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The Quantitative Decision Support Methods Laboratory (LAB-MAD) was initially conceived in 1998 as a Computer-Assisted Statistics Laboratory, providing a specific area for statistics-oriented software and hardware. In 2008, the laboratory also started to be used by the optimization area of the Department of Electrical Engineering, particularly for stochastic optimization. It is the combination of these two areas of study – statistics and optimization – that makes this laboratory unique.<\/p>\r\n
LAB-MAD’s mission is to conduct innovative projects in the areas of statistical modeling and optimization, mainly investigating the combined use of these two tools, often within a context of risk and return analysis in the field of economics, with the objective of developing decision support tools.<\/p>\r\n
LAB-MAD is also a space where students from both areas can exchange ideas and knowledge concerning their theses, dissertations and projects.<\/p>\r\n
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LAB-MAD conducts research based on statistical and optimization modeling, with a view to applications in the areas of energy, finance and economics. Some of the basic research currently underway includes:<\/strong><\/p>\r\n \u2022<\/span>\u00a0stochastic programming models with restrictions on risk;<\/span> A few examples of the specific research topics currently underway are:<\/strong><\/p>\r\n \u2022<\/span>\u00a0statistical models for renewable energy sources (wind, solar and hydro energy);<\/span> [\/vc_column_text][\/vc_accordion_tab][vc_accordion_tab title=”Importance \/ Applications”][vc_column_text]<\/p>\r\n The vertiginous increase in computer processing capacity and the volume of data seen in recent years has enabled a significant expansion in the practical applications of quantitative decision support methods. As such, LAB-MAD has a broad field of applications for the products of its research, especially in the energy and finance sectors. This is reflected in the projects undertaken at the laboratory.<\/p>\r\n Some recent research projects include:<\/strong><\/span><\/p>\r\n \u2022<\/span>\u00a0asset-liability management for the oil industry (Petrobras, 2009-2011); [\/vc_column_text][\/vc_accordion_tab][vc_accordion_tab title=”Contact Information”][vc_column_text]<\/p>\r\n Tel:<\/strong><\/span> Email:<\/strong><\/span> [\/vc_column_text][\/vc_accordion_tab][vc_accordion_tab title=”Website”][vc_column_text]<\/p>\r\n
\r\n\u2022<\/span>\u00a0methods for breaking down large-scale optimization problems;<\/span>
\r\n\u2022<\/span>\u00a0non-linear and\/or non-Gaussian statistical models;<\/span>
\r\n\u2022<\/span>\u00a0multivariate statistical models; and<\/span>
\r\n\u2022<\/span>\u00a0quantitative methods for risk and return analysis<\/span><\/p>\r\n
\r\n\u2022<\/span>\u00a0optimal contracting of physical and financial renewable energy assets;<\/span>
\r\n\u2022<\/span>\u00a0optimal planning of the operation and expansion of electrical power systems;<\/span>
\r\n\u2022<\/span>\u00a0calculation of insurance and pension fund reserves;<\/span>
\r\n\u2022<\/span>\u00a0quality monitoring for electricity generating units;<\/span>
\r\n\u2022<\/span>\u00a0asset-liability management methods for real assets;<\/span>
\r\n\u2022<\/span>\u00a0pricing of energy contracts in incomplete markets;<\/span>
\r\n\u2022<\/span>\u00a0sizing and optimal operation of hybrid solar\/diesel\/network systems for free consumers.<\/span><\/p>\r\n\r\n
\r\n\u2022<\/span>\u00a0calculation of the IBNR reserve for mandatory auto insurance (Lider insurance company, 2012);
\r\n\u2022<\/span>\u00a0persistence analysis of private pension products (LIMRA\/Bradesco, 2012);
\r\n\u2022<\/span>\u00a0risk and returns analysis for projects in the oil business (Petrobras, 2008-2009);
\r\n\u2022<\/span>\u00a0generation quality indicators (IPEA, 2011-2012);
\r\n\u2022<\/span>\u00a0stochastic optimization model for ALM for state pensions (Government of Angola\/DGM, 2008-2009); and
\r\n\u2022<\/span>\u00a0internal model for constituting reserves (Mongeral, 2007-2008).<\/p>\r\n<\/div>\r\n\r\nLead Professor(s):<\/strong><\/span>
\r\n\u00c1lvaro Veiga, Cristiano Fernandes, Alexandre Street e Delberis Lima<\/span>Address:<\/strong><\/span>
\r\nRua Marqu\u00eas de S\u00e3o Vicente 225, sala L435 \u2013 G\u00e1vea \u2013 Rio de Janeiro \u2013 RJ<\/span>\r\n
\r\n(+55 21) 3527-1225 (Prof. \u00c1lvaro Veiga)<\/span>
\r\n(+55 21) 3527-1222 (LAB-MAD)<\/span>
\r\n(+55 21) 3527-1205 (Secretaria do DEE)<\/span><\/p>\r\n
\r\nlabmad@ele.puc-rio.br<\/a><\/p>\r\n<\/div>\r\n<\/div>\r\n