Institute of Information Theory and Automation

Stochastic optimization

Stochastic Programming

Research in this field has more than forty-year tradition in our department. Stochastic programming problems are studied both theoretically and with respect to practical applications. Presently, the group focuses on the following areas:

  • Stability of stochastic programming problems
  • second-order stochastic dominance constraints
  • multi-objective Problems
  • dependent probability constraints
  • modelling rational behavior on limit order markets
  • mean-variance optimality in markov decision processes
  • growth rates and  average optimality in risk-sensitive markov decision chains 
  • extended ramsey growth model  
  • applications in energy management 

People

Selected publications

Grants and projects

  • Stability analysis of optima and equilibria in economics
    Martin Branda, grant No. 15-00735S of the Czech Science Foundation.
  • Arbitrage-free modelling of implied volatility in options
    Miloš Kopa , grant No. GA13-25911S of the Czech Science Foundation.
  • New Trends in Stochastic Economic Models under Uncertainty
    Vlasta Kaňková, grant No. 13-14445S of the Czech Science Foundation.
  • Stochastic Economic Models under Uncertainty: Development over Time and Optimization
    Vlasta Kaňková, grant No. P402/10/0956 of the Czech Science Foundation.
  • Rational Decision Making at Markets with Asynchronous Trading: Theory and Empirical Evidence
    Martin Šmíd, grant No. P402/10/1610 of the Czech Science Foundation
  • Economic Decision Models: Dynamics and Risk
    Karel Sladký, grant No.402/08/0107 of the Czech Science Foundation, with Charles University of Prague.
  • Economic Systems under Uncertainty: Optimization and Approximation
    Vlasta Kaňková, grant No. 402/07/1113 of the Czech Science Foundation
  •  Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading
     Martin Šmíd, grant No.402/06/1417 of the Czech Science Foundation
  • Validation of Economic Decision Models and Results
    Karel Sladký, grant No.402/05/0115 of the Czech Science Foundation, with Charles University of Prague.
  • Stochastic Decision Approaches in Nonlinear Economic Models
    Vlasta Kaňková, grant No. 402/04/1294 of the Czech Science Foundation.
Responsible for information: E
Last modification: 24.01.2015
Institute of Information Theory and Automation