Papers in Journals, Other Refereed Publications, Grants, Theses, Selected Conference Talks, Preprints, Databases, Publications sorted by years

#### Papers in Journals:

- Solving joint chance constrained problems using regularization and Benders' decomposition.

Accepted to Annals of Operations Research, 2018. With L. Adam, H. Heitsch, R. Henrion.

DOI: 10.1007/s10479-018-3091-9 - Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times.

Computers & Operations Research 98, 231-239, 2018.

DOI: 10.1016/j.cor.2018.05.025 - Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization.

Computational Optimization and Applications 70 (2), 503-530, 2018. With M. Bucher, M. Červinka, A. Schwartz

DOI: 10.1007/s10589-018-9985-2 arXiv:1703.10637 - Flow-based formulations for operational fixed interval scheduling problems with random delays.

Computational Management Science 14 (1), 161-177, 2017. With Š. Hájek.

Test instances and results

DOI: 10.1007/s10287-016-0262-5 - Downstream logistic optimization at EWOS Norway.

Mathematics for Applications 6 (2), 127-141, 2017. With K. Haugen, J. Novotný, A. Olstad. - Nonlinear chance constrained problems: optimality conditions, regularization and solvers.

Journal of Optimization Theory and Applications 170 (2), 419-436, 2016. With L. Adam. Accepted version of the paper

The final publication is available at http://link.springer.com DOI: 10.1007/s10957-016-0943-9 - Sparse optimization for inverse problems in atmospheric modelling.

Environmental Modelling & Software 79, 256–266, 2016. With L. Adam.

Matlab codes

DOI: 10.1016/j.envsoft.2016.02.002 - DEA models equivalent to general N-th order stochastic dominance efficiency tests.

Operations Research Letters 44 (2), 285-289, 2016. With M. Kopa.

DOI: 10.1016/j.orl.2016.02.007 - Fixed interval scheduling under uncertainty - a tabu search algorithm for an extended robust coloring formulation.

Computers & Industrial Engineering 93, 45-54, 2016. With J. Novotný, A. Olstad.

DOI: 10.1016/j.cie.2015.12.021

- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour.

4OR: A Quarterly Journal of Operations Research 14 (1), 77-99, 2016.

DOI: 10.1007/s10288-015-0296-5

- Diversification-consistent data envelopment analysis based on directional-distance measures.

Omega 52, 65-76, 2015.

DOI: 10.1016/j.omega.2014.11.004 - A note on fixed interval scheduling with stochastic elements.

The Information Bulletin of the Czech Statistical Society 26 (4), 1-7, 2015. With J. Novotný, A. Olstad, P. Popela. - Optimization approaches to multiplicative tariff of rates estimation in non-life insurance.

Asia-Pacific Journal of Operational Research 31 (5), 1450032, 17 pages, 2014.

DOI: 10.1142/S0217595914500328 - Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints.

Optimization Letters 8 (3), 861-875, 2014. Accepted version of the paper

The final publication is available at http://link.springer.com DOI: 10.1007/s11590-013-0642-5 - Exact penalization in stochastic programming - calmness and constraint qualification.

Advances in Decision Sciences, Volume 2014, Article ID 569458, 6 pages, 2014. DOI: 10.1155/2014/569458 (open access) - On relations between DEA-risk models and stochastic dominance efficiency tests.

Central European Journal of Operations Research 22 (1), 13-35, 2014. With M. Kopa. Accepted version of the paper

The final publication is available at http://link.springer.com DOI: 10.1007/s10100-012-0283-2 - Reformulations of input-output oriented DEA tests with diversification.

Operations Research Letters 41 (5), 516-520, 2013.

DOI: 10.1016/j.orl.2013.06.011 - Diversification-consistent data envelopment analysis with general deviation measures.

European Journal of Operational Research 226 (3), 626-635, 2013.

DOI: 10.1016/j.ejor.2012.11.007 - On relations between chance constrained and penalty function problems under discrete distributions.

Mathematical Methods of Operations Research 77 (2), 265-277.

Accepted version of the paper

The final publication is available at http://link.springer.com DOI: 10.1007/s00186-013-0428-7 - Stochastic programming problems with generalized integrated chance constraints.

Optimization: A Journal of Mathematical Programming and Operations Research 61 (8), 949-968, 2012.

Accepted version of the paper

The final publication is available at DOI: 10.1080/02331934.2011.587007 - Approximations and contamination bounds for probabilistic programs.

Annals of Operations Research 193 (1), 3-19, 2012. With J. Dupačová.

Accepted version of the paper

The final publication is available at http://link.springer.com DOI: 10.1007/s10479-010-0811-1 - Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints.

Operations Research Letters 40 (3), 207-211, 2012.

DOI: 10.1016/j.orl.2012.01.002 - Chance constrained problems: penalty reformulation and performance of sample approximation technique.

Kybernetika 48 (1), 105-122, 2012.

The final publication is available at www - DEA-risk efficiency and stochastic dominance efficiency of stock indices.

Czech Journal of Economics and Finance (Finance a úvěr) 62 (2), 106-124, 2012. With M. Kopa.

The final publication is available at www - Local stability and differentiability of the Conditional Value at Risk defined on the mixed-integer loss functions.

Kybernetika 46 (3), 362-373, 2010.

The final publication is available at www

#### Other Refereed Publications:

- Sparsity and regularization in portfolio selection problems.

Managing and Modelling of Financial Risks, M. Čulík ed., VŠB-Technical university of Ostrava, 2018, 45-52. ISBN: 978-80-248-4225-7 - A stochastic–integer programming approach to tactical fixed interval scheduling problems.

Proceedings of the 35th International Conference on Mathematical Methods in Economics 2017, P. Pražák ed., University of Hradec Králové, 2017, 78-83. ISBN: 978-80-7435-678-0 - A chance constrained investment problem with portfolio variance and skewness criteria - solution technique based on the Successive Iterative Regularization.

Proceedings of the 34th International Conference on Mathematical Methods in Economics 2016, A. Kocourek, M. Vavroušek eds., Technical University of Liberec, 2016, 67-72. ISBN: 978-80-7494-296-9 - DEA-risk models with Value at Risk inputs.

Proceedings of the 33rd International Conference on Mathematical Methods in Economics 2015, D. Martinčík, J. Ircingová, P. Janeček eds., University of West Bohemia, Plzeň, 2015, 68-73. ISBN: 978-80-261-0539-8 - Day-ahead bidding on energy markets - a basic model and its extension to bidding curve.

Proceedings of the 10th International Scientific Conference Financial Management of Firms and Financial Institutions, M. Čulík ed., VŠB-Technical university of Ostrava, 2015, 124-128. ISBN: 978-80-248-3865-6 - Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach.

Managing and Modelling of Financial Risks, M. Čulík ed., VŠB-Technical university of Ostrava, 2014, 97-102. ISBN: 978-80-248-3631-7 - Sample approximation techniques for DEA-risk efficiency tests.

Proceedings of the 32nd International Conference on Mathematical Methods in Economics 2014, J. Talašová, J. Stoklasa, T. Talášek eds., Palacký University, Olomouc, 2014, 55-60. ISBN: 978-80-244-4209-9 - Maximization of schedule reliability under uncertain job processing times.

Proceedings of the 4th Scientific Colloquium, D. Turzík, D. Janovská eds., Institute of Chemical Technology, Prague, 2014, 80-87. ISBN: 978-80-7080-890-0 - An approach to DEA-superefficiency in finance.

Proceedings of the 9th International Scientific Conference Financial Management of Firms and Financial Institutions, M. Čulík ed., VŠB-Technical university of Ostrava, 2013, 88-94. ISBN: 978-80-248-3172-5 - Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison.

Proceedings of the 31st International Conference on Mathematical Methods in Economics 2013, H. Vojáčková ed., College of Polytechnics Jihlava, 2013, 77-82. ISBN: 978-80-87035-76-4 - Underwriting risk control in non-life insurance via generalized linear models and stochastic programming.

Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012, J. Ramík, D. Stavárek eds., Silesian University in Opava, School of Business Administration in Karviná, 2012, 61-66. ISBN: 978-80-7248-779-0 - From stochastic dominance to DEA-risk models: portfolio efficiency analysis.

Proceedings of the International Workshop on Stochastic Programming for Implementation and Advanced Applications, L. Sakalauskas, A. Tomasgard, S.W. Wallace eds., Vilnius Gediminas Technical University, Vilnius, Lithuania, 2012, 13-18. ISBN: 978-609-95241-4-6. With M. Kopa. - Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison.

Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011, M. Dlouhý, V. Skočdopolová eds., University of Economics in Prague, Jánská Dolina, Slovakia, 64-69. ISBN: 978-80-7431-059-1 - DEA-risk efficiency of stock indices.

Proceedings of 47th EWGFM meeting, T. Tichý and M. Kopa eds., Ostrava: VŠB - Technical University of Ostrava, 2010, 35-44. With M. Kopa. - Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques.

Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, M. Houda, J. Friebelová eds., University of South Bohemia, České Budějovice, 67-72. - Qualitative stability of stochastic programs with third-degree stochastic dominance constraint induced by mixed-integer linear recourse.

Proceedings of the 27th International Conference on Mathematical Methods in Economics 2009, H. Brožová, R. Kvasnička eds., Czech University of Life Sciences, Prague, 2009, 24-28. - SLP-IOR, Portfolio Safeguard.

Chapter 2 and 3 in On Selected Software for Stochastic Programming, ed. Miloš Kopa, Matfyzpress, 2008, Prague. www - Stability Analysis of Mean-CVaR Investment Model with Transaction Costs and Integer Allocations.

Proceedings of 10th International PhD Workshop on Systems and Control, Lenka Pavelková ed., 2009. ISBN: 978-80-903834-3-2 - Recourse reformulation of chance constrained problems.

Proceedings of 15th Summer School ROBUST 2008 (J. Antoch, G. Dohnal eds), 2008. - Optimization software for stochastic programming problems.

Proceedings of 15th International Scientific Conference on Mathematical Methods in Economics and Industry, K. Cechlárová, M. Halická, V. Borbelová, V. Lacko, eds., Herlany, Slovakia, 2007.

#### Research Grants:

- Stability analysis of optima and equilibria in economics (15-00735S). 2015–2017: Czech Science Foundation – principal researcher, Institute of Information Theory and Automation AS CR.
- Efficiency tests of investment opportunities (GP13-03749P). 2013–2015: Czech Science Foundation – principal researcher, MFF UK.
- Source-Term Determination of Radionuclide Releases by Inverse Atmospheric Dispersion Modelling (STRADI, 7F142877F14287). 2015–2017: Ministry of Finance, EEA and Norway Grants – member of the research team, Institute of Information Theory and Automation AS CR.
- Dynamic Models in Economics (DYME, P402/12/G097). 2012–2018: Centre for excellence in research, Czech Science Foundation – member of the research team, since 2016 principal researcher of Portfolio Analysis group, MFF UK. Platform webpage
- Efficiency and risk control in decision making (GAP402/12/0558). 2012–2014: Czech Science Foundation – member of the research team, MFF UK.
- Dynamics in Monetary and Financial Economics. Theory and Empirical Models (GD402/09/H045). 2009–2010: Czech Science Foundation – member of the research team, Faculty of finance and accounting, University of Economics.
- Stability and sensitivity of stochastic programming problems (GAUK138409). 2009: Grant Agency of Charles University – principal researcher, MFF UK.

#### Theses:

- Advances in stochastic programming approaches to optimization under uncertainty. Habilitation thesis, Charles University, Faculty of Mathematics and Physics, 2019.
- Nonconvex stochastic programming problems - formulations, sample approximations and stability. Ph.D. thesis, Charles University, Faculty of Mathematics and Physics, 2010.
- Risk measures - sensitivity and dynamics. Diploma thesis, Charles University, Faculty of Mathematics and Physics, 2006.

#### Selected Conference Talks (slides):

- Stochastic programming approaches to pricing in non-life insurance. 11th International Conference on Computational Management Science, Lisbon, 29-31 May, 2014.
- Data envelopment analysis in finance and energy - New approaches to efficiency and their numerical tractability. 53rd Meeting of EURO Working Group on Commodity and Financial Modelling (EWGCFM), Chania, 22-24 May, 2014.
- Data envelopment analysis in finance. Ostrava, 10 January, 2014.
- On relations between stochastic dominance efficiency tests and DEA-risk models. International Conference on Stochastic Programming, Bergamo, 8-12 July, 2013. With M. Kopa
- Diversification-consistent DEA tests based on directional distance measures. EURO Conference, Rome, 1-4 July, 2013.
- Optimization approaches to multiplicative tariff of rates estimation in non-life insurance. ASTIN Colloquium, The Hague, 21-24 May, 2013.
- DEA-risk and stochastic dominance efficiency tests - formulations and equivalences. 51st Meeting of EURO Working Group on Commodity and Financial Modelling (EWGCFM), London, 16-18 May, 2013. With M. Kopa
- Calmness in stochastic programming - exact penalization and sample approximation techniques. Stochastic programming and approximation, Prague, 21 February, 2013.
- Chance constrained problems: reformulation using penalty functions and sample approximation technique. EURO Conference, Vilnius, 8-11 July, 2012.
- Diversification Consistent Data Envelopment Analysis with Generalized Deviation Measures. 50th Meeting of EURO Working Group on Financial Modelling (EWGFM), Rome, 3-5 May, 2012.
- Chance constrained problems: penalty reformulation and performance of sample approximation technique. SP XII Conference, Halifax, 15-20 August, 2010. With J. Dupačová
- Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques. Conference on Computational Management Science, Vienna, 28-30 July, 2010.
- Reformulation of chance constrained problems using penalty functions. EURO Conference, Lisbon, 11-14 July, 2010.

#### Preprints:

- Producer’s best response in pay-as-clear day-ahead electricity market with uncertain demand. Submitted 2019. With D. Aussel, R. Henrion, M. Pištěk.
- Machine learning approach to chance-constrained problems: An algorithm based on the stochastic gradient descent. Optimization Online, December 2018. With L. Adam.
- Solving joint chance constrained problems using regularization and Benders' decomposition. Optimization Online, January 2018. With L. Adam, H. Heitsch, R. Henrion.
- Convergence of a Scholtes-type Regularization Method for Cardinality-Constrained Optimization Problems with an Application in Sparse Robust Portfolio Optimization. arXiv: 1703.10637, 2017. With M. Bucher, M. Červinka, A. Schwartz. link
- Sparse robust portfolio optimization via NLP regularizations. ÚTIA AV ČR, Research Report 2358, 2016. With M. Červinka, A. Schwartz. link
- Flow-based formulations for operational fixed interval scheduling problems with random delays. 2015. With Š. Hájek. Test instances and results
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers. Optimization Online, 2015. With L. Adam. FREE Matlab codes
- Sparse optimization for inverse problems in atmospheric modelling. Optimization Online, 2015. With L. Adam. FREE Matlab codes
- Reformulation of general chance constrained problems using the penalty functions. SPEPS 2, 2010.
- Approximations and contamination bounds for probabilistic programs. SPEPS, 2008-13. With J. Dupačová.