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OptiRisk Systems Dr Cormac Lucas and Prof. Gautam Mitra Contact: Address: OptiRisk Systems, UNICOM R&D House, One Oxford Road Uxbridge, Middlesex UB9 4DA,

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Presentation on theme: "OptiRisk Systems Dr Cormac Lucas and Prof. Gautam Mitra Contact: Address: OptiRisk Systems, UNICOM R&D House, One Oxford Road Uxbridge, Middlesex UB9 4DA,"— Presentation transcript:

1 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 WEB: Telephone: +44 (0) / 483 Fax: +44 (0)

2 Outline 1.About OptiRisk 2.Mission Statement 3.The People 4.Products 5.Services 6.USP:Unique Selling Points 7.Selection of Clients

3 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

4 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

5 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

6 Products Modelling Tools (AMPL Suite) - AMPL Studio, AMPL COM, SAMPL/ SPInE 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 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 Liability Determined Investment(LDI) / Asset and Liability Management (ALM)

7 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

8 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)

9 Products : AMPL Products offer Data AMPL Models AMPL Interactive AMPL Studio AMPL COM Object C# / C++ / VB / VBA Application SAMPL/SPInE

10 Products : AMPL Studio Integrated modelling system based on AMPL language. Benefits:  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

11 Products : AMPL Studio Menu Bar Editing Area Multifunctional Output Console Workspace and Model Explorer

12 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:  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

13 Products : AMPL – COM Object AMPL ModelS SolverS Command Model VariableSConstraintSObjectiveSOptionS SolTime Solution Variable Constraint Objective

14 Products : AMPL Studio - SPInE Seamlessly integrated into AMPL studio environment Extends AMPL language with constructs specific for modelling SP problems and interprets them

15 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

16 Products : LDI Information Flow RESULTS Simulation and visualization to RISKWATCH Market Data RISKWATCH + Data Builder Information Data Sources RISKWATCH + Customer Data Builder POPULATE DATA Consolidator + Diagnostic DATA MART #.TAB AMPL Modelling Environment [AMPL Com Object + LDI Model File + #.DAT File + #.RUN File] Optimisers - FortMP - CPLEX AMPL MODEL

17 Products : LDI Project Control

18 Products : LDI Optimisation Engine

19 Products : LDI - Simulation and Analysis

20 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 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

21 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 ) Committed to the highest level of client support Achieved investor in people accreditation in respect of management principles and procedures and staff care

22 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) UBS Investment Research (UK) Fidelity Investment Ltd.(UK) Deutsche Bank (UK) APT INC (USA) MOD (UK) UNILEVER (UK/Netherlands) US Coast Guard (USA) British Gas (UK) Southern Electric (UK) NAG Ltd (UK) DTI (UK) Allocare (SWISS) NATO(Belgium)

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