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Title: Nonlinearities in stochastic programming problems. Application to risk control

Author: Luká² Adam

Department: Department of Probability and Mathematical Statistics Supervisor: prof. RNDr. Jitka Dupa£ová, DrSc.

Abstract: In this work we are interested in twostage stochastic problems.

Presented work is divided into four chapters. In the rst one we introduce the necessary background for further chapters, at rst for linear, later on for polyhedral objective function. In second and third chapters we present several algorithms and software, which can be used to solve stochastic problems.

Most of the algoritms are based on Lshaped method, whose variant range from linear to polyhedral, quadratic and nally covnex problem. In the last chapter we apply some of mentioned algorithms and software on a practical problem involving conditional value at risk and compare them.

Keywords: twostage programming, algorithms, software, CVaR.

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