I’m a PhD Research Scholar in Operations Research at NHH Norwegian School of Economics, part of the Centre of Shipping and Logistics. My supervisors are Stein W. Wallace, Julio C. Goez and Francesca Maggioni. I also collaborate with Optimeering Aqua AS to develop decision support models for operational risk management in Aquaculture.
My research focus is on stochastic programming, scenario generation and decision-making under uncertainty. I specialize on representations of random variables used to solve decision models under uncertainty.
Projects
Problem-based scenario generation by decomposing output distributions
Benjamin S. Narum, Jamie Fairborther, Stein W. Wallace
Scenario generation is required for most applications of stochastic programming to evaluate the expected effect of decisions made under uncertainty. We propose a novel and effective problem-based scenario generation method for two-stage stochastic programming that is agnostic to the specific stochastic program and kind of distribution. Our contribution lies in studying how an output distribution may change across decisions and exploit this for scenario generation. Due to its generality, the method is especially well suited to address scenario generation for distributions that are particularly challenging.
DOI: 10.13140/RG.2.2.22349.10726
Bounds and approximations in stochastic programming
Benjamin S. Narum, Francesca Maggioni, Stein W. Wallace
There will always be stochastic programs that are too large or complex to be solved in their basic form. In this article, we review, discuss, and compare different ways such stochastic programs can be handled using bounds and approximations, all based on manipulations of the random variables. We are particularly interested in how methods based on different underlying ideas can be combined or possibly are the same.
DOI: 10.1111/itor.13317
Operational risk management in Aquaculture
Benjamin S. Narum, Stein W. Wallace, Geir D. Berentsen and Julio C. Goez
Aquaculture operations is characterized by large capital investments, biological risk, and exposure to highly volatile sales prices. Overall, this leads to great risk exposure and risk management tools can potentially have great impact on their operational planning. We have developed a spatio-temporal forecasting model for salmon lice (a large driver of biological risk and operational costs) to derive the risk exposure of sites along the Norwegian coastline. This is employed in a Multistage Stochastic Program to address operational decisions under uncertainty, combining production and market risk, for a large portfolio of sites. The model builds future operational flexibility into the valuation of standing biomass and aims to time harvests to maximise overall materialised value of standing biomass.
Here is a poster summarising the project, presented at a workshop organised by the Norwegian Operations Reseach Society (NORS):