Publications related to Generalized Bounds for Convex Multistage Stochastic Programs

The Who, Where, What, How and When of Market Entry

This introductory, along with the eight articles contained within this Special Issue, highlights and brings greater clarity to entrant-incumbent interactions and to firm movement - when entrants traverse market territories for the creation and/or delivery ...

WILEY2019

Uncertainty Quantification of geochemical and mechanical compaction in layered sedimentary basins

Fabio Nobile, Lorenzo Tamellini, Anna Scotti

In this work we propose an Uncertainty Quantification methodology for sedimentary basins evolution under mechanical and geochemical compaction processes, which we model as a coupled, time-dependent, non-linear, monodimensional (depth-only) system of PDEs w ...

Elsevier2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Dealing with Correlations in Discrete Choice Models

Anna Fernández Antolín

The focus of this thesis is to develop methods to address research challenges related to correlation patterns in discrete choice models. In the context of correlations within alternatives, we extend the novel methodology of the multiple indicator solution ...

EPFL2018

Hybrid organizations influence on market competitive dynamics: the Azorean case

Joana Rodrigues Pereira

Hybrid organizations are an increasing phenomenon in pluralistic environments of modern societies. As this phenomenon grows, it has become more and more common that hybrids and non-hybrids compete and interact in the same market. This paper aims at investi ...

MTEI – CSI Working Paper2017

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of

2S

dynamica ...

2017

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash, Eva Vidlicková

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of 2S dynamical ...

MATHICSE2017

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Napat Rujeerapaiboon

Dynamic optimization problems affected by uncertainty are ubiquitous in many application domains. Decision makers typically model the uncertainty through random variables governed by a probability distribution. If the distribution is precisely known, then ...

EPFL2016

Approximation of Quantities of Interest in Stochastic PDEs by the Random Discrete $L^2$ Projection on Polynomial Spaces

Fabio Nobile, Giovanni Migliorati, Erik Gustaf Bogislaw Von Schwerin

In this work we consider the random discrete

L^2

projection on polynomial spaces (hereafter RDP) for the approximation of scalar quantities of interest (QOIs) related to the solution of a partial differential equation model with random input parameters. ...

Siam Publications2013

Multi-resource allocation in stochastic project scheduling

Daniel Kuhn, Wolfram Wiesemann

We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...

2012

Generalized Bounds for Convex Multistage Stochastic Programs

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The Who, Where, What, How and When of Market Entry

Uncertainty Quantification of geochemical and mechanical compaction in layered sedimentary basins

Equilibrium Models for Derivatives Markets with Frictions

Dealing with Correlations in Discrete Choice Models

Hybrid organizations influence on market competitive dynamics: the Azorean case

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Approximation of Quantities of Interest in Stochastic PDEs by the Random Discrete $L^2$ Projection on Polynomial Spaces

Multi-resource allocation in stochastic project scheduling

Equilibrium Models for Derivatives Markets with Frictions

Dealing with Correlations in Discrete Choice Models

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Approximation of Quantities of Interest in Stochastic PDEs by the Random Discrete $L^2$ Projection on Polynomial Spaces

Uncertainty Quantification of geochemical and mechanical compaction in layered sedimentary basins

Hybrid organizations influence on market competitive dynamics: the Azorean case

The Who, Where, What, How and When of Market Entry

Multi-resource allocation in stochastic project scheduling