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Details of Grant 

EPSRC Reference: EP/S001263/1
Title: Multivariate Max-stable Processes with Application to the Forecasting of Multiple Hazards
Principal Investigator: Neves, Dr C
Other Investigators:
Researcher Co-Investigators:
Project Partners:
EDF Energy Scottish and Southern Energy (SSE)
Department: Mathematics and Statistics
Organisation: University of Reading
Scheme: EPSRC Fellowship - NHFP
Starts: 29 June 2018 Ends: 28 June 2021 Value (£): 439,055
EPSRC Research Topic Classifications:
Statistics & Appl. Probability
EPSRC Industrial Sector Classifications:
Financial Services Environment
Related Grants:
Panel History:
Panel DatePanel NameOutcome
08 May 2018 EPSRC UKRI CL Innovation Fellowship Interview Panel 4 - 8 and 9 May 2018 Announced
Summary on Grant Application Form
Due to climate change, extreme meteorological phenomena such as heavy precipitation, extreme temperature, strong winds and sea level rise, seem to be growing more severe and frequent, but the actual estimation of this evolution in extreme weather events remains subject to large uncertainty. For example, in December 2015 when storm Desmond hit the UK, several communities were badly affected by water level rises. Rainfall in this storm crept up to new record levels and provided us with critical lessons on how we can better prepare to withstand similar hazards. However, these lessons learned are in hindsight. When looking at the occurrence probability of such an extreme event that out-spans the range of previously recorded data, Extreme Value Theory (EVT) is the most appropriate branch of probability theory to be implemented as risk assessment and forecasting have a strong probabilistic foundation. In many operational settings, risk mitigation measures are required to balance costs with safety. For example, in insuring systems and infrastructure against extreme events, it might not be enough to sift through extreme record events that emerge from historical data, but it would also be nonsensical to channel most resources into a safety system so robust that it would spectacularly exceed the actual risk being protected against. EVT offers an appropriate statistical toolkit for forecasting extreme outcomes to a high degree of accuracy, thus providing critical evidence for assessing risk more accurately in preparing a proportionate response.

There are varying layers of complexity in EVT enveloped in the recently introduced class of multivariate max-stable processes. These are promising models for the structural components that capture how extremes from multiple phenomena (hence the prefix multivariate) are likely to manifest themselves jointly across a certain region over time (hence the so-called space-time processes, also termed random fields). Real life applications abound in the multivariate infinite-dimensional max-stable processes frameworks. For example, the Fukushima nuclear disaster in 2011 was ignited by the combination of a huge earthquake followed by a tsunami.

The main goal of this research proposal is to develop a general theory for multivariate infinite-dimensional extremes (extremes of two or more random fields) that will culminate in the development of statistical methodology for modelling interactions of two or more related extreme events. Recent studies have found that there exists significant long-term impact of climate change on storms that combine wind speed and precipitation, deeming it critically important that any fragility analysis be conducted in such a way as to ensure probabilistic safety levels of a nuclear power plant for extreme weather events. For example, the sting jet phenomena often unleashes very extreme local wind speeds, heavy rainfall and extreme temperatures on a nuclear plant. This is therefore the first application area of the developed statistical methodology. It is intended that this research programme will not only lead to improvement in safety standards and operational reliability of the nuclear energy fleet but also carries with it the potential of reducing costs in expensive overprotection measures that could run into millions of pounds.

In addition to the nuclear energy sector other application areas will be explored. Energy supply and renewables power systems are so unwieldy that people are still trying to unravel some intriguing aspects of time dependent peak demands. The statistical methodology developed as part of this research programme will enable a better understanding to be gained of the characteristic features in smart-meter data, which will ultimately give people access to more affordable energy, providing more interaction and safety and thus more choice.
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Organisation Website: http://www.rdg.ac.uk