Gas and Power Portfolio Optimisation Model

Dr Boda Kang, University of York
The deregulation of the markets for various energy market-related commodities such as gas and electricity has created a new set of financial valuation problems for the management of the risk inherent in the sale, purchase, transportation and storage contracts involving such commodities. A major requirement of users of such contracts is to find an optimal solution to handle a portfolio of energy or commodity supply including swing contracts, gas pipelines, transportation deals and storage contracts to meet an uncertain gas and power demand. This project is going to build a realistic model incorporating many different features in a gas and power network and with the help of a rolling intrinsic approach, we are going to find a fast and accurate method computing the optimal take from the gas swing, storage and pipelines by allowing the market prices, gas and power demand to move stochastically.

Thin Shell Magnetohydrodynamic Models of Stellar Interiors

Professor Steven Tobias, University of Leeds
This project examines the interactions of plasma with magnetic fields in the interior of our nearest star, the Sun. This complicated interaction is described by the equations of magnetohydrodynamics, i.e. conservation of mass, momentum and an equation for the evolution of the magnetic field. In this project, we are examining instabilities at the base of the solar convection zone that plays an important role in the generation of the solar magnetic cycle. Understanding these instabilities is the key to describing the formation of sunspots and solar variability.

Calibration and Analysis of Complex Individual Based Stochastic Models

Dr Richard White, LSHTM

Complex individual-based stochastic models are being commonly used in communicable and non-communicable disease epidemiology, public health and health economics. The utility of models for the prediction and planning relies on how well they are calibrated to empirical data. However, the development of methods to calibrate and analyse complex models has lagged behind their application, largely because most formal calibration methods require that the models are run many times. This poses a considerable problem for complex models as they may require many minutes or even hours for a single scenario. Methodological developments in Bayesian Emulation have addressed these issues to some extent for deterministic models. The objective of this project is to extend emulation based calibration methods to the analysis of complex stochastic models.

The method that is being developed is iterative and requires batches of several model runs in each iteration. The only feasible way to acquire these runs is via an HPC cluster, considering that for the model we currently use, a few thousand runs that roughly take 10 minutes are required in each iteration.  Hence, access to a facility such as the N8 HPC is essential for developing our calibration methods.

Survival analysis based on genomic profiles

Arief Gusnanto, University of Leeds

This project involves developing and investigating statistical methods to model cancer patient’s survival times as a function of their clinical characteristics and genomic profiles. Genomic profiles, in this case, could be any information that the patients have on their genomes, e.g. gene expression, genomic changes, or copy number. The number of genomic regions that are considered in the analysis is usually in the region of 15 to 30 thousand, and the analysis involves computation of big matrices. The use of N8 HPC will benefit our research to invert a 15K by 15K matrix (and can go up to 30K by 30K) in every computation that we undertake.

Computational aspects of automorphic forms

Jens Funke and Fredrik Strömberg, Durham University

The area of Modular forms and their generalisations is one of the most active topics of research in modern number theory. It has applications in a diverse range of subjects, starting with number theory (e.g. in the proof of Fermat’s last theorem) at one end and including theoretical physics (e.g. conformal field theory) at the other end.

Using the N8HPC we want to study certain types of holomorphic and non-holomorphic modular forms. In particular we are compute so-called Maass waveforms in order to study spectral theory of the associated hyperbolic surfaces.

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