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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Stochastic Dynamic Programming for the Energy Sector

Implementing Stochastic Dynamic Programming for energy sector assets

26-27 Oct 2017
London, United Kingdom


Why You Should Attend

Stochastic Dynamic Programming for the Energy Sector

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

“Improve your understanding of the applications and limitations of energy sector models”

How will you benefit?

This is a hands on technical course intended to give a working understandinng of the methods used in stochastic optimisation of assets such as gas storage facilities, hydro power stations, swing contracts, and thermal power stations. We carefully work through the formulation of models, and translate these formualtions directly into working code. A key feature of this course is a detailed look at the dual formulation which delivers incredible speedup relative to standard techniques. The code examples will be implemented using MATLAB. A good working knowledge of MATLAB would be an advantage. Alternatively, strong programming skills in another language will be sufficient.

• Learn how to use Stochastic Dynamic Programming to model energy sector assets.

• Gain an in depth understanding of the workings of commercial asset valuation tools.

• Improve your understanding of the applications and limitations of energy sector models.

• Learn how Stochastic Dual DP can improve solve times by a factor of ten or more.

• Take away fully working code examples.

• Learn how to combine stochastic optimisation with Monte Carlo simulation to provide insight into valuation and hedging for real assets.

About your expert trainer:

Dr. Tristram Scott is an independent energy consultant based in Cambridge, England. He holds a PhD in Operations Research from the University of Canterbury, New Zealand, and has been involved in modelling the energy sector for over twenty years. Tristram's primary focus is on building optimisation and simulation based models for the energy sector. He is an expert in stochastic dynamic programming, a technique which he has applied to a wide range of problems in the energy sector, especially in the areas of hydro reservoir management, gas storage optimisation, and short term power station optimal dispatch.

Recent work has included:

• Gas storage valuation.

• LNG terminal investment analysis.

• Transfer pricing for portfolios of both hydro and thermal power stations.

• Swing contract valuations.

• Analysis of imbalance costs for wind farms.

• Code review and audit of client portfolio dispatch software.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

• Quantitative analysts

• Financial engineers

• Risk managers

• Model developers

• Researchers

• Portfolio managers


Key Topics

  • Learn how to use Stochastic Dynamic Programming to model energy sector assets.
  • Gain an in depth understanding of the workings of commercial asset valuation tools.
  • Improve your understanding of the applications and limitations of energy sector models.
  • Learn how Stochastic Dual DP can improve solve times by a factor of ten or more.
  • Learn how to combine stochastic optimisation with Monte Carlo simulation to provide insight into valuation and hedging for real assets.
  • Previous Attendees Include

    Quantitative analysts
    Financial engineers
    Risk managers
    Model developers
    Researchers
    Portfolio managers


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    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Gareth Banks


    101 Finsbury Pavement
    London EC2A 1RS
    England

    Telephone:
    +44 (0) 20 3002 3400
    Fax: +44 (0) 20 3002 3016
    Email: garethb@marcusevansuk.com