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Flow-shop Problems
Dyntar, Tomáš ; Tegze, Miron (advisor) ; Červinka, Michal (referee)
A description of flow shop and lot streaming including an example is given. Methods and algorithms ofr solving various modifications of the single job two-machine flow shop transfer lot sizing problem are shown. It starts with the calsulation of two lots (discrete), three lots (continuous) problem and then Trietsch s polynomial algorithm or an arbitrary number of sublots is introduced. This alogithm is then used for solving modifications with finding the proper number of sublots for given makespan, with constant or linear transfer times including variants with limited number of transfer machines or their limited capacity, with constant or linear set up times. A domed with both transfer and setup times is then developed and Trietschs algorithm modified. A theoreme by R. G. Vickson for solving multiple job lot streaming problem by treating the lot streaming problem for each job separately and then using Johnsons alogorithm is proposed to extend the results of the single job cases to those of multiple jobs. A known way to extend results to the three machine problem by treating each pair of successive machines separately or developing Trietschs algorithm for three machines is shown. Most of the procedures are illustrated in examples.
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The Role of Advanced Option Pricing Techniques Empirical Tests on Neural Networks
Brejcha, Jiří ; Baruník, Jozef (advisor) ; Vošvrda, Miloslav (referee)
This thesis concerns with a comparison of two advanced option-pricing techniques applied on European-style DAX index options. Specifically, the study examines the performance of both the stochastic volatility model based on asymmetric nonlinear GARCH, which was proposed by Heston and Nandi (2000), and the artificial neural network, where the conventional Black-Scholes-Merton model serves as a benchmark. These option-pricing models are tested with the use of the dataset covering the period 3rd July 2006 - 30th October 2009 as well as of its two subsets labelled as "before crisis" and "in crisis" data where the breakthrough day is the 17th March 2008. Finding the most appropriate option-pricing method for the whole periods as well as for both the "before crisis" and the "in crisis" datasets is the main focus of this work. The first two chapters introduce core issues involved in option pricing, while the subsequent third section provides a theoretical background related to all of above-mentioned pricing methods. At the same time, the reader is provided with an overview of the theoretical frameworks of various nonlinear optimization techniques, i.e. descent gradient, quassi-Newton method, Backpropagation and Levenberg-Marquardt algorithm. The empirical part of the thesis then shows that none of the...
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Nonconvex stochastic programming problems-formulations, sample approximations and stability
Branda, Martin ; Lachout, Petr (advisor) ; Kaňková, Vlasta (referee) ; H.van der Vlerk, Maarten (referee)
Title: Nonconvex stochastic programming problems - formulations, sample approximations and stability Author: RNDr. Martin Branda Author's e-mail address: branda@karlin.mff.cuni.cz Supervisor: Doc. RNDr. Petr Lachout, CSc. Supervisor's e-mail address: lachout@karlin.mff.cuni.cz Abstract: We deal with problems where integer variables may appear, hence no assumptions on convexity are made throughout this thesis. The goal of Chapter 2 is to introduce stochastic programming problems and to outline the most important tasks connected with solving the problems. In Chapter 3, we compare basic formulations of static stochastic programming problems with chance constraints, with integrated chance constraints and with penalties in the objective function. We show that the problems are asymptotically equivalent under mild conditions. We discuss solving the problems using sample approximation techniques and extend some results on rates of convergence. All the formulations and corresponding sample approximations are compared on an investment problem with real features with Value at Risk constraint, integer allocations and transaction costs. Then, stability of financial decision models where two-stage mixed-integer value function appears as a loss variable is studied. In Chapter 4, we study qualitative properties of the...
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Mathematical Programs for Dynamic Pricing - Demand Based Management
Hrabec, Dušan ; Karpíšek, Zdeněk (referee) ; Hoff, Arild (referee) ; Haugen, Kjetil Kare (advisor)
Tato disertační práce se zabývá vývojem, modelováním a analýzou poptávkově orientovaných úloh, které zahrnují marketingová, operační a logistická rozhodnutí. Úlohy jsou zvoleny tak, aby mohly být dále rozšířeny o koncept tzv. dynamického oceňování a jiných dynamických marketingových rozhodnutí. V práci jsou využity dvě základní poptávkově orientované úlohy: a) úloha kolportéra novin, která je zvolena pro její jednoduchou formu a která tak slouží jako nástroj pro ilustrativní ukázky rozhodovacích procesů v podobných typech úloh, a b) úloha návrhu dopravní sítě, kde jsou využity některé výsledky a znalosti získané při řešení úlohy kolportéra novin. Kolportér (či obecně maloobchodník) čelí náhodné poptávce, která může být postupně ovlivněna oceňováním, marketingovými (tj. reklamními) rozhodnutími a nakonec jejich kombinací. Poptávka obsahuje tedy náhodnou složku, která je pomocí přístupů stochastické optimalizace modelována ve specifickém tvaru (tj. aditivní či multiplikativní tvar). Závislost cena-poptávka je zachycena pomocí nelineární klesající poptávkové funkce, zatímco (vhodná) reklama vede ke zvýšení poptávky (běžně rostoucí s-křivka či konkávní funkce). Výsledky získané při řešení úlohy kolportéra novin s oceňováním jsou následně využity v úloze návrhu dopravní sítě. Tato stochastická úloha je modelována (reformulována) pomocí dvou přístupů stochastické optimalizace: wait-and-see přístup a here-and-now přístup. Jelikož tato implementace vede na lineární či nelineární celočíselnou (navíc scénářovou) úlohu, jsou v práci zmíněny taky výpočetní nástroje. Autor pro řešení používá (původní) tzv. hybridní algoritmus, což je kombinace heuristického (genetického) algoritmu a nástroje optimalizačního softwaru. Potenciální aplikace sestavených modelů, obzvláště v oblasti odpadového hospodářství, jsou diskutovány v závěrečné části disertační práce.
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Digitized experiments - The instrument for mastering of selected curriculum of general chemistry
Bartoš, Ivan ; Čipera, Jan (advisor) ; Havlíček, David (referee) ; Svoboda, Lubomír (referee)
By analyzing electronical tools, online applications and tutorials from Czech Republic and abroad I have come to the conclusion that it is necessary to create a flexible educational instrument which includes digitized chemical experiments for general chemistry. Following the analysis of present databases, CD ROMs and VHS containing pictured experiments I found out that a lot of spectacular experiments with pyrotechnical components have not been shooted at all or not in the range of "greater" chemicals quantity. The chosen programming language, in which FMDP was written, proved to be most efficient. This choice emerged from a discussion with programmers and was motivated in particular by larger possibilities of C# than HTML have. In addition to it the modification of the FMDP content is easy. The teachers with minimum of the PC-literacy can make any changes in FMDP, alternate any of its parts and adapt them for various internal and external conditions of education. With regard to the interview having found the needs of learners I filmed and digitized especially such experiments that present the chemical reactions accompanied by the rise of a smoke, light emission, explosion and a surprising turn of colours. On the basis of the statistical evaluation of statistical data containing marks achieved by...
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Optimization of technological parameters of injection plastic parts
Hamáček, Richard ; Hlaváček, Martin (referee) ; Kandus, Bohumil (advisor)
This project is dealt with optimalization of moulding procedure of plastic housing of headlamp for project DCW 204 Mopf halogen. The aim is reach a shorter injection moulding cycle time with keeping of claim quality of plastic part. Optimalization will be done based on modification of moulding pressing time. We observe warpage in axis X in the most problematical points of housing by using of contactless measuring optical technologie ATOS III Triple Scan. Simulation analysis for injection moulding was used for prediction of housing warpage up to unforming in every chosen moulding pressing time. According to reaching data in this way comparison of predicted warpage was able to done up to unforming time and real warpage of housing after unforming. According to reaching data in a different period of time warpage of housing during time flowing was observed.
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Customer Relationships Valuation Method
Malach, Jakub ; Vlček, Radim (advisor) ; Fotr, Jiří (referee) ; Tomek, Gustav (referee)
Cílem disertační práce je navrhnout metodu hodnocení vztahů se zákazníky. Mezi hlavní přínosy disertační práce pro teorii Customer Relationship Managementu (CRM) patří: Komplexní analýza současného stavu hodnocení vztahů se zákazníky. Návrh obecných kritérií hodnocení vztahu se zákazníkem popisujících základní složky hodnoty vztahu a jejich ověření. Identifikace a systematizace principů konceptu CRM. Návrh integrace hodnotících procesů do cyklu CRM včetně identifikace principů fungování cyklu CRM. Návrh systému hodnocení vztahů se zákazníky. Návrh obecného předpisu hodnotící funkce, typů oborů hodnot funkce a konceptu dimenze indikátoru hodnoty vztahu se zákazníkem. Návrh obecného a specifického modelu hodnocení vztahů se zákazníky, prvků modelu a determinantů prvků modelu. Návrh struktury procesu hodnocení vztahů. Ověření předpokladů obecného modelu hodnocení vztahů. Ověření hypotéz modifikace obecného modelu hodnocení podle specifických vlastností hodnotící firmy. Návrh manažerského nástroje VMT (Valuation Model Tool) a způsobu jeho praktické aplikace.
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Capital Asset Price Modelling: Concept VAPM
Kuklik, Robert G. ; Janda, Karel (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.
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Mergers of Business Corporations and Their Influence on Financial Situation
Kubáňová, Andrea ; Skálová, Jana (advisor) ; Žárová, Marcela (referee)
This thesis is concerned with domestic mergers of business corporations realized between 2009 - 2012 and their influence on financial situation of chosen subjects. The first part of my paper describes basic theoretical aspects of mergers including their division and motives leading to the realization and their phases. The second chapter consists of trade-legal and accounting adjustment of mergers. Considering practical part, the main focus is on legal modification valid from 31. 12. 2011 to 1. 1. 2012. Following part of this thesis explains accounting solutions of mergers in example, where the immediate impact is shown on realization of the opening balance sheet. The fourth part is concerned with financial analysis, where the sources, users and relevant methods are mentioned. All analysis and results are submitted and described in the final part of my thesis.
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Comparison of the institute of subsistence minimum in Czech and Slovak Republic from 1993 to 2015
Feurich, Marek ; Kubelková, Karina (advisor) ; Bartůsková, Lucia (referee)
After the split of the Czechoslovak Federal Republic (CSFR) to the Czech and Slovak Republics in 1993, both countries retain most ČSFR laws, including law no. 463/1991 Sb., o životním minimu. So the starting position was the same for both countries. A number of modifications of the legislative environment, which happened over the years in both countries, provides a suitable space for the realization of comparative analysis. The aim of this thesis is to compare the institute of subsistence minimum (SM) in the Czech and Slovak Republic between 1993-2015, and prove the assumptions that the institute of SM always held in both countries the same function, was highly motivational to reintegrate the unemployed into the workforce, and the greater amount of SM has always meant a higher income for people in material need in particular country. But the conducted comparative analysis does not confirm the assumptions.
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