Search results
- 1.0557302 - ÚTIA 2023 RIV NL eng J - Journal Article
Zapletal, F. - Šmíd, Martin - Kozmík, Václav
Multi-stage stochastic optimization of carbon risk management.
Expert Systems With Applications. Roč. 201, č. 1 (2022), č. článku 117021. ISSN 0957-4174. E-ISSN 1873-6793
R&D Projects: GA ČR(CZ) GA21-07494S
Institutional support: RVO:67985556
Keywords : Stochastic programming * Emissions trading * Multi-stage * SDDP * Dominance
OECD category: Business and management
Impact factor: 8.5, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2022/E/smid-0557302.pdf https://www.sciencedirect.com/science/article/pii/S0957417422004389?via%3Dihub
Permanent Link: http://hdl.handle.net/11104/0331507 - 2.0507392 - ÚTIA 2020 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
A Note on Optimal Value of Loans.
34th International Conference Mathematical Methods in Economics. Liberec: Technical University of Liberec, 2016 - (Kocourek, A.; Vavroušek, M.), s. 371-376. ISBN 978-80-7494-296-9.
[MME 2016. International Conference Mathematical Methods in Economics /34./. Liberec (CZ), 06.09.2016-09.09.2016]
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : Loan * debtor * installments * multistage stochastic programming
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2019/E/kankova-0507392.pdf
Permanent Link: http://hdl.handle.net/11104/0298680 - 3.0502907 - ÚTIA 2019 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Omelchenko, Vadym
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
Kybernetika. Roč. 54, č. 6 (2018), s. 1231-1246. ISSN 0023-5954.
[19th Joint Czech -German-Slovak Conference on Mathematical Methods in Economy and Industry (MMEI). Jindřichův Hradec, 04.06.2018-06.06.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * Second order stochastic dominance constraints * Wasserstein metric * Stability * Relaxation * Scenario generation * Empirical estimates * Light-and heavy tailed distributions * Crossing
OECD category: Statistics and probability
Impact factor: 0.560, year: 2018
http://library.utia.cas.cz/separaty/2019/E/kankova-0502907.pdf
Permanent Link: http://hdl.handle.net/11104/0295272 - 4.0502673 - ÚTIA 2021 RIV US eng J - Journal Article
Zapletal, F. - Šmíd, Martin - Kopa, M.
Multi-stage emissions management of a steel company.
Annals of Operations Research. Roč. 292, č. 2 (2020), s. 735-751. ISSN 0254-5330. E-ISSN 1572-9338
R&D Projects: GA ČR(CZ) GA16-01298S
Institutional support: RVO:67985556
Keywords : Multiperiod CVaR * Multi-stage model * Stochastic programming * Emission allowance * Steel company
OECD category: Statistics and probability
Impact factor: 4.854, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/smid-0502673.pdf https://link.springer.com/article/10.1007/s10479-019-03192-4
Permanent Link: http://hdl.handle.net/11104/0295686 - 5.0501589 - ÚTIA 2021 RIV US eng J - Journal Article
Adam, Lukáš - Branda, Martin - Heitsch, H. - Henrion, R.
Solving joint chance constrained problems using regularization and Benders’ decomposition.
Annals of Operations Research. Roč. 292, č. 2 (2020), s. 683-709. ISSN 0254-5330. E-ISSN 1572-9338
R&D Projects: GA ČR(CZ) GA18-04145S
Grant - others:GA ČR(CZ) GA18-05631S
Institutional support: RVO:67985556
Keywords : Stochastic programming * Chance constrained programming * Optimality conditions * Regularization * Benders' decomposition * Gas networks
OECD category: Pure mathematics
Impact factor: 4.854, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/MTR/adam-0501589.pdf https://link.springer.com/article/10.1007/s10479-018-3091-9
Permanent Link: http://hdl.handle.net/11104/0294165 - 6.0495435 - ÚTIA 2019 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin - Kozmík, Václav
Solution of Emission Management Problem.
MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks. Ostrava: VŠB-Technical University of Ostrava, 2018. ISSN 2464-6970. E-ISSN 2464-6989.
[9th International Scientific Conference Managing and Modelling of Financial Risks. Ostrava (CZ), 05.09.2018-06.09.2018]
R&D Projects: GA ČR(CZ) GA16-01298S
Institutional support: RVO:67985556
Keywords : Multi-stage stochastic programming * Emission management * SDDP * time dependence
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2018/E/smid-0495435.pdf
Permanent Link: http://hdl.handle.net/11104/0288954 - 7.0493316 - ÚTIA 2019 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin - Kozmík, Václav
Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems.
36th International Conference Mathematical Methods in Economics. Praha: MatfyzPress, 2018 - (Váchová, L.; Kratochvíl, V.), s. 551-554. ISBN 978-80-7378-371-6.
[36th International Conference Mathematical Methods in Economics. Jindřichův Hradec (CZ), 12.09.2018-14.09.2018]
R&D Projects: GA ČR(CZ) GA16-01298S
Institutional support: RVO:67985556
Keywords : Multi-stage stochastic programming * deterministic equivalent * multi-period CVaR * nested CVaR * optimization algorithm
OECD category: Economic Theory
http://library.utia.cas.cz/separaty/2018/E/smid-0493316.pdf
Permanent Link: http://hdl.handle.net/11104/0286991 - 8.0485151 - ÚTIA 2018 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance.
Kybernetika. Roč. 53, č. 6 (2017), s. 1026-1046. ISSN 0023-5954
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : stochastic programming * stochastic dominance * empirical estimates * financial applications
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf
Permanent Link: http://hdl.handle.net/11104/0280355 - 9.0484143 - ÚTIA 2018 RIV CZ eng K - Conference Paper (Czech conference)
Kaňková, Vlasta
Optimal Value of Loans via Stochastic Programming.
Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017). Hradec Králové: University of Hradec Králové, 2017, s. 313-318. ISBN 978-80-7435-678-0.
[MME 2017. International Conference Mathematical Methods in Economics /35./. Hradec Králové (CZ), 13.09.2017-15.09.2017]
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : Loan-debtor * installments * stochastic programming * probability constraints * second order dominance constraints
OECD category: Finance
http://library.utia.cas.cz/separaty/2017/E/kankova-0484143.pdf
Permanent Link: http://hdl.handle.net/11104/0279543 - 10.0457024 - ÚTIA 2016 RIV CZ eng C - Conference Paper (international conference)
Branda, Martin
Day-ahead bidding on energy markets - a basic model and its extension to bidding curve.
Proceedings of 10th International Scientific Conference Financial management of firms and financial institutions Ostrava. Ostrava: VŠB-Technická univerzita Ostrava, 2015, s. 124-128. ISBN 978-80-248-3865-6.
[International Scientific Conference Financial management of firms and financial institutions Ostrava 2015 /10./. Ostrava (CZ), 07.09.2015-08.09.2015]
R&D Projects: GA ČR GA15-00735S
Institutional support: RVO:67985556
Keywords : energy markets * wind energy * day-ahead bidding * uncertainty * two-stage stochastic programming
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/branda-0457024.pdf
Permanent Link: http://hdl.handle.net/11104/0257712