Michal Kaut

researcher at SINTEF, Trondheim, Norway (permanent position)
available in pdf format

Fields of interest:

Published/accepted papers:

For citation counts and indices, see my Google Scholar profile.

Stochastic energy market equilibrium modeling with multiple agents
The impact of design uncertainty in engineer-to-order project planning
Energy-Efficient Building Retrofits: An Assessment of Regulatory Proposals under Uncertainty
BLOMST – An Optimization Model for the Bioenergy Supply Chain
A Mockup Stochastic Program to Study the Impact of Design Uncertainty on ETO Shipbuilding Planning
Assessing Production Assurance in a Natural Gas Network by Using Scenario Generation and Optimization
Scenario generation with distribution functions and correlations
A copula-based heuristic for scenario generation
Multi-horizon stochastic programming
Stochastic MIP Modeling of a Natural Gas-Powered Industrial Park
Scenario-Tree Generation
Single-commodity network design with random edge capacities
Single-Commodity Stochastic Network Design with Multiple Sources and Sinks
Single source single-commodity stochastic network design
The value of numerical models in quick response assortment planning
Modelling consumer directed substitution
Using inventory to handle risks in the supply of oil to Nepal
Shape-based Scenario Generation using Copulas
COIN-OR Tools for Stochastic Programming
Stochastic Optimization Models for a Single-Sink Transportation Problem
Stability analysis of portfolio management with conditional value-at-risk
Evaluation of scenario-generation methods for stochastic programming
A Heuristic for Moment-matching Scenario Generation

Working papers:

Forecast-based scenario-tree generation method 2016
Stochastic model for short-term balancing of supply and consumption of electricity May 2015
A C++ Modelling Environment for Stochastic Programming October 2008
Non-recombining trees for pricing of multi-variate options March 2003

PhD thesis:

Scenario tree generation in stochastic programming: Cases from finance

Selected presentations/talks:

A Copula-based Scenario Generation Heuristic,
NTNU, Trondheim, Norway, September 2011. (PDF)
Scenario Generation for Stochastic Programming – Introduction and selected methods,
NTNU, Trondheim, Norway, September 2011. (PDF)
An Open-Source C++ Modelling Environment for Stochastic Programming,
APMOD 2008, Bratislava, May 2008. (PDF)
Scenario generation: Property matching with distribution functions,
Stochastic Programming School 2007, Bergamo, Italy, April 2007. (PDF)
Scenario Generation for Stochastic Programming – A Practical Introduction,
Stochastics in Logistics and Transportation, Håholmen, Norway, June 2006. (PDF)
Stochastic programming
Stochastic Programming Community Home Page
SPEPS - Stochastic Programming E-Print Series
Optimization Online - an eprint site for the optimization comunity
Optimization Software
Open-Source Packages
My Google Scholar profile, including citation counts and indices
My photos
Personal homepage

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