Develop Stochastic Optimization Models using GAMS & FICO

Learn What Stochastic Optimization is and apply it to Finance and Energy.

a) We install  FICO and GAMS software and learn the fundamental code needed.

b) We learn the theory of Uncertainty: what it is, what are the levels of uncertainty,

We then learn the theory around energy investments with application to electricity.

We learn what stochastic optimization is and how it applies to energy investments.

We then build our first stochastic optimization model using FICO Xpress. We simulate the operation of an electricity network, including the power flows, and the costs, including investment and operation.

We also understand how the code can be written in a mathematical form, and vice versa.

We then learn the theory around Portfolio Optimization. We build a model using FICO and also using GAMS.

We look into the differences between deterministic and stochastic optimization. We look at how the results are different also. Also, how this translates into the code i.e. how uncertainty is actually represented in the code and which constraints we change.

We conduct sensitivity analysis and observe how changes in specific input parameters affect the results we get.

The entire FICO and GAMS code, and complementary material, are all available to download.