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JR Centre for Applied Scientific Computing in Energy, Finance, and Logistics
Head of research unit
Commercial Partner
Hypo Vorarlberg Bank AG, infeo GmbH, myPEX, Illwerke vkw AG, Vorarlberger Landes-Versicherung V.a.G., Gebrüder Weiss Gesellschaft m.b.H.
Duration
01.01.2015 - 31.12.2019
Thematic Cluster
Mathematics, Computer Sciences, Electronic Engineering
In energy technology, finance and logistics, predictions and decisions have to be made on the basis of complex interacting variables. The JR Centre develops numerical methods for dealing with these complex issues.
A paradigm shift has taken place in the energy industry as a result of the liberalisation of the electricity market in conjunction with a growing proportion of decentralised, fluctuating electricity generation from renewable sources. With the help of demand side management (DSM) technologies, electricity consumption is to be adapted to fluctuating generation in the future. The development of DSM control systems requires numerically complex device and grid simulations and optimisation processes
Portfolio optimisation is a classic problem in finance. Its aim is to select assets according to various optimisation criteria such as profit, security, etc. Another optimisation problem arises in the valuation of contracts and options. The value of an option corresponds to the expected payments if the option is exercised optimally. Finally, methods of risk measurement and stress tests with high computational effort are to be developed.
In logistics, on the other hand, the main challenge is to optimise vehicle routing. Variations of the notoriously computationally intensive "Travelling Salesman" problem must be solved.
The aim of the JR Centre is to develop numerical methods for dealing with these complex issues and to exploit synergies between problems that are thematically far apart but similar in their mathematical structure. Two main objectives are pursued: (1) Existing "laboratory solutions" from the academic field are usually flexible and versatile, but need to be scaled up to large and powerful IT environments; (2) Existing industrial solutions in the three application fields are often powerful, but need to be extended by flexible access to libraries of alternative computational procedures.
This JR Centre was headed by Prof. (FH) DI Dr. Jörg Petrasch until 31.12.2016.
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