Re: ,
 Joe,

I have written to Pal Quilkey to invite Christian Werner to Houston
for a week to discuss how much of his research we can use.

Vince





Joseph Hrgovcic
08/01/2000 06:51 PM
To: Vince J Kaminski/HOU/ECT@ECT, Mike A Roberts/HOU/ECT@ECT
cc:  
Subject: 

Vince,

 I have inquired into Christian's climate models. It seems to me like a long 
term project. Chiristian says that his model might be able to do better than 
the Australian Met given that they ignore some of the variables he uses and 
that they are an "old boy's network"  resistant to new developments, but I 
don't think the same can be said of most other weather services. As far as 
the NWS goes, they run their model on a Cray, they have several very talented 
PhD's working on it full-time,  and even then, they can only get a dozen or 
so runs per night. In other words, it's a huge system. Replicating something 
even close to that will not be an easy task. 

 That being said, I think there are related applications that we could look 
into.  Since I've already promised the RAC group and the weather desk's PJM 
traders to put together a Vector AutoRegressive model of daily temperatures, 
I think it makes sense to see if something better than a VAR model can be put 
together, perhaps a very stripped down version of the kind of model Christian 
has. What I have in mind is something  that would give us say, up to several 
dozens of "possible" temperature forecasts every morning, which would be 
calculated using actual climate models (as opposed to time series models). I 
would not use this as a forecasting tool (the NWS model results would make a 
far better  "best guess"), but our ensemble could still be used to provide a 
distribution of temperature scenarios. This ensemble would have several uses:

 1) we could price the book for the ensemble of runs and thereby obtain a 
more realistic daily V@R for the Weather Book (and eventually interface that 
with the power desk's V@R calculations)

 2) we could use the ensemble of forecasts to relate temperature forecasts to 
week-ahead CDD and HDD distributions (for use in our demand swaps)

 3)  if Freese-Notis were to give us one of their qualitative forecasts, 
e.g., "expect the trough to recede" we could sort through the different Monte 
Carlo scenarions, find one in which the trough in question is receding, and 
use corresponding output statistics to download the actual temperatures 
corresponding to that scenario. Up till now, we haven't found a good way of 
getting a numerical fix on what different forecasts actually mean 
temperature-wise

 4) we could use the associated visualization routines that come with such 
models to get animations of the evolution of historical weather patterns. The 
traders could use these in order to look for historical periods which roughly 
match current weather conditions and get an idea of what could happen; 
although these meteorological models would not be good for simulating 
month-ahead or season-ahead weather (trust me on this) we could still use the 
visualization technology to do to analogous seasonal animations.

 Just today, I've spoken with Dr. Jacobsen of Stanford University, who has 
written one of the more recent textbooks on climate forecasting , and who 
worked with UCLA's general circulation model.  He says that getting a 
simplified version of MM5 (which is itself a simplified, limited-area version 
of the GCM models that NWS, COLA, and UCLA use) would take several months to 
implement,  assuming the people involved are already well versed in the 
technology. Also, I have contacted AER, a Massachusetts- based weather 
consulting firm, and they tell me that they have a MM5 model running daily 
(only one run per night), and also some smaller PC models up and running. 
They are of course willing to work with us for a fee. Their MM5 version runs 
on a $200,000 parallel processor.

 I am open to your suggestions (or objections as the case may be). I'm not 
sure how the costs would be apportioned given that this would benefit all of 
Enron, and not just the weather desk.

 I am scheduled to go to Boston next week anyway, and would like to use the 
opportunity to visit with AER. I will of course coordinate any projects with 
Christian (if we get something like this up and running it will be more 
likely that he can get the computing power he needs to run his own Australian 
model).

Joe
joseph.hrgovcic@enron.com