Sökning: "Stochastic Programming"

Visar resultat 1 - 5 av 88 avhandlingar innehållade orden Stochastic Programming.

1. 1. Optimal bidding of a hydropower producer insequential power markets with riskassessment : Stochastic programming approach

   Författare :Yelena Vardanyan; Mohammad Reza Hesamzadeh; Javier Contreras; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : Short-term hydropower planning and bidding under uncertainty is a complicated task. The problem became more challenging with the liberalized market environment within the last two decades. LÄS MER

3. 2. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

   Författare :Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

   Sammanfattning : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. LÄS MER

4. 3. Approximation of Infinitely Divisible Random Variables with Application to the Simulation of Stochastic Processes

   Författare :Magnus Wiktorsson; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; operations research; Statistics; aktuariematematik; Stochastic differential equation; Infinitely divisible distribution; Type G distribution; Lévy process; Stochastic integral; Mathematical Statistics; Matematik; Mathematics; programming; actuarial mathematics; Statistik; operationsanalys; programmering;

   Sammanfattning : This thesis consists of four papers A, B, C and D. Paper A and B treats the simulation of stochastic differential equations (SDEs). The research presented therein was triggered by the fact that there were not any efficient implementations of the higher order methods for simulating SDEs. LÄS MER

5. 4. On Parameter Estimation and Control of Time-Varying Stochastic Systems

   Författare :Bengt Lindoff; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Adaptive Predictive Control; Adaptive Stochastic Control; Dual Control; Convergence Analysis; Quadratic Forms; Forgetting Factor; Recursive Least Squares; Recursive Estimation; Linear Systems; Time-Varying Stochastic Systems; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

   Sammanfattning : This thesis is about parameter estimation and control of time-varying stochastic systems. It can be divided into two parts. The first part deals with an estimation algorithm commonly used when estimating parameters in time-varying stochastic systems, the Recursive Least Squares (RLS) algorithm with forgetting factor. LÄS MER

7. 5. Language-Based Techniques and Stochastic Models for Automated Testing

   Författare :Claudio Agustin Mista; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; automated testing; software testing; stochastic methods; meta-programming; functional programming;

   Sammanfattning : As software systems become bigger and scarier, automating their testing is crucial to ensure that our confidence in them can keep up with their growth. In this setting, Generational Fuzzing and Random Property-Based Testing are two sides of the same testing technique that can help us find bugs effectively without having to spend countless hours writing unit tests by hand. LÄS MER