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- Auflistung Stochastic Programming E-print Series (SPEPS) nach Autor
Auflistung Stochastic Programming E-print Series (SPEPS) nach Autor "Kaut, Michal"
Anzeige der Publikationen 1-4 von 4
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2001-04-06BuchA heuristic for generating scenario trees for multistage decision problems Høyland, Kjetil; Kaut, Michal; Stein, W.In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that produces a discrete ...
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2003-07-14BuchEvaluation of scenario-generation methods for stochastic programming Kaut, Michal; Stein, W.In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenario-generation ...
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2006-12-07BuchShape-based Scenario Generation using Copulas Kaut, Michal; Stein, W.The purpose of this article is to show how the multivariate structure (the ”shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To dothis we use the copula. As a result, ...
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2008-03-06BuchStochastic optimization models for a single-sink transportation problem Maggioni, Francesca; Kaut, Michal; Bertazzi, LucaIn this paper we study a single-sink transportation problem in which the production capacity of the suppliers and the demand of the single customer are stochastic. Shipments are performed by capacitated vehicles, which ...