Michal Kaut

Jobs:

researcher at SINTEF, Trondheim, Norway (permanent position)

CV:

available in pdf format

Email:

Other:

contacts

Fields of interest:

Stochastic Programming
- Scenario generation for stochastic programming.
- Stability of stochastic programs.
- Modelling issues.

Published/accepted papers:

Single-commodity network design with random edge capacities

Together with Biju K. Thapalia, Teodor Gabriel Crainic and Stein W. Wallace.
European Journal of Operational Research (EJOR), 220 (2), pp. 394-403, 2012.
doi:10.1016/j.ejor.2012.01.026 (what is doi?)
Authors' version as pdf.

Single-Commodity Stochastic Network Design with Multiple Sources and Sinks

Together with Biju K. Thapalia, Teodor Gabriel Crainic and Stein W. Wallace.
INFOR, 49 (3), pp. 193-211, 2012.

Single source single-commodity stochastic network design

Together with Biju K. Thapalia, Teodor Gabriel Crainic and Stein W. Wallace.
Computational Management Science, special issue on "Optimal Decision Making under Uncertainty", 9 (1), pp. 139-160, 2012.
doi:10.1007/s10287-010-0129-0 (what is doi?)
Full text available from the publisher's page (Open Access)

The value of numerical models in quick response assortment planning

Together with Hajnalka Vaagen and Stein W. Wallace.
Production Planning & Control, 22 (3), pp. 221-236, 2011.
doi:10.1080/09537287.2010.498576 (what is doi?)

Modelling consumer directed substitution

Together with Hajnalka Vaagen and Stein W. Wallace.
International Journal of Production Economics, special issue on "Robust Supply Chain Management", 134 (2), pp. 388-397, 2011.
doi:10.1016/j.ijpe.2009.11.012 (what is doi?)

Using inventory to handle risks in the supply of oil to Nepal

Together with Biju K. Thapalia and Stein W. Wallace.
International Journal of Business Performance and Supply Chain Modelling, 1 (1), pp. 41–60, 2009.

Shape-based Scenario Generation using Copulas

Together with Stein W. Wallace.
Computational Management Science, 8 (1-2), pp. 181-199, 2011.
doi:10.1007/s10287-009-0110-y (what is doi?)
Authors' version as pdf, ps, and ps.gz.

COIN-OR Tools for Stochastic Programming

In Miloš Kopa, editor, On Selected Software for Stochastic Programming
Chapter 6, pp. 88–116, MatfyzPress, Prague, 2008. ISBN 978-80-7378-069-2
Get a stand-alone version of the chapter, plus all the source-codes in zip, tar.gz, or 7-zip format.

Stochastic Optimization Models for a Single-Sink Transportation Problem

Together with Francesca Maggioni and Luca Bertazzi.
Computational Management Science, special issue on "Computational Optimization under Uncertainty", 6 (2), pp. 251–267, 2009.
doi:10.1007/s10287-008-0086-z (what is doi?)
Authors' version as pdf, ps, and ps.gz.

Stability analysis of portfolio management with conditional value-at-risk

Together with Stein W. Wallace, Hercules Vladimirou, and Stavros A. Zenios.
Quantitative Finance, 7 (4), pp. 397–409, 2007.
doi:10.1080/14697680701483222 (what is doi?)
Authors' version as pdf, ps, and ps.gz.

Evaluation of scenario-generation methods for stochastic programming

Together with Stein W. Wallace.
Pacific Journal of Optimization, 3 (2), pp. 257–271, 2007.

A Heuristic for Moment-matching Scenario Generation

Together with Kjetil Høyland and Stein W. Wallace.
Computational Optimization and Applications, 24 (2-3), pp. 169–185, 2003.
doi:10.1023/A:1021853807313 (what is doi?)
A description of input data used in numerical tests is available as PS and PDF.
Update to the published version (useful for implementation of the alg.) is available in PS, PS.GZ, and PDF formats.
NEW! A full source code is available for download as tar.gz or zip archive.
In addition, binaries are available for Linux-x64 and Windows platforms.

Working papers:

A copula-based heuristic for scenario generation 2011

Preprint posted at Optimization Online, as report 2011/09/3169.

A C++ Modelling Environment for Stochastic Programming October 2008

Together with Alan King and Tim H. Hultberg.
IBM Technical report RC24662.

Scenario generation: Property matching with distribution functions April 2007

Together with Arnt-Gunnar Lium.
Downloadable as PS, PS.GZ, and PDF.

Scenario Generation and Obtaining Sound Solutions June 2006

Together with Arnt-Gunnar Lium.
Downloadable as PS, PS.GZ, and PDF; Abstract available as HTML.

Non-recombining trees for pricing of multi-variate options March 2003

Together with Stein W. Wallace.
Downloadable as PS, PS.GZ, and PDF; Abstract available as HTML.

PhD thesis:

Scenario tree generation in stochastic programming: Cases from finance

Supervisors:
- Stein W. Wallace, Molde University College
- Kjetil Høyland, Gjensidige NOR Asset Management
- Harald Krogstad, Norwegian University of Science and Technology
Stipend by: Gjensidige NOR Asset Management

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)