Browsing NTNU Open by Author "Kaut, Michal"
Now showing items 1-7 of 7
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A copula-based heuristic for scenario generation
Kaut, Michal (Journal article; Peer reviewed, 2013)This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. ... -
The combined impact of stochastic and correlated activity durations and design uncertainty on project plans
Kaut, Michal; Vaagen, Hajnalka; Wallace, Stein William (Peer reviewed; Journal article, 2020)Most model based studies on project uncertainty investigate a single source of uncertainty, with a dominant focus on stochastic activity durations. However, another major uncertainty facing engineering projects is that of ... -
Hydropower Bidding in a Multi-Market Setting
Aasgård, Ellen Krohn; Fleten, Stein-Erik; Kaut, Michal; Midthun, Kjetil; Perez-Valdes, Gerardo A. (Journal article, 2018)We present a literature survey and research gap analysis of mathematical and statistical methods used in the context of optimizing bids in electricity markets. Particularly, we are interested in methods for hydropower ... -
Multi-horizon stochastic programming
Kaut, Michal; Midthun, Kjetil Trovik; Werner, Adrian; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte (Journal article; Peer reviewed, 2014)Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs ... -
Scenario tree generation for stochastic programming : cases from finance
Kaut, Michal (Dr. ingeniøravhandling, 0809-103X; 2003:55, Doctoral thesis, 2003)In recent years, stochastic programming has gained an increasing popularity within the mathematical programming community, mainly because the present computing power allows users to add stochasticity to models that were ... -
Socio-Economic Optimal Pricing of Railroad Infrastructure (SOPJI). Mathematical Model Formulation and Implementation
Kaut, Michal; Werner, Adrian; Lium, Arnt-Gunnar; Flatberg, Truls; Vaagen, Hajnalka; Crainic, Teodor Gabriel (SINTEF Rapport;, Research report, 2014) -
The impact of design uncertainty in engineer-to-order project planning
Vaagen, Hajnalka; Kaut, Michal; Wallace, Stein W. (Journal article; Peer reviewed, 2017)A major driver of planning complexity in engineer-to-order (ETO) projects is design uncertainty far into the engineering and production processes. This leads to uncertainty in technical information and will typically lead ...