Blar i Institutt for industriell økonomi og teknologiledelse på forfatter "Kaut, Michal"
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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. ... -
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 ...