Transcript Slide 1 - OptiRisk Systems

OptiRisk Systems
Dr Cormac Lucas and Prof. Gautam Mitra
Contact:
Address: OptiRisk Systems, UNICOM R&D House, One Oxford Road
Uxbridge, Middlesex UB9 4DA, United Kingdom
Email: [email protected]; WEB: www.optirisk-systems.com
Telephone: +44 (0)1895 819 488 / 483
Fax: +44 (0)1895 813 095
Outline
1. About OptiRisk
2. Mission Statement
3. The People
4. Products
5. Services
6. USP:Unique Selling Points
7. Selection of Clients
1. About OptiRisk
OptiRisk Systems is a UK based company with a global reach; the
company has been set up to provide Optimisation and Risk
Management solutions.
OptiRisk has customers across a number of business sectors
including financial services, defence, transportation, energy, banking,
consumer electronics, insurance and government.
Primary Business:
• Development and Sales of software tools and components
• Project work and Consulting
• Training in Optimisation and Risk Modelling
2. Mission Statement
The mission of OptiRisk Systems is to be a global yet a niche player and a
leader in the provision of optimisation and risk solutions. Within OptiRisk
Systems we foster a culture of research and team building thus empowering
our staff to achieve their full potential. We are highly customer focused and
motivate our staff to provide an excellent service, which matches the business
needs of the clients.
We set out to achieve our mission through
Development of models, algorithms, software systems
Acquisition and value added reselling of optimisation software and specialist
applications,
Utilising leading edge networking, computing and software technologies.
Provision of services covering training and customised applications for a number of
sectors including:
 Finance
 Supply Chain and Logistics
 Utilities
 Transportation
3. People
Prof. Gautam Mitra and Dr. Cormac Lucas bring their experience and enthusiasm to drive this
company. The company also draws upon the research experience of CARISMA: The Centre for
the Analysis of Risk and Optimisation Modelling Applications Brunel University and benefits from
the R & D support an research results of their many researchers.
Prof. Gautam Mitra FBCS, FIMA, FRSA
Director & Chairman of Optirisk Systems, Director of CARISMA
Prof. Mitra has over 40 years of experience in Mathematical Programming Modelling, Computational
Optimisation, Operational Research, Computational Optimisation, Stochastic programming and Risk
Decisions in Finance.
Dr. Cormac Lucas
Director of Optirisk Systems
Dr. Lucas has extensive knowledge in Mathematical programming modelling, Pre-analysis techniques
in linear programs and representation of logical expressions as MIPs. Dr. Lucas earned a bachelor of
science degree from the Brunel University, (1981)and a PhD(1986) from Brunel University. In addition
to this, he has held academic positions at CARISMA, Brunel University..
Mr Frank Ellison
Mr Frank Ellison is the principal optimisation consultant ; he has extensive knowledge of optimisation
models, solver systems, and decision support systems.
{ CARISMA is the academic research partner of OptiRisk systems }
The company has a highly skilled pool of manpower resources. There are 3 Phd and
4 post graduate researchers variously working for OptiRisk systems
Products
OptiRisk Systems sell an extensive range of software for Optimisation and Risk
application(s). Our software range includes Modelling Systems for Mathematical
Programming, Optimisation Tools, and a number of Optimisation Software Suites
• Optimisation Solver (FortMP/FortSP)
- Linear / Mixed Integer (LP / IP)
- Quadratic / Mixed (QP / QMIP)
- Stochastic optimization (SP)
- FortMP-MEX Matlab add-on
• Portfolio Optimisation model and engine
•
Modelling Tools (AMPL Suite)
- AMPL Studio, AMPL COM, SAMPL/ SPInE
• Liability Determined Investment(LDI) / Asset and Liability
Management (ALM)
Products : Optimisation Solvers
 FortMP is a large scale optimizer
 Solves LP/MIP/QP/QMIP problems
 LP: Barrier and sparse simplex algorithms
 MIP: Branch and bound, cutting planes,
pre-processing tecniques
 QP: Branch and bound and branch and
relax
 Stand-alone and library version for embedding
Products : Modelling Tools (AMPL)
 AMPL: comprehensive and powerful algebraic
modelling language for linear and non-linear
optimisation problems
 It is ideally suited for rapid prototyping and
model development
 AMPL has been extended to express
stochastic optimisation models (SAMPL)
Products : AMPL Products offer
Data
AMPL Studio
AMPL
Interactive
AMPL
Models
AMPL COM
Object
C# / C++ / VB /
VBA Application
SAMPL/SPInE
Products : AMPL Studio
• Integrated modelling system based on
AMPL language.
• Benefits:
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Rich and user-friendly graphical interface
Compact and easy database connection
Workspace management
Model (set / variables) explorer
Seamless integration through memory interaction with a
variety of solvers
Products : AMPL Studio
Menu Bar
Editing Area
Workspace and
Model Explorer
Multifunctional Output
Console
Products : AMPL – COM Object
• Object Oriented Component Library, based on
Microsoft COM software technologies
• Rationale:
 Software building blocks utilise the features of a programming
language and AMPL individually as well as in combination
• Benefits:
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The components are used to build powerful DSS
applications
They hide models from end users – when desiderable
They make readily available the full AMPL features from
any major programming language
Products : AMPL – COM Object
AMPL
Command
SolverS
ModelS
Model
VariableS
Variable
ConstraintS
Constraint
ObjectiveS
Objective
OptionS
Solution
SolTime
Products : AMPL Studio - SPInE
 Seamlessly integrated into AMPL studio environment
 Extends AMPL language with constructs specific for modelling SP
problems and interprets them
Random
parameters
Stages
aggregations
Scenario tree
structure
Variables
Indices
Constraints
Time index
Parameters
Scenario
probabilities
Objectives
Probabilistic
constraints
Scenario
index
Products : Asset & Liability Management
(ALM)
• Complex application, from data fetching to problem
solving and results interpretation
• ALM model with a fixed income portfolio and interest
rate swaps
• Minimize deviations of the present value of assets
and liabilities and initial cash.
• It is composed by four deterministic model and one
stochastic
Products : LDI Information Flow
Information
Market Data
RISKWATCH +
Data Builder
RISKWATCH
+ Customer
Data Builder
Data
Sources
POPULATE DATA
Consolidator
+
Diagnostic
DATA MART
#.TAB
AMPL
MODEL
Optimisers
- FortMP
- CPLEX
Simulation and
visualization to
RISKWATCH
AMPL Modelling
Environment
RESULTS
[AMPL Com Object + LDI Model File +
#.DAT File + #.RUN File]
Products : LDI Project Control
Products : LDI Optimisation Engine
Products : LDI - Simulation and Analysis
5. Services
OptiRisk systems undertake
• research and development in optimisation modelling
• research and development in the analysis and modelling of risk
• analysis of information systems and data modelling
Our Recently Developed DSS
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Portfolio Rebalancing
Asset and Liability Management
Supply Chain Management
Planning & Scheduling of Defence Assets
Purchase policy of natural oil
We run public as well as in-house training courses
• in optimisation modelling
• stochastic optimisation and risk modelling
• creation of decision support systems
6. USP (Unique Selling Points)
• Specialist with deep domain knowledge in optimisation
modelling and risk analysis
•
Proven track record of supplying optimisation based
DSS to industry leaders
•
BS EN ISO 9000: 2000
( quality standard achieved by the company )
•
Achieved investor in people accreditation in respect of
management principles and procedures and staff care
•
Committed to the highest level of client support
7. Selection of Clients
OptiRisk has customers across a number of business sectors including
defence, transportation, energy, banking, consumer electronics, insurance
and government. Some of the industry leaders that rely on products and
services offered by us to their power mission-critical applications
• HBOS Plc/ INSIGHT (UK)
• British Gas (UK)
• UBS Investment Research (UK)
• Southern Electric (UK)
• Fidelity Investment Ltd.(UK)
• Deutsche Bank (UK)
• NAG Ltd (UK)
• APT INC (USA)
• MOD (UK)
• UNILEVER (UK/Netherlands)
• US Coast Guard (USA)
• DTI (UK)
• Allocare (SWISS)
• NATO(Belgium)