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Browsing by Author "Dupacová, Jitka"
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20040114BuchAssetliability management for Czech pension funds using stochastic programming Dupacová, Jitka; Polivka, JanIt is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return ...

20060315BuchContamination for multistage stochastic programs Dupacová, JitkaContamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or input data. We shall focus ...

20040114BuchMelt control Charge optimization via stochastic programmingDupacová, Jitka; Popela, PavelThis paper introduces melt control as a good case for application of two and multistage stochastic programming models. Sources of uncertainties are described and several methods of input generation are presented. The ...

20000706BuchOutput analysis for approximated stochastic programs Dupacová, JitkaBecause of incomplete information and also for the sake of numerical tractability one mostly solves an approximated stochastic program instead of the underlying ''true'' decision problem. However, without an additional ...

20051111BuchQantitative stability for scenariobased stochastic programs Dupacová, Jitka; Römisch, WernerGeneral quantitative stability results for stochastic programs are formulated in terms of probability metrics, specified to scenariobased stochastic programs and applied to a bond portfolio managemant problem.

20051107BuchScenario Reduction in Stochastic Programming An Approach Using Probability MetricsDupacová, Jitka; GröweKuska, Nicole; Römisch, WernerGiven a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...

20000814BuchScenario reduction in stochastic programming: An approach using probability metrics Dupacová, Jitka; GröweKuska, Nicole; Römisch, WernerGiven a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...

20050112BuchStress Testing for VaR an CVaR Dupacová, Jitka; Polivka, JanPractical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for ...