequisites

Recommended reading

Christensen, R., Johnson, W., Branscum, A. and Hanson, T. E., (2011). Bayesian Ideas and Data Analysis: An Introduction for

Scientists and Statisticians. Boca Raton, FL: Chapman & Hall/CRC.

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Pension Decumulation via Prospect Theory

Project supervisor: Dr John Dagpunar

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Recently, people in the UK with a defined contribution pension pot have been able to drawdown or decumulate the pot. The question

of how much to take from the pot each year is a classic example of sequential decision making under uncertainty. The uncertainty

and consequential risk arises from (a) longevity ? living longer than expected risks ?failure' or ?ruin' in that the pension pot may be

exhausted, (b) future investment performance, and (c) future inflation behaviour. In addition, the investment performance depends

upon decisions taken to vary the balance between risky and risk-free assets.

Also, it is not obvious what the objective should be. Clearly, it is related to the income withdrawn each year, to a desire not to run

out of money, and perhaps a bequest motive. Here we follow the Prospect Theory of Kahneman and Tversky (1979) where the

emphasis is on an individual's yearly and terminal expectations (reference points), which in this case we choose to be their target

withdrawal amounts and target bequest amount. Regarding the former, suppose the aim is to withdraw a target amount £$T_n$ in

real terms at age $n$. If the actual real annual withdrawal amount is £$w_n$ then we define a strictly increasing value function

$v_n$such that $v_n>0$ and concave when $w_n>T_n$, elseit is negative and convex. We can think of the value in any year as the

degree of happiness or pain experienced in a year according to whether the target is met or not. As with pure concave utility

functions, losses (below target) result in more pain than the happiness resulting from gains (above target) of the same magnitude.

That is called loss aversion, but note that in Prospect Theory there is a mix of concave and convex. The implication is that people are

risk averse when meeting their expectations and risk taking when falling below them. According to Kahneman and Tversky there is

much exp$erimental evidence for this.

Now suppose that $1-phi_n$is the probability of surviving to age $n+1$ given the individual's current age is $n$ and that $R_n$is

the real (after inflation) investment return during that year. Let $a$ denote the age at which decumulation starts, $b$the age at death,

$s_n$the pension pot at age $n$, $y(s_b)$the value of a bequest of$s_b$, and $f_n^{ast}(s_n)$ the maximum of the expected value

of $y(s_b)+sum_{i=n}^{b}v_i(w_i)$. Then, to determine the withdrawal amount $w_n$we consider the stochastic dynamic

program

right) right} $$

The project will involve numerical computations and so excellent programming skills are required. Data on survival probabilities is

available from the Office of National Statistics. We use a hypothetical distribution of investment returns and assume independence.

We experiment with different value functions to model different degrees of importance attached to meeting withdrawal and bequest

targets. Subsequently, investment returns could be simulated showing the range of outcomes for an optimal strategy. An

understanding of the decision process might lead to suggested heuristic strategies and some progress might be made towards

strategies for dynamically changing a mix of two assets.

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Kahneman, D. and Tversky, A. (1979). Prospect theory: An analysis of Decision under Risk, Econometrica, 47, 263-291

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Planning school capacities and catchment areas

Project supervisor: Joerg Kalcsics

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

In most UK cities, there is no freedom of choice when it comes deciding on where to send ones children. Instead, the designated

school is determined by the home address of the child. More precisely, each school has a predefined catchment area, which does not

overlap with a catchment area of any other school of the same type, and all children living within this catchment are obliged to go to

that school.

While this system avoids having to go through a - potentially lengthy and tedious - selection process during the summer, it severly

restricts the possibilities of school planners when facing overcrowded or underutilised schools. To deal with these situations, there

are essentially only two options: adjust the capacity of the school or change its catchment area. Both options come with obstacles.

Reducing the capacity of a school typically involves asking teachers to move schools. Extending the capacity of a school will

usually mean errecting new buildings or adding annexes to existing ones, both of which entail a considerable financial investment;

provided that there is space for an extension in the first place, which is not always the case in densly populated areas. While

changing the outline of catchment areas seems to be the easier option, and one that comes at no direct cost, this is is often as difficult

to implement as the former. The reason for this is that families with chilrdren often base their decision where to rent or buy based on

the school catchment area the property belongs to. Changing the catchment area will result in considerable opposition from affected

parents and may even impact housing prices, making the city susceptible for compensation claims from house owners. Thus, the

school planners have to find a "good" compromise between both options.

The goal in this project is to develop and solve a mathematical model that finds such a compromise. More precisely, given an

existing layout of schools and their catchment areas, the model should decide which schools to updgrade, which to downgrade, and

how to adjust catchment areas such that no school is overcrowded or underutilised and the financial invesment and adjustments to

catchment areas are minimal. There are two possible approaches that can be taken

Derive a mixed-integer linear programming formulation and implement it using a standard solver, e.g. Xpress.

The project will be in collaboration with Edinburgh City Council and they will provide us with data for the city of Edinburgh. It is,

however, not yet clear how much data they will be able to provide us with, as some of the data is highly sensitive, e.g., the actual

school capacities, number of classes, and ? especially ? the number of pupils per street/postal code and school year. If we are not

Page 82/108

able to get this data, then we can either "make it up" by randomly generating it, or by trying to extrapolate it from publicly available

data sources, e.g., Ordnance Survey, the Office of National Statistics, or the UK Data Service.

The project can be taken by two students, one working on a MIP formulation and implementation and the other one the heuristic.

Both students would then work together on gathering data and analysing the findings.

Prerequisites

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Portfolio Optimization: What is it good for?

Project supervisor: Andreas Grothey

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Optimization has been a popular tool to aid portfolio selection(i.e. how much to invest in which assets in order to maximise

profitwhile minimizing risk exposure) ever since the event of Markowitz'portfolio selection model[1]. Recently other models based

on conceptssuch as (conditional) Value-at-Risk, Robust Optimization andStochastic Dominance have been suggested to address

certain(perceived) shortcomings of the Markowitz model. Unfortunatelyobserved performance of all these models has been at least

patchy -indeed it seems very difficult for these sophisticated models tooutperform the simple "equally balanced" portfolio (i.e.

investingequal amounts in all available assets).

The aim of this project is to study how the above mentioned modelsmight be combined to obtain a portfolio selection strategy that

doesperform in practice. It is expected that the student will becomefamiliar with the standard portfolio optimization models. The

testcasewould be the international stockmarket over the lively period of the past 15 years.

Prerequisites

Optimization Methods in Finance (although could be adapted to students who did not do this course)

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Pre-processing for semidefinite programming

Project supervisor: Jakub Marecek

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Semidefinite programming (SDP) is a broad generalization of linear programming (LP), which encompasses also convex quadratic

programming, second-order cone programming (SOCP), and convex quadratically-constrained quadratic programming (QCQP). Out

of the applications not covered LP and QCQP, one could list:

SDP provides the strongest available bound (approximation algorithm) computable in time polynomial in dimensions of instances

of many combinatorial problems, such as MAX CUT, VERTEX COVER, and maximum constraint satisfaction problems, under

plausible complexity-theoretic assumptions [Khot, 2002].

SDP also provides a principled way of solving non-convex problems in polynomial optimization [Lasserre, 2015], under minor

assumptions, albeit not in polynomial time due to the size of the instances of SDP involved.

SDP has extensive applications in statistics and machine learning, and where covariance matrices are positive semidefinite.

SDP has extensive applications in computational finance, especially when seen as optimal control. For example, the optimal

trading trajectory problem under uncertainty and transaction costs [Calafiore, 2009] can be cast as an SDP.

On classical computers, there are so-called interior-point-method (IPM) solvers with run-time to error of epsilon that is polynomial

in the dimension n, the number m of constraints, and polylogarithmic in 1/epsilon. Prior to running the IPM, one often applies some

pre-processing. The most popular method for the pre-processing is based on chordal completion (Grone et al. 1984). Another

method is known a facial reduction (Borwein and Wolkowicz 1981). Some 35 years after Grone et al (1981), Raghunathan and

Knyazev (2016) showed that chordal pre-processing leads to numerical issues (degeneracy), but did not suggest how to address the

issue, other than by not performing the pre-processing, which would limit the reach of IPM on sparse instances considerably.

Kungurtsev and Marecek (2018) suggested that facial reduction should be used after chordal-completion procedures. In

computational experiments on SDP instances from the SDPLib, a benchmark, and structured instances from polynomial and binary

quadratic optimisation, they showed that such two-step pre-processing with a standard interior-point method outperforms the interior

point method, with or without the traditional pre-processing. Their code was in MATLAB, which allowed the reuse of chordal

completion package SparseCoLo, but introduced some very distinct limitations.

The goal of this project would be to translate the pre-processing to Python and Chompack, cf:

https://github.com/cvxopt/chompack/blob/master/doc/source/examples.ipynb

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and implement and analyse a novel facial reduction procedure, suggested by the supervisor.

Prerequisites

Recommended reading

https://arxiv.org/abs/1806.10868

L. Vandenberghe and M. S. Andersen: Chordal Graphs and Semidefinite Optimization, Foundations and Trends in Optimization,

2015.

http://seas.ucla.edu/~vandenbe/publications/chordalsdp.pdf

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Predicting the outcome of football matches

Project supervisor: Gordon Ross

Project type

standard

Suitable degrees

Project description

This project will explore the use of statistical methods for predicting the outcome of football matches. Potential methods will include

ELO ranking models for tracking the relative strengths of teams, regression/machine models for handing the prediction task, and a

study of the various factors which might affect results.

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Presolve for mixed integer programming problems

Project supervisor: Julian Hall

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

Mixed integer programming (MIP) problems are used in many practical applications. A linear objective function is minimized,

subject to linear constraints as well as integrality constraints on some of the variables. Presolve algorithms transform a MIP into an

equivalent problem of smaller dimensions. The reduced problem is solved and then the solution to the original problem is recovered

via a postsolve procedure. This project covers both the theory and the implementation of presolve for mixed integer programming

problems. Techniques for presolving and the corresponding postsolve techniques will be studied and then the algorithms will be

implemented in C++ or C#, using HiGHS to solve the reduced MIP problem.

Prerequisites

Recommended reading

Ashutosh Mahajan

https://www.mcs.anl.gov/papers/P1752.pdf

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Progressive Hedging for structured MIP

Project supervisor: Lars Schewe

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

When we model optimization problems, we often end up with a natural block structure. Each block then represents,e.g., a scenario in

stochastic optimization, one product in a supply chain model, or a day in a multi-day energy systems model. This project deals with

one method to use exploit such a block structure in mixed-integer optimization models.

The method was developed for stochastic programming: To get a good model of the uncertainty in a strochasitc program one often

needs a large number of scenarios. A classical technique to deal with these scenarios in linear or convex quadratic optimization

problems is to use a technique called "progressive hedging". However, its theoretical properties make it unsuitable for mixed-integer

problems. In a recent article, Boland et al. have discussed one method to extend this technique to stochastic mixed-integer programs.

The question is now, can we extend this technique to arbritrary block structured MIP?

To tackle this question, you will need to understand the technique and its prerequisites. Then you should identify problem types for

which you can apply it and give a proof-of-concept implementation.

Prerequisites

You should be able to use one programming language and be able to interface it to a MIP solver of your choice.

Recommended reading

N. Boland, J, Christiansen, B. Dandurand, A. Eberhard, J. Linderoth, J. Luedtke, F. Oliveira, "Combining Progressive Hedging with

a Frank-Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming", SIAM Journal on

Optimization 28-2:1312-1336, 2018.

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Real-time Forecasting the US Output Gap

Project supervisor: Miguel de Carvalho

Project type

standard

Suitable degrees

Project description

This project will apply multivariate singular spectrum analysis (SSA) methods for tracking and forecasting business cycles. The

forecasts will be produced resorting to real-time vintages, that is the version of the data that would be available to the forecaster at

the time at which the forecasts would have to be conducted. The statistical enquiry to be conducted will be based on multivariate

SSA methods which can be used to decompose a time series into several principal components of interest. To showcase the methods

in practice we focus on the US economy and contrast the obtained forecasts with the contraction periods dated by the National

Bureau of Economic Research (NBER).

Prerequisites

Recommended reading

- de Carvalho, M. & Rua, A. (2017) "Real-Time Nowcasting the US Output Gap: Singular Spectrum Analysis at Work"

International Journal of Forecasting, 33, 185?198.

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Relaxations and heuristics for facility layout design

Project supervisor: Miguel Anjos

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

The facility layout design (FLD) problem consists of optimally partitioning a rectangular facility (or floorplan) of known dimensions

into a given number of non-overlapping indivisible rectangular departments with fixed areas (Anjos & Vieira, 2017). The objective

is to minimize the total cost associated with the interactions between these departments. This cost incurred by each pair of

departments is equal to the distance between their centers multiplied by the pairwise cost. This latter cost accounts for adjacency

preferences, as well as costs that may arise from transportation, the construction of a material handling system or connection wiring.

The goal is to determine the position of the centres of the department as well as their dimensions (height and width).

Two main classes of methodologies have been used to solve the FLD. First, heuristics focus on constructing a layout satisfying all

the requirements of the problem and that are near optimal (Adya & Markov, 2003; Anjos & Vannelli, 2002). Second, exact methods

look for the optimal solutions by using a branching algorithm to enumerate quickly all possible solutions (Anjos & Vieira, 2017).

These latter approaches use relaxations of the FLD to obtain lower bounds on the optimal value of the problem. The tighter the

bound is, the more efficient the branch and bound algorithm is. Using exact methods, optimal solutions were achieved only for

problems with up to 11 departments, but using heuristics from nonlinear programming, near-optimal solutions were obtained for

problems with up to 100 departments.

This project is concerned with experimenting with a new optimization approach to be able to achieve significantly strong lower

bounds for the FLD problem. More specifically, an improved mixed-integer semidefinite programming formulation wil be used,

together with new valid inequalities to improve the relaxations, and heuristic strategies to construct feasible solutions.

Computational experiments will be carried out using Matlab to test new approach on benchmark test cases.

This project will be carried out in collaboration with Professor Matthias Takouda of Laurentian University (Canada).

Prerequisites

- Fluency in Matlab

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Revenue Maximization and Customer Satisfaction on Web-Based Portals

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Project description

With the advances in technology, the use of internet for personal transactions is widely adopted by the society. In this work, we will

be interested in simulating the traffic in web employment portals. There are two classes of users arriving at an employment portal:

(i) employees and (ii) employers. When an employee arrives at the system, s/he checks existing job postings and if s/he can find a

suitable job s/he leaves the system. If there are no suitable jobs available, then s/he post her resume on the website. Employers also

follow the same scheme. In this project, we will be working with systems where there are multiple types of employees and

employers and the probability that a given employer and employee matches depends on the type of these users.

Our goal in this project will be to design pricing mechanisms to maximize the revenue gained by subscriptions to the web portal. We

will develop utility-based models to control the traffic in these portals and analyze how the pricing policies affect customer

satisfaction.

Prerequisites

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Risk in Logistics

Project supervisor: Joerg Kalcsics

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Logistics focuses on moving goods in space and time such that the right product is in the right quantity at the right time at the right

place. Classical logistics activities are the transportation and distribution of goods between facilities, e.g. suppliers, factories,

warehouses, retailers, and their storage, handling, processing, and packaging. Typical goals are to maximize customer satisfaction

(expressed through service levels, product quality, responsiveness, etc.) and-often at the same time-to minimize total costs,

environmental impact, and tied-up equity. Logistics planners face many challenges, ranging from conflicting goals, over supply and

demand uncertainties and the lack of information, to the difficulties of having to organize logistics activities across borders and

cultures in multi-national companies. Starting in the 1950s, optimization and OR techniques have been developed and used to

optimize logistics activities, with an ever increasing importance, role and proliferation since then. In 2012, the total expenditure for

logistics activities in Europe was 1,726 billion Euros and thus even small improvements may result in considerable monetary gains.

Uncertainty and risk are inherent in logistics: Customer demand can never be forecasted exactly, travel times will never be certain,

and machines or vehicles may break down, severely affecting and impairing logistics operations.

The goal of this project is to work on a logistics planning problem involving uncertainty. The specific problem or class of problems

is up to discussion and can be decided on in the first meeting. Also the exacte "scope" of uncertainty is open, i.e. the focus can be on

how to deal with uncertainty on a general conceptual level or on how to deal with a very specific type of risk and risk measure.

Moreover, also whether the focus should be on modelling and solving the problem optimally (using, e.g., Xpress) or on developing

and implementing a good heuristic is open.

Prerequisites

Having taken the course Risk and Logistics would be helpful, but is not mandatory.

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Robust diameter optimization of tree-structured hydrogen networks with active elements

Project supervisor: Lars Schewe

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

When designing gas networks, one needs to account for the uncertainty in the future demands. At the moment, rough estimates are

made and the pipe network is designed with these estimates in mind. In a previous work, we have looked at the problem from a

robust optimization point of view. In this project, the goal is to extend the results to the case that the network contains active

elements, i.e., valves and compressors.

Recommended reading

Robinius, M., Schewe, L., Schmidt, M., Stolten, D., Thürauf, J., & Welder, L. (2018). Robust Optimal Discrete Arc Sizing for

Tree-Shaped Potential Networks. http://www.optimization-online.org/DB_HTML/2018/02/6447.html

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Routing Calls in Contact Centres with Agent Heterogeneity

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Project description

During the course of operation, contact centres receive a variety of requests and directing these requests to the most appropriate

agents is essential for efficiently operating the contact centre. Generally, the managers have information/forecasts about the

incoming requests and different agent pools that can potentially address different requests. However, due to the human nature of

agents, the performance of agents in a given pool may differ significantly. In this work, our goal will be to devise optimal or near

optimal routing mechanisms in the presence of within pool agent heterogeneity. We will analyze some recent results in the literature

that addresses the involvement of heterogeneous agents in the system and come up with methodologies to incorporate these novel

methods in routing problems.

Prerequisites

Simulation

Stochastic Modelling

Page 95/108

Solving Real Life Nonlinear Programming Problems: Optimal Power Flow

Project supervisor: Andreas Grothey

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Statistics and Operational Research

Project description

The Optimal Power Flow problem is an important problem in PowerSystems Engineering which is at the base of many more

sophisticatedoptimization problems relevant to power systems operations. Theproblem is that, given an electricity network with

given demands, tofind the cost optimal generation levels of the availablegenerators. The main difficulty of the problem is that power

flows arenot "switchable": the flow follows the Laws of Physics. Simply usingthe cheapest generators may well violate network

constraints (such asline flow limits, voltage levels, reactive power limits). Indeed powerflows are AC and the applicable Laws of

Physics are the AC versions ofKirchhoffs Laws. At this point approaches vary, but power flows can bedescribed either by complex

numbers, or, if staying in the reels,Kirchhoff Laws require trigonometric functions. In any case theresulting constraints lead to a very

challenging nonlinear,nonconvex optimization problem.

The purpose of the project is to explore models and solutionapproaches that have been proposed for this problem (which coverquite

a few areas of nonlinear optimization) and if possible comparedifferent models and implementations. Students would learn quite a

bitabout modelling and solving challenging real life optimizationproblems.

Prerequisites

The project can be adapted depending on the previous knowledge of the student.

Background on power systems can be read up on quite easily. Same for background on nonlinear programming techniques. The

project can be adapted to the previous knowledge of the student.

The project would require working with different models and building solution algorithms, probably with a combination of

Matlab/Python and Xpress/AMPL.

Page 96/108

Solving the discrete p-dispersion problem with Lagrangian relaxation

Project supervisor: Sergio GarcÃa Quiles

Project type

standard

Suitable degrees

Operational Research

Operational Research with Computational Optimization

Project description

In the discrete p-dispersion problem p facilities mus be chosen from a set of candidates so that the minimum distance between the

selected facilities is as large as possible. This a mixed integer programming for which several formulations have been proposed in

order to solve it efficiently. One of them consists in considering the different distances and ranking them. Different formulations

have been provided in the literature for this problem. The goal of this project is to carry out a literature review of the problem and

then to use Lagrangian relaxation for solving one ore more of this formulations.

Prerequisites

- Integer programming.

- Experience with an optimization solver (e.g., Xpress).

- Programming skills (e.g., C++).

Recommended reading

- "A new compact formulation for the discrete p-dispersion problem", D. Sayah and S. Irnich. European Journal of Operational

Research 256:62-67 (2017).

Page 97/108

Sparse ordinal regression: understanding perinatal depression with biological and psychosocial data

Project supervisor: Sara Wade

Project type

standard

Suitable degrees

Project description

Perinatal depression describes a clinically significant period of depressive symptoms in mothers around childbirth and can have a

severe impact on the mother, child and family. This study aims to use psychosocial data and inflammation-regulating biomarkers

based on blood samples collected during pregnancy to identify predictors of depression, both antenally and postnatally. Depression

is assessed using the Edinburgh Postnatal Depression Scale. While previous studies have ignored the discrete ordinal nature of the

response, this project will build an ordinal Bayesian regression model to more accurately model the data, with a sparsity-inducing

prior to indentify a sparse set of relevant predictors.

Prerequisites

Bayesian Theory

Recommended reading

"Bayesian Analysis of Binary and Polychotomous Response Data", Albert and Chib (1993).

"The Bayesian Lasso", Park and Casella (2012).

Page 98/108

Statistical modelling of directional data

Project supervisor: Bruce J Worton

Project type

standard

Suitable degrees

Project description

Interest in developing statistical methods to analyse directional data dates back as far as Gauss. Such data include:

- wind directions

This project would study the theory and application of circular data.

Topics would include: (i) basic descriptive directional statistics, (ii) common parametric models, (iii) statistical inference problems

on the circle. In addition, the student will study correlation and regression for directional data.

Application to meteorological data from JCMB weather station will provide an insight into the times of the year when KB is most

windy, and if this relates to other variables.

Prerequisites

Statistical Programming (MATH11176)

Bayesian Theory (MATH11177)

Statistical Research Skills (MATH11188)

Recommended reading

Fisher, N.I. (1993). Statistical Analysis of Circular Data. Cambridge: Cambridge University Press.

Fisher, N.I., Lewis, T. and Embleton, B.J.J. (1987). Statistical Analysis of Spherical Data. Cambridge: Cambridge University Press.

Page 99/108

Mardia, K.V. and Jupp, P.E. (2000). Directional Statistics. New York: Wiley.

Page 100/108

Statistical modelling of Olympic Games

Project supervisor: Bruce J Worton

Project type

standard

Suitable degrees

Project description

This project involves investigating data concerning the tally of Gold, Silver and Bronze medals in Olympic Games. The number of

medals a country wins in an Olympic Games is likely to depend on the size of the population of that country. For example, a country

such as the USA with a large population is likely to win more Gold medals than a country such as Luxembourg with a very small

population. This gives countries with large populations an advantage. A fairer comparison might be to take population size into

account when considering the success of a country in the Olympic Games. Similarly, the number of medals won by a country is

likely to depend on the wealth of the country.

The aim of the project is to use statistical modelling involving GLMs, and related models, to compare the performances of countries.

Prerequisites

Statistical Programming (MATH11176)

Bayesian Theory (MATH11177)

Statistical Research Skills (MATH11188)

Recommended reading

Venables, W.N. and Ripley, B.D. (2002). Modern Applied Statistics with S (4th edition). New York: Springer.

Page 101/108

Strategic Servers in Call Centers

Project supervisor: Burak Buke

Project type

standard

Suitable degrees

Operational Research

Operational Research with Risk

Project description

Call centres has been integral part of many organizations both in public and private sector in the last few decades. Our goal in this

project will be to understand the behaviour of agents in call centres and analyze the effects of strategic behaviour of agents. At a call

centre, agents value the idle time they experience and try to balance their effort spent to solve customer problems and the idleness

they experience. Taking the human nature of agents into account, each agent has a different way of evaluating the value of their

effort cost and idleness and this human aspect of the call centre design is generally disregarded in analysis. In this project, we will

employ a game theoretic approach to analyze the equilibrium behaviour of agents and for this purpose we will use recent results on

the analysis of systems with agent heterogeneity.

Prerequisites

Simulation

Stochastic Modelling

Page 102/108

Support Vector Machines in Financial Applications

Project supervisor: Jacek Gondzio

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Data Science

Project description

Support Vector Machines (SVMs) are a standard method in machinelearning and data mining used to separate points belonging to

two(or more) sets in $n$-dimensional space by a linear or nonlinearsurface. There exist numerous application of SVMs ranging

frompattern recognition, such as hand-written digit recognition andimage recognition, to medical applications such as findingthe

functions of particular genes, finding the most promisingtreatment for particular conditions and many others.Interior point methods

for optimization are one of possibleclasses of algorithms well-suited to solve SVM applications.

This project will require to study and implement an SVM modelfor a particular financial application chosen by the student.

Objective - study the SVM approach, - choose a particular financial application which can be modelled and solved using SVM

approach, - implement the application, - test model's performance on real-life data.

Prerequisites

- very good grasp of ODS.

Recommended reading

Interior-Point Methods for Massive Support Vector Machines,

SIAM Journal on Optimization 13 (2003), 783-804.

http://epubs.siam.org/sam-bin/dbq/article/37437

Exploiting Separability in Large Scale Linear Support Vector

Machine Training,

Computational Optimization and Applications (published on line).

http://www.springerlink.com/content/100249/?k=Woodsend

Page 103/108

K. Woodsend and J. Gondzio,

Hybrid MPI/OpenMP Parallel Linear Support Vector Machine Training

Journal of Machine Learning Research 10 (2009) 1937-1953.

http://www.jmlr.org/papers/volume10/woodsend09a/woodsend09a.pdf

Page 104/108

The split delivery vehicle routing problem with stop nodes

Project supervisor: Sergio GarcÃa Quiles

Project type

standard

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Project description

In the classical Vehicle Routing Problem (VRP) there is a fleet of vehicles and a set of customers that demand some products.

Routes must be designed and allocated to the vehicles so that all the demand is served, no vehicle exceeds its capacity, and each

customer is visited exactly once. If we allow that a customer can be visited by more than one vehicle, we then have the Split

Delivery Vehicle Routing Problem (SDVRP), which can lead to some savings.

If we are considering vehicles with a limited autonomy (e.g., electrical vehicles), they have to divide their routes into legs so that

each leg does not exceed their autonomy. We call this problem, when we allow split delivery, the Split Delivery Vehicle Routing

Problemm with Stop Nodes (SDVRPSN). The goal of this project is do a literature review to put this problem into context in the area

vehicle routing, to write a mathematical formulation for the problem, and to design and implement a heuristic algorithm to solve it.

Prerequisites

- Integer programming.

- Experience with an optimization solver (e.g, Xpress).

- Programming skills (e.g., C++).

Recommended reading

- "The split delivery vehicle routing problem: a survey.", C. Archetti and M.G. Speranza. In B. Golden, S. Raghavan, and E. Wasil

(editors.), "The vehicle routing problem. Latest advances and new challenges", pages 103-122. Springer (2008).

- "A randomized granular tabu search heuristic for the split delivery vehicle routing problem", L. Berbotto, S. García, and F,J,

Nogales. Annals of Operations Research 222:153-173 (2014).

- "A vehicle routing problem with split delivery and stop nodes", L. Berbotto, S. García, and F,J, Nogales. Working Paper 11-09

(06), Statistics and Econometrics Series, University Carlos III of Madrid (2011). Link:

https://e-archivo.uc3m.es/handle/10016/11026

Page 105/108

Understanding the demand for social care in an aging Scotland

Project supervisor: Nicholas Cassidy

Suitable degrees

Operational Research with Computational Optimization

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Scotland's population is rapidly changing with a growing elderly population forecast to continue to expand. By 2030 the over 65

population is forecast to grow by over 30% to 1.33 million people, meaning this group will constitute almost a quarter of the total

Scottish population. Clearly, such a change will have massive consequences for provision of services, particularly social care. As

yet, however, growth in the elderly population has not been accompanied by an increase in social care provision at the rate that

might be expected.

There are potentially a number of explanations behind this trend. Older people may be living healthier lives or innovative

preventative initiatives may be diminishing the need for long term care. On the other hand, care may be more tightly rationed and

targeted on the highest dependency cases with families and communities doing more for others, a scenario that could lead to

significantly increased demand in future. It may be a combination of all these factors and understanding what shapes the conversion

of demographic change into effective demand needs to be more fully explored and the role of rationing and cost control explicitly

discussed.

The goal of this project is to analyse a range of social care data in order to explore predictors of demand and how these interact with

both the supply of social care provision and other demographic and socio-economic factors at a local level. This is an area of key

strategic importance in Scotland, and the project provides the opportunity to help local and national government shape their

approaches going forward.

Prerequisites

Knowledge of traditional research methods and statistical procedures. The student would be required to utilise a range of publicly

available data sources, and so knowledge of these would be advantageous, particularly health and demographic indicators.

Recommended reading

http://www.improvementservice.org.uk/documents/benchmarking/overviewreport1718.pdf

National Records of Scotland Projected Population of Scotland - see PDF report and data available here:

https://www.nrscotland.gov.uk/statistics-and-data/statistics/statistics-by-theme/population/population-projections/population-projecti

ons-scotland/2016-based

Scottish Government Medium Term Health and Social Care Financial Framework, for an understanding of expected conversion of

aging population into provision, available here:

https://www.gov.scot/binaries/content/documents/govscot/publications/publication/2018/10/scottish-government-medium-term-healt

h-social-care-financial-framework/documents/00541276-pdf/00541276-pdf/govscot%3Adocument

Page 106/108

Accounts Commission Social Work in Scotland, available here:

http://www.audit-scotland.gov.uk/uploads/docs/report/2016/nr_160922_social_work.pdf

Page 107/108

Validating models of conventional generation for power system reliability assessment (with Astrape)

Project supervisor: Chris Dent

Project type

standard

Suitable degrees

Operational Research with Risk

Operational Research with Data Science

Statistics and Operational Research

Project description

Most electric power systems, unless they have significant hydro-electric resource, principally rely on conventional generating

capacity (gas, coal, nuclear and similar) for reliability of supply. Reliability of conventional generation is primarily a matter of

mechanical availability (ie whether it is broken down or not), as fuel is usually available.

The standard model for conventional generation in such calculations makes the very strong assumption that available capacities from

different units are statistically independent. This assumption has, however, rarely been validated with respect to data on observed

outcomes of unit availability. There has also been limited investigation of the appropriate data and methods to use for statistical

estimation even if the assumption of independence were valid (i.e. as it is times of highest demand which matter most in these

calculations, there is a tension between using directly relevant data from those rare times of highest demand, and the need for a

reasonable volume of data for statistical purposes).

High quality time series data on historic generation availability will be supplied by Astrape, a N American consultancy specialising

in power system reliability studies. Astrape will further advise on application issues and current methodology for industrial studies.

Prerequisites

This project has been listed for some OR MSc variants - however without having taken some optional courses in statistics within the

MSc (or equivalent background), the project would be very challenging.

Recommended reading

https://www.dur.ac.uk/dei/resources/briefings/blackouts/

Presentation from Astrape (particularly Appendix):

https://www.nyiso.com/documents/20142/5020603/Astrape%20presentation%20021519.pdf/8696ef09-28fc-b782-b575-1f79f7a38da

6

Please email Chris Dent if you are interested and would like to see a more detailed Astrape presentation on conventional plant

modelling.

Page 108/108

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