Homepage: Michal Kaut

Handling of long-term storage in multi-horizon stochastic programs 2024

Computational Management Science, 21, article number 27.
doi:10.1007/s10287-024-00508-z
The paper is Open Acess (CC BY 4.0), available from the journal web page.
Direct access possible via Springer Nature SharedIt.

Stochastic modelling of variable renewables in long-term energy models: Dataset, scenario generation & quality of results

Together with Pernille Seljom, Lisa Kvalbein, Lars Hellemo and Miguel Muñoz Ortiz.
Energy, 236, pp. 121415, 2021.
doi:10.1016/j.energy.2021.121415
Authors' version is available as PDF.

On scenario construction for stochastic shortest path problems in real road networks

Together with Dongqing Zhang, Stein W.Wallace, Zhaoxia Guoa, and Yucheng Dong.
Transportation Research Part E: Logistics and Transportation Review, 152, pp. 102410, 2021.
doi:10.1016/j.tre.2021.102410
Authors' version is available as PDF.

Patient tailored levothyroxine dosage with pharmacokinetic/pharmacodynamic modeling: a novel approach after total thyroidectomy 2021

Together with Vegard Heimly Brun, Amund Henrik Eriksen, Ruth Irene Selseth, Kenth Johanssson, Renate Vik, Benedicte Davidsen, and Lars Hellemo.
Thyroid, to appear, 2021.
doi:10.1089/thy.2021.0125
The paper is Open Acess (CC), available from the journal web page.

Scenario generation by selection from historical data 2021

Computational Management Science, online, 2021.
doi:10.1007/s10287-021-00399-4
The paper is Open Acess (CC BY 4.0), available from the journal web page.

The combined impact of stochastic and correlated activity durations and design uncertainty on project plans

Together with Hajnalka Vaagen and Stein W. Wallace.
International Journal of Production Economics, 233, online, 2021.
doi:10.1016/j.ijpe.2020.108015
The paper is Open Acess (CC BY 4.0), available from the IJPE web page.

Vehicle Routing with Space- and Time-Correlated Stochastic Travel Times: Evaluating the Objective Function

Together with Zhaoxia Guo and Stein W. Wallace.
INFORMS Journal on Computing, 31(4), pp. 654-670, 2019.
doi:10.1287/ijoc.2019.0906
Authors' version is available as PDF.

Hydropower bidding in a multi-market setting

Together with Ellen Krohn Aasgård, Stein-Erik Fleten, Kjetil Midthun, and Gerardo A. Perez-Valdes.
Energy Systems, 10(3), pp. 543-565, 2019.
doi:10.1007/s12667-018-0291-y (what is doi?)
Authors' version is available as PDF.

Stochastic energy market equilibrium modeling with multiple agents

Together with Kjell Arne Brekke, Rolf Golombek, Sverre A.C. Kittelsen and Stein W. Wallace.
Energy, 134, pp. 984-990, 2017.
doi:10.1016/j.energy.2017.06.056 (what is doi?)
Until August 12, 2017, the published version is freely available from Elsevier using this link.
Authors' version is available as PDF.

The impact of design uncertainty in engineer-to-order project planning

Together with Hajnalka Vaagen and Stein W. Wallace.
European Journal of Operational Research (EJOR), 261(3), pp. 1098-1109, 2017.
doi:10.1016/j.ejor.2017.03.005 (what is doi?)
Authors' version is available as PDF.

Energy-Efficient Building Retrofits: An Assessment of Regulatory Proposals under Uncertainty

Together with Paula Rocha and Afzal S. Siddiqui.
Energy, 101, pp. 278-287, 2016.
doi:10.1016/j.energy.2016.01.037 (what is doi?)
Authors' version is available as PDF.

BLOMST – An Optimization Model for the Bioenergy Supply Chain

Together with Ruud Egging, Truls Flatberg, and Kristin Tolstad Uggen.
Chapter in Hanbook of Bioenergy, pp. 37-66; Springer, 2015.
doi:10.1007/978-3-319-20092-7_2 (what is doi?)
Authors' version is available as PDF.

A Mockup Stochastic Program to Study the Impact of Design Uncertainty on ETO Shipbuilding Planning

Together with Hajnalka Vaagen
Advances in Production Management Systems: Innovative Production Management Towards Sustainable Growth , Vol. 460,
Proceedings of IFIP WG 5.7 International Conference, APMS 2015, Tokyo, Japan, pp. 167-174, 2015.
doi:10.1007/978-3-319-22759-7_19 (what is doi?)
Author's version is available as pdf.

Assessing Production Assurance in a Natural Gas Network by Using Scenario Generation and Optimization

Together with Kjetil Midthun, Lars Hellemo, and Adrian Werner
Energy Procedia, 64, Proceedings of the 3rd Trondheim Gas Technology Conference, pp. 120-129, 2015.
doi:10.1016/j.egypro.2015.01.015 (what is doi?)
Available from the publisher, under the Creative Commons CC BY-NC-ND 4.0 license.

Scenario generation with distribution functions and correlations

Together with Arnt-Gunnar Lium.
Kybernetika, 50 (6), pp. 1049-1064, 2014.
doi:10.14736/kyb-2014-6-1049 (what is doi?)
Full text available from the journal's web page.
My implementation of the algotithm is distributed under dual EPL/LGPL open-source license
and should be available at the download page soon.

A copula-based heuristic for scenario generation

Computational Management Science, 11 (4), pp. 503-516, 2014.
doi:10.1007/s10287-013-0184-4 (what is doi?)
Published version available online via Springer Nature SharedIt.
There is a small error in Section 3.2 of the published version, fixed by the following errata:
- Computational Management Science, 12 (2), pp. 341-343, 2015.
- doi:10.1007/s10287-014-0224-8
- Published version available online via Springer Nature SharedIt.
- Author's version as pdf.
Author's version of the complete paper, including the fixes from the errata, as pdf.
My implementation of the algotithm is distributed under dual EPL/LGPL open-source license
and can be obtained from the download page.

Multi-horizon stochastic programming

Together with Kjetil T. Midthun, Adrian S. Werner, Asgeir Tomasgard, Lars Hellemo and Marte Fodstad.
Computational Management Science, 11 (1-2), pp. 179-193, 2014.
doi:10.1007/s10287-013-0182-6 (what is doi?)
Published version available online via Springer Nature SharedIt.
Authors' version as pdf.

Stochastic MIP Modeling of a Natural Gas-Powered Industrial Park

Together with Gerardo Pérez-Valdés, Vibeke Nørstebø and Kjetil Midthun
Energy Procedia, 26, Proceedings of the 2nd Trondheim Gas Technology Conference, pp. 74-81, 2012.
doi:10.1016/j.egypro.2012.06.012 (what is doi?)
Available from the publisher, under the Creative Commons CC BY-NC-ND 3.0 license.

Scenario-Tree Generation

Together with Alan J. King and and Stein W. Wallace.
Chapter 4 of Modeling with Stochastic Programming, Springer, 2012.
doi:10.1007/978-0-387-87817-1_4 (what is doi?)

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: Information Systems and Operational Research, 49 (3), pp. 193-211, 2011.
doi:10.3138/infor.49.3.193 (what is doi?)
A pre-print version is available as pdf.

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) and also via Springer Nature SharedIt.

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?)
Authors' version as pdf.

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?)
Authors' version as pdf.

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.
doi:10.1504/IJBPSCM.2009.026265 (what is doi?)
Authors' version as pdf.

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?)
Published version available online via Springer Nature SharedIt.
Authors' version as pdf.

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?)
Published version available online via Springer Nature SharedIt.
Authors' version as pdf.

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.

Evaluation of scenario-generation methods for stochastic programming

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

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?)
Published version available online via Springer Nature SharedIt.
Authors' version as pdf; see also the update below.
A description of input data used in numerical tests is available as PDF.
Update to the published version (useful for implementation of the alg.) is available as PDF.
My implementation of the algotithm is distributed under dual EPL/LGPL open-source license
and can be obtained from the download page.
There is an online version of the generator, developed by Nils Löhndorf. (new!).

The HyOpt model: Input data and mathematical formulation 2019

Together with Truls Flatberg and Miguel M. Ortiz.
SINTEF report no. 2019:01439.
Accessible from the Brage archive.

Forecast-based scenario-tree generation method 2016

Preprint at Optimization Online, e-print ID: 2017-03-5898.
Downloadable as PDF.

Stochastic model for short-term balancing of supply and consumption of electricity May 2015

Together with Jeanne Andersen and Asgeir Tomasgard.
Chapter 2 (pp. 37-66) of Ph.D. thesis of Jeanne Andersen, School of Business and Social Sciences, Aarhus University, Aarhus, Denmark.
Downloadable as PDF.

A C++ Modelling Environment for Stochastic Programming October 2008

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

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

Together with Stein W. Wallace.
Downloadable as PDF; Abstract available as HTML.

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
Can be downloaded from the DiVA portal.

Michal Kaut

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Published/accepted papers:

Working papers:

PhD thesis:

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