This thesis deals with multi-stage stochastic programming in the context of random process representation. Basic structure for random process is a scenario tree. The thesis introduces general and stage-independent scenario tree and their properties. Scenario trees combined with Markov chains are also introduced. Markov chains states determine if there is a crisis period or not. Information about historical number of crises helps us to construct a scenario lattice. Scenario generation is performed using moment method. Scenario trees are used as an input to the investment problem.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:405066 |
| Date | January 2019 |
| Creators | Harcek, Milan |
| Contributors | Kopa, Miloš, Branda, Martin |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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