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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Advanced Stochastic Dynamic Programming for Energy Sector Assets

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

5-6 Nov 2019
Hilton Canary Wharf, United Kingdom

Why You Should Attend

Advanced Stochastic Dynamic Programming for Energy Sector Assets

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

How will you benefit?

This is a hands-on technical course intended to provide delegates with an advanced understanding 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 formulations directly into working code. While there are many useful applications of a single state variable SDP, there is also a broad selection of problems which do not quite fit into this group. In this advanced course we extend the methodology to handle multiple state variables, which allows us to tackle problems with autocorrelation, multiple reservoirs, and swing contracts which span several years.

This course builds directly on the techniques and materials used in the introductory course, however previous attendance to that course is not necessary in order to benefit from attending this advanced programme. You will though need a good understanding of the fundamentals of Stochastic Dynamic programming.

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?

From Energy Firms, Banks, Solution Providers, Consultants and Universities

Quantitative analysts

Financial engineers

Risk managers

Model developers


Portfolio managers

Key Topics

  • Extend your skills with Stochastic Dynamic Programming, allowing you to work with more complex
  • Learn how to extend SDP to higher dimensional problems
  • 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 to combine stochastic optimisation with Monte Carlo simulation to provide insight into valuation and hedging for real assets

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    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.

    Voice of Our Customers
    • “Valuable input on dynamic stochastic programming as a new technique” Vatenfall
    • “Good and intense” Norsk Hydro
    • “A good overview of DP, i really appreciated the worked examples” AXPO
    • “Good mix of intermediate and advanced topics” EDP
    Join the Discussion

    Event Contact

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

    Kamelia Simeonova

    101 Finsbury Pavement, London, EC2A 1RS

    0044 203 002 3172
    Email: kamelias@marcusevansuk.com