Ústav teorie informace a automatizace

Nejnovější přírůstky:
2017-03-10
16:12
Decision of a Steel Company Trading with Emissions
Zapletal, F. ; Šmíd, Martin
We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the missing/redundant ones have to be bought/sold on a market. To manage their risk, the company can use derivatives on emissions allowances (in particular futures and options), in addition to spot values of allowances. We solve the decision problem for the case of an real-life Czech steel company for different levels of risk aversion and different scenarios of the demand. We show that the necessity of emissions trading generally, and the risk caused by the trading in particular, can influence the production significantly even when the risk is decreased by means of derivatives. The results of the study show that even for low levels of the risk aversion, futures on allowances are optimal to use in order to reduce the risk caused by the emissions trading.

Úplný záznam
2017-03-10
16:12
VÝVOJ ADAPTIVNÍHO INTERAKTIVNÍHO SYSTÉMU PRO ZVÝŠENÍ BEZPEČNOSTI OSÁDKY VOZIDEL A JEHO VYUŽITÍ PRO HODNOCENÍ POVRCHOVÝCH VLASTNOSTÍ VOZOVEK
Kudrna, J. ; Plíhal, Jiří ; Nedoma, P. ; Herda, Z. ; Kozák, P.
On board měření povrchových vlastností vozovky pozemní komunikace může výrazně přispět ke zvýšení bezpečnosti silničního provozu. Tento příspěvek popisuje koncept systému vyhodnocujícího součinitel tření a povrchové nerovnosti vozovky na základě dat zaznamenávaných běžnými vozidlovými senzory. Koncept obsahuje dvě na sobě nezávislé části: deterministický model pohybu vozidla a stochastickou analýzu korelací odchylek modelu a povrchových koeficientů na základě dat z testovacích jízd.

Úplný záznam
2017-01-20
16:14
Základy statistické analýzy přežití s aplikací v analýze spolehlivosti
Volf, Petr
Práce předkládá jednak přehled metod používaných v statistické analýze přežití s ohledem na aplikaci v analýze spolehlivosti, jednak výsledky autora v oblasti analýzy regrese v modelech pro intenzitu poruch. Je doplněna ilustrativními příklady.

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2017-01-12
16:23
Sparse robust portfolio optimization via NLP regularizations
Branda, Martin ; Červinka, Michal ; Schwartz, A.
We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional Value-at-Risk under normal distribution of returns and their robust counterparts are derived under moment conditions, all leading to nonconvex objective functions. We propose four solution approaches: a mixed-integer formulation, a relaxation of an alternative mixed-integer reformulation and two NLP regularizations. In a numerical study, we compare their computational performance on a large number of simulated instances taken from the literature.

Úplný záznam
2017-01-12
16:23
Basic facts concerning extreme supermodular functions
Studený, Milan
Elementary facts and observations on the cone of supermodular set functions are recalled. The manuscript deals with such operations with set functions which preserve supermodularity\nand the emphasis is put on those such operations which even preserve extremality (of a supermodular function). These involve a few self-transformations of the cone of supermodular set functions. Moreover, projections to the (less-dimensional) linear space of set functions for a subset of the variable set are discussed. Finally, several extensions to the (more-dimensional) linear space of set functions for a superset of the variable set are shown to be both preserving supermodularity and extremality.

Úplný záznam
2017-01-11
17:39
Metodika určování svislých průhybů mostních konstrukcí pomocí technologie radarové interferometrie
Antoš, Filip ; Talich, Milan ; Glöckner, M. ; Böhm, Ondřej ; Soukup, Lubomír ; Havrlant, Jan ; Závrská, M. ; Šolc, Jakub
Metodika poskytuje návod pro určování svislých průhybů mostních konstrukcí pomocí technologie radarové interferometrie. Svislé průhyby mostních konstrukcí jsou vyvolány především zatížením při průjezdy vozidel. Průhyby jsou radarem měřeny v celé délce sledované konstrukce současně. Měření je kontinuální s vysokou vzorkovací frekvencí (až 200 Hz) a zároveň i s vysokou přesností (až 0,01 mm). Předpokládá se použití interferometrického radaru IBIS-S italského výrobce IDS. Obecná doporučení a závěry jsou však platná pro každý radar tohoto druhu.

Úplný záznam
2016-11-16
13:47
DCTOOL-A3
Bakule, Lubomír ; Papík, Martin ; Rehák, Branislav
DCTOOL-A3 is a documentation of Matlab routines developed for the design of decentralized control of large scale complex systems. The current beta version covers three areas as follows:\nReport 4.1 deals with the event-triggered control design for unstructured uncertain systems. Both non-quantized and quantized feedback is analyzed. The results are given in terms of linear matrix inequalities (LMIs). Logarithmic quantizer is used. Numerical example illustrates the effectiveness of the presented results.\nReport 4.2 presents a new decentralized overlapping wireless control design with a switched communication protocol. The method is applied by simulations on the 20-story building structure including the test of robustness of the methods against sensor failures and network node dropouts of a digital network.\nReport 4.3 presents the construction of a new decentralized wireless controller and a set of heuristic algorithms for evaluation of packet dropouts, sensor faults and actuator faults. The digital network operates at the standard frequency used in well-known widely-used industrial protocols. The results are tested at the Benchmark model decomposed into two disjoint substructures. The results are published. Thus, the details are omitted here.

Úplný záznam
2016-11-16
13:47
Feasibility Study of an Interactive Medical Diagnostic Wikipedia
Grim, Jiří
Considering different application possibilities of product distribution mixtures we have proposed three formal tools in the last years, which can be used to accumulate decision-making know-how from particular diagnostic cases. First, we have developed a structural mixture model to estimate multidimensional probability distributions from incomplete and possibly weighted data vectors. Second, we have shown that the estimated product mixture can be used as a knowledge base for the Probabilistic Expert System (PES) to infer conclusions from definite or even uncertain input information. Finally we have shown that, by using product mixtures, we can exactly optimize sequential decision-making by means of the Shannon formula of conditional informativity. We combine the above statistical tools in the framework of an interactive open-access medical diagnostic system with automatic accumulation of decision-making knowledge.

Úplný záznam
2016-11-16
13:47
Transient and Average Markov Reward Chains with Applications to Finance
Sladký, Karel
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances for transient and average models are reported along with sketches of algorithmic procedures for finding policies guaranteeing minimal variance in the class of policies with a given transient or average reward. Application of the obtained results to financial models is indicated.

Úplný záznam
2016-10-31
13:07
Linear ARX and state-space model with uniform noise: computation of first and second moments
Jirsa, Ladislav
This report collects technical procedures used for computations of various estimates and keeps them in one place for internal purposes. The context concerns application of estimation of unknown parameters and states of linear model with uniformly distributed noise.

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