Stránka o brožuře věnované vybraným softwarům pro řešení úloh stochastického programování ZDE.

Program bude průběžně doplňován. Hosté jsou srdečně zváni.

• Poznatky z konferencí (CMS, IFIP, MME a dalších). Informace ke konferencím EURO 2012 ve Vilniusu a ICSP 2013 v Bergamu. Upřesnění programu semináře.

  Autor:

  Prof. RNDr. Jitka Dupačová, DrSc.

  Datum:

  13.10.2011

• Jednoduchý model trhu s tvůrcem a jeho implikace pro dynamiku ceny a obchodovaného objemu

  Autor:

  RNDr. Martin Smíd, Ph.D.

  Datum:

  20.10.2011

• Seminář se nekoná

  Autor:

  -

  Datum:

  27.10.2011

• Sample approximation technique for mixed-integer chance constrained problems (with application to vehicle routing and lot-sizing problems)

  Autor:

  RNDr. Martin Branda, Ph.D.

  Datum:

  3.11.2011

• Empirické odhady

  Autor:

  RNDr. Vlasta Kaňková, CSc., RNDr. Michal Houda, Ph.D.

  Datum:

  10.11.2011

• Seminář se nekoná

  Autor:

  -

  Datum:

  24.11.2011

• Distributionally Robust Joint Chance Constraints with Second-Order Moment Information, pozvánka zde

  Autor:

  Dr. Daniel Kuhn (Imperial College London)

  Datum:

  1.12.2011

  Abstrakt:

  We develop tractable semidefinite programming-based approximations for distributionally robust individual and joint chance constraints, assuming that only the first- and second-order moments as well as the support of the uncertain parameters are given. It is known that robust chance constraints can be conservatively approximated by Worst-Case Conditional Value-at-Risk constraints. We first prove that this approximation is exact for robust individual chance constraints with concave or (not necessarily concave) quadratic constraint functions. By using the theory of moment problems we then obtain a conservative approximation for joint chance constraints. This approximation affords intuitive dual interpretations and is provably tighter than two popular benchmark approximations. The tightness depends on a set of scaling parameters, which can be tuned via a sequential convex optimization algorithm. We show that the approximation becomes in fact exact when the scaling parameters are chosen optimally. We evaluate our joint chance constraint approximation in the context of a dynamic water reservoir control problem.

• The minimization of max-separable objective function under (max,min)-linear equations constraints

  Autor:

  Mahmoud Attya Mohamed Gad

  Datum:

  8.12.2011

• Application of stochastic programming in electricity trading

  Autor:

  RNDr. Vadym Omelchenko

  Datum:

  15.12.2011

• Risk Averse Stochastic Dual Dynamic Programming

  Autor:

  Mgr. Václav Kozmík

  Datum:

  22.12.2011

• Inženýrské aplikace stochastického programování v Brně v roce 2011

  Autor:

  RNDr. Pavel Popela, Ph.D.

  Datum:

  5.1.2012

• Obhajoby ekonometrických projektů

  Autor:

  -

  Datum:

  12.1.2012