Advanced Optimization using AMPL Workshop

Scope and Purpose:

Optimization technologies have become key tools in making important business decisions that increase competitive advantage. Optimization, through the use of mathematical models and software techniques, is used to assist organisations with solving their complex business problems in areas such as manufacturing, distribution, finance and scheduling. The success of optimization projects depends on many different factors such as which modelling tools are used, integration with corporate data and the selection of the most efficient solution algorithms available for the problem.

 
  • Introduction
  • Course Content
  • Date & Venue
  • Faculty Profile
  • Workshop Fees
  • Registration

Introduction:

This 4-day hands-on workshop is presented in three parts and comprises theory and practical sessions.

1. Theory and applications of Linear and Integer Programming

  • Basic concepts of linear and integer programming
  • Formulation, solution and investigation of LP and IP models
  • Integration of models in decision support systems

2. Optimization under uncertainty: Stochastic Programming and Robust Optimization

  • Implications of time and uncertainty in optimization
  • Formulation and solution of Stochastic Programming and Robust Optimization models

3. Risk and return analysis for Asset Allocation

  • Markowitz mean-variance quadratic programming models, with real world descriptions such as buying thresholds and cardinality constraints
  • Efficient methods of computing the efficient frontier

Practical sessions

In this workshop, our instructors, who all have years of experience in this field, will take you through all the steps of an optimization project using powerful optimization tools such as the modelling language AMPL and its extension SAMPL, and the modelling system AMPLDev, together with the solvers CPLEX and FortMP.

Benefits of Attending:

At the end of the workshop, the participants will be able to develop their own optimization models, link them to data sources and solve the models using state-of-the-art commercial solvers. Participants will also acquire a good knowledge on how to embed optimization models into applications.

By attending this workshop you will be able to:

  • Build your own optimization applications.
  • Identify the best use of optimization techniques and how to deploy them for your purposes.
  • Gain an insightful and realistic view on the use of optimization for business applications.
  • Prepare and consolidate data from disparate sources for optimization applications.
  • Identify solving and fine-tuning requirements in your optimization applications.

Course Content:

Programme: DAY 1 - Linear Programming Modelling

TIME TOPIC PRESENTER
9.00 REGISTRATION AND COFFEE  
9.15 Ice Breaker session  
9.30 Introduction and Overview Gautam Mitra
9.40 Introduction to LP Terminology, model representation and mathematical models Gautam Mitra
10.30 COFFEE BREAK  
11.00 An Introduction to Modelling via AMPLDev
Participants will learn how to use various functionalities of AMPL Studio
Cormac Lucas
11.30 An Introduction to AMPL Syntax
A formal presentation of basic AMPL modelling constructs
Christian Valente
12.00 Efficient/Structured Modelling
A process to create an efficient model starting from the problem that is presented
Gautam Mitra
12.30 Goal programming/Elastic Constraints
Presentation of an introductory financial model that includes goal programming
Gautam Mitra
13.15 LUNCH  
14.15 Using EXCEL as data source for AMPL
How to connect an AMPL model to Excel
Christian Valente
14.45 Workshop (I) Financial Model
Participants investigate, formulate and solve an introductory financial model using AMPL
Cormac Lucas
15.15 TEA BREAK  
15.30 Hands-on models partial description: bond stripping, portfolio,ALM, supply chain
The models for the hands-on sessions will be described and hints for their implementation will be given
Cormac Lucas,Christian Valente
16.00 Hands-On Session
The attendees should form groups and implement one of the models presented in the previous session
Cormac Lucas, Christian Valente
17.00 Discussion and Feedback  

Programme: DAY 2 - Advanced MP Modelling

TIME TOPIC PRESENTER
9.00 COFFEE  
9.30 Mixed Integer Programming Problems
Integer problems involving binary variables, semi-continuous variables and special ordered set variables are introduced. A few discrete programming problems are explained
Gautam Mitra
10.30 COFFEE BREAK  
11.00 Case study: IP with buying threshold
An IP model with semi-continuous variables is introduced
Cormac Lucas
11.45 An Introduction to AMPL scripting functionalities
Introduction to AMPL's powerful scripting functionalities
Cormac Lucas
12.15 Continuation of Hands-On Session
The groups should continue the implementation of the chosen models and prepare brief presentations of their results
Cormac Lucas, Christian Valente
13.15 LUNCH  
14.15 Introducing AMPL API
How to embed optimisation models in applications
Christian Valente
15.00 TEA BREAK  
15.30 Part I: Heuristic for solving Integer Programs using AMPL Script
Different kind of heuristics to speed up solution of problems are proposed here and prototyped using AMPL scripting functionalities
Cormac Lucas
16.00 Part II: AMPL API implementation of AMPL script procedures
Examples of integration of models and scripts into applications
Christian Valente
16.30 Attendees' Presentations and feedback
The groups have ten minutes each to present the model they implemented and their results
 
17.00 Discussion and Feedback  

Programme: DAY 3 - Introduction to Stochastic Programming

TIME TOPIC PRESENTER
9.00 COFFEE  
9.30 Stochastic Programming: optimum decision making under uncertainty: an overview A theoretical background to decision making under uncertainty will be given, with a particular focus on Stochastic Programming. Gautam Mitra
10.30 Stochastic Programming and Risk Measures Gautam Mitra
11.15 COFFEE BREAK  
11.30 Introduction of a Stochastic Programming Model Gautam Mitra, Cormac Lucas
12.30 LUNCH  
13.30 Hands-on: Expected Value, Wait and See and Deterministic Equivalent: an ALM model
Various models will be described and attendees will be helped with their implementation in AMPL.
Christian Valente
14.30 Stochastic Extensions to AMPL: SAMPL
AMPL extensions to represent Stochastic Programming and Robust Optimisation problems, and problems with (Integrated) Chance Constraints.
Christian Valente
15.15 SAMPL Example: an ALM model
An ALM model will be refined by the introduction of uncertainty and expressed using SAMPL syntax.
Christian Valente
15.45 TEA BREAK  
16.00 Solution Methods for Stochastic Programming Cristiano Arbex Valle
16.30 Robust Optimisation Cristiano Arbex Valle
17.00 Discussion and Feedback  

Programme: DAY 4 - Introduction to SP

TIME TOPIC PRESENTER
9.00 COFFEE  
9.30 Stochastic Programming and Scenario Generation: A modelling perspective The role of scenario generation in SP will be illustrated Gautam Mitra
  Scenario Generation: overview and desirable properties Gautam Mitra
10.30 COFFEE BREAK  
11.00 Hands-on: formulation of SP models in AMPL and SAMPL The techniques and language features presented the day before will be applied to investigate an SP model Christian Valente, Cristiano Arbex Valle
12.30 LUNCH  
13.30 Hands-on: formulation of SP models in SAMPL
Chance Constraint and Integrated Chance Constraint formulation of some models in SAMPL
Christian Valente
15.00 TEA BREAK  
15.30 Investigation and simulation: Two-stage SP, ICCP and robust optimisation models Christian Valente, Cristiano Arbex Valle
16.00 Hands-on: formulation of SP models in SAMPL
Various SP models will be described and attendees will be helped in their implementation in SAMPL
Christian Valente, Cristiano Arbex Valle
17.00 Discussion and Feedback  

Date & Venue:

Date City Location
21st- 24th September 2017 Chennai TBD

Target Audience:

This workshop series is specially designed to provide insight into the discipline of optimization for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, DSS application developers, and academics. Everyone can benefit from a clear presentation of optimization and how it is applied to solve business problems.

  • OR Professionals: This workshop series will help you to get up-to-date on the latest methodologies and receive ex-posure to the wide range of technologies and soft-ware now available in the field of optimization.
  • Quantitative Analysts / Risk Analysts: This workshop series gives you an overview of the wide range of the technologies available allowing you to define and conceptualize your business problem in terms of an optimization problem.
  • Software Developers/IT: This workshop series provides instruction on how to embed optimization models into software applications. It will also give you all the necessary information and techniques in order to understand optimisation modelling and data modelling integration.
  • Academics and Students: Take advantage of our special academic prices to view optimization from a business perspective, as well as receive hands-on experience with leading optimization software.

Faculty Profile:

Professor Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India. Many of the research results of CARISMA are exploited through these companies.

Dr. Cormac Lucas has extensive knowledge of Mathematical programming modelling, Pre-analysis and reduction techniques in linear programs and representation of logical expressions as MIPs. Dr Lucas has a PhD and BSc degree from Brunel University. He has held academic positions at CARISMA, Brunel University, London. Dr Lucas has published extensively in the area of optimisation modelling. He has led a number of industry projects on scheduling and decision support.

Dr. Miguel Lejune is a tenured Associate Professor of Decision Sciences at the George Washington University (GWU). He is the recipient of the CAREER/Young Investigator Research Grant from the Army Research Office and of the IBM Smarter Planet Faculty Innovation Award. He was appointed (July 2013) committee member of the Stochastic Programming Society (COSP). Prior to joining GWU, he was a Visiting Assistant Professor in Operations Research at Carnegie Mellon University and worked as a Credit Risk Manager at FORTIS Bank.

Miguel Lejeune’s areas of expertise/research interests include Stochastic Optimization, Probabilistic Programming, Financial Risk, Large-Scale and Applied Optimization, Supply Chain Management. He has published articles in

Operations Research, Mathematical Programming, Interfaces, INFORMS Journal of Computing, Journal of Operations Management, European Journal of Operational Research, Quantitative Finance, Decision Analysis, Operations Research Letters, Journal of Optimization Theory and Applications, Networks, Annals of Operations Research, International Transactions of Operational Research, American Journal of Mathematical and Management Sciences, etc.

Dr. Christian Valente joined OptiRisk in 2005 as software engineer, coming from the field of Artificial Intelligence. He has participated in the development and maintenance of many of the company’s products. Along with Dr Lucas he presents workshops and training sessions, and is the main technological advisor for external projects. He is the main designer and developer of SPInE, the OptiRisk modeling system for Stochastic Programming. He has completed his PhD in Mathematics at Brunel University, and his main research interests are Stochastic Programming and parallel computing. He has a first class degree in Computer Science from Politecnico di Milano, Milan, Italy and an MSc equivalent in Artificial Intelligence from the same institution. He speaks native Italian, fluent English and has a good understanding of German.

Dr. Diana Roman has a PhD in Models for Choice under Risk, from the School of Information Systems, Computing and Mathematics, Brunel University, UK; MSc in Applied Statistics and Optimisation, and BSc in Mathematics, from University of Bucharest, Romania.

Dr Roman is now a faculty member of CARISMA, a lecturer in the school of The School of Information Systems, Computing & Mathematics at Brunel University.

Formerly she was a software developer at OptiRisk Systems (KTP associate in a partnership between OptiRisk systems and Brunel University), tasked with designing a software library of scenario generators to be integrated within the SPInE system.

Her work experience comprises several years as a teaching assistant in the Department of Mathematics, Technical University of Civil Engineering, Bucharest. Her research interests include Risk decisions in finance (portfolio optimisation), financial risk measurement and modelling, scenario generation, stochastic programming. Dr Roman speaks Romanian and English.

Dr Cristiano Arbex Valle joined OptiRisk in 2011 as software engineer / researcher, coming from a background of Computer Science. He plays active roles in important company's products. He is currently responsible for the maintenance and development of Fortsp, OptiRisk (Integer) Stochastic Programming solver. He also plays a major role in the development and research of News Analytics related products. Dr. Valle obtained his PhD in Mathematics at Brunel University, where his main research interests were optimisation techniques and financial modelling. He also holds a position as Operations Research class teacher at London School of Economics. He has a degree in Computer Science from Universidade Federal de Minas Gerais (UFMG), Belo Horizonte, Brazil, and an MSc in Operations Research from the same institution. Dr. Valle has been a software developer since 2003 where he worked for large Brazilian companies in the realm of aircraft maintenance and government financial control. He speaks native Portuguese, fluent English and has a good knowledge of Spanish.

Workshop Fees:

  • Industry participants - Rs. 20,000 + taxes.
  • Academic participants (Students/Teaching professionals) - Rs. 7,500 + taxes.
  • 10% early bird discount is offered, if registered before July 15th.
  • 10% group discount is offered, if registered as a group of three of more.

Payment Options:

1. Pay by Cheque/DD in favor of "OptiRisk Learning Systems (P) Ltd" payable at Chennai.

Send the cheque / DD to the following address along with the registration details.

OptiRisk Learning Systems (P) Ltd,
N0-12, Ground Floor, 25th Cross Street ,
Thiruvalluvar Nagar, Thiruvanmiyur.
Chennai - 600041
Mob: +91 99165 10661 / Ph: 044 4501 8472 / Mob: +91 98406 18472

[ OR ]

2. Pay by bank transfer to the following bank account.

Online Account Details :
Account Name: OptiRisk Learning Systems (P) Ltd. Account Number: 30801187665
Bank Name: State Bank of India IRTGS/NEFT/IFSC Code: SBIN0011721
Branch : Valmiki Nagar Branch, Chennai MICR Code: 600002157
Account Type : Current Account  

Upon successful transfer of the payment, please send the transfer confirmation details to This email address is being protected from spambots. You need JavaScript enabled to view it. .

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