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Goal Programming Models: Theory, Applications, Software Support
Skočdopolová, Veronika ; Jablonský, Josef (advisor) ; Brezina, Ivan (referee) ; Šubrt, Tomáš (referee)
Goal programming is an approach for solving decision problems. The aim of this doctoral thesis is to show the practical use of this approach for solving real problems. The first chapter brings a brief introduction to multicriteria decision making. The second chapter is devoted to goal programming, its history, theory, criticism and also to its practical applications. The third chapter deals with description of a model for optimisation of white mass production. This model utilises the goal programming principle to deal with measuring deviations of raw materials' composition. A part of this chapter is a presentation of OPTIPROT, an application that implements the mentioned model. In the fourth chapter there are described three mathematical models for timetabling at a department level; two multistage models and one complex model. All three models are formulated utilising goal programming. In this chapter there is also described an application that implements the complex model for timetabling.
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Alternativní přístup k řízení rizik v bankovnictví za použití analýzy obalu dat
Fialová, Zuzana ; Jablonský, Josef (advisor) ; Lukáš, Ladislav (referee) ; Brezina, Ivan (referee)
The implementation of the Basel II capital adequacy framework promoted internally modelled risk parameters and allowed banks to build their own models. The recent crisis pointed at the gaps in the Basel II Accord, seeing banks having trouble to deal with lack of liquidity and higher default rates. The minimum regulatory capital held by the banks turned out to be insufficient and banks started looking for other techniques to better quantify the risks they are exposed to. Model accuracy is a key objective to meet the capital adequacy requirements while facing severe economic conditions. The purpose of this thesis is to suggest a new approach to credit modelling. Data envelopment analysis (DEA) can overcome some the difficulties that the banks deal with. The key opportunity in using DEA and its modifications is in the fact that this method does not require prior information about the classification between good and bad units and only requires financial and other data about the client in question. This thesis analyses the performance of DEA applied on a real world portfolio of corporate loans compared to the two standard methods used in the banking sector. Logistic regression is the most popular method, having few restrictions and providing output in the form of a probability of default. The second method is the discriminant analysis giving similar results to the logistic regression but being based on more assumptions. The model is validated by comparing the model output with the actual status and its predictive power evaluated.
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Dynamic Vehicle Routing Problems
Fábry, Jan ; Pelikán, Jan (advisor) ; Brezina, Ivan (referee) ; Zimmermann, Karel (referee)
Současné konkurenční prostředí nutí distribuční firmy zajišťovat bezprostřední obsluhu svých zákazníků. Zatímco statická verze okružních a rozvozních úloh nepřipouští možnost akceptovat dodatečné požadavky zákazníků, dynamická verze umožňuje dispečerovi měnit naplánované trasy vozidel, jakmile se objeví nový požadavek. Pro řešení dynamických úloh jsou navrženy optimalizační matematické modely a heuristické vkládací algoritmy. V některých úlohách jsou zahrnuty podmínky s časovými okny. V práci jsou analyzovány speciální distribuční úlohy: dynamická úloha kurýrní služby, dynamická úloha obchodního cestujícího s apriorní informací a dynamická rozvozní úloha s dělenou dodávkou. Řešení většiny úloh je demonstrováno na vygenerovaných datech za použití programu LINGO jako řešitele a VBA v MS Excel jako uživatelského rozhraní a výstupního prostředí. Jsou prezentovány výsledky počítačových experimentů.
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