Webpage dedicated to the booklet "On Selected Software for Stochastic Programming" HERE.
Seminar programme will be consequently updated. Guests are welcomed.
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Seminar is cancelled
- Author:
- Date:
- 5.10.2017
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Introductory lecture
- Author:
- doc. RNDr. Ing. Miloš Kopa, Ph.D.
- Date:
- 12.10.2017
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Stochastic Programming Problems in Asset-Liability Management
- Author:
- Mgr. Tomáš Rusý
- Date:
- 19.10.2017
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Conference - seminar is cancelled
- Author:
- Date:
- 26.10.2017
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Multiperiod Merton-Vasicek model
- Author:
- RNDr. Martin Šmíd, Ph.D.
- Date:
- 2.11.2017
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Multistage multivariate nested distance: an empirical analysis
- Author:
- Sebastiano Vitali, Ph.D.
- Date:
- 9.11.2017
- Abstract:
- Multistage stochastic optimization requires the definition and the generation of stochastic tree that represents the evolution of the uncertain parameters through the time and the space. For a real optimization, practitioners usually approximate the stochastic tree with a discrete representation whose dimension is the results of a trade-off between adaptability to the original probability distribution and computational tractability. Several discrete trees could be generated to approximate an unknown and continuously distributed random variable. The concept of best discrete approximation has been widely explored and many enhancements have been proposed to adjust and fix a stochastic tree in order to represent as well as possible the real distribution. Still, an optimal representation is practically not achievable. Therefore, recent literature investigates the concept of distance between trees which are candidate to be adopted as stochastic framework for the multistage model optimization. The contribution of this paper is to compute and analyze the nested distance between a large set of multistage multivariate trees and to compare the distance between the corresponding optimal solutions and optimal objective values for a sample of basics financial problem.
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Weak and Strong Multivariate First Order Stochastic Dominance
- Author:
- Ing. Mgr. Barbora Petrová
- Date:
- 16.11.2017
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tbc
- Author:
- Ing. František Zapletal, Ph.D.
- Date:
- 23.11.2017
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Optimality conditions and a decomposition algorithm for joint chance constrained problems with an application in gas network design
- Author:
- RNDr. Martin Branda, Ph.D.
- Date:
- 7.12.2017
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tbc
- Author:
- Ing. Mgr. Barbora Petrová
- Date:
- 14.12.2017
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Seminar is cancelled
- Author:
- Date:
- 21.12.2016
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tbc
- Author:
- Brno VUT
- Date:
- 4.1.2017