Mathematical Algorithmic Optimization - Otto-von-Guericke-University Magdeburg

 
 
 
 
 
 
 
 

Economics

We are interested in the modeling, simulation, and optimization of price dynamics. Whereas up to now research was mainly concerned with financial derivatives, commodities (gas, oil, electricity, industrial or agricultural products, ...) and services (transport, health care, tourism, ...) are posing new challenges. The solution is of highest economic importance. These areas share as a common feature that they involve financial, economic, technological, political and social factors. To obtain solutions of problems arising in these fields, novel models and mathematical and computational methods have to be developed and integrated in an effective and user friendly software.

Two specific applications have been selected and investigated in close cooperation with industrial partners. In one project the pricing of petrochemical products is studied as a typical complex market of commodities, whereas in a second project the pricing of air plane tickets is treated as an example of a market in services. These subprojects seem to be quite disjoint as far as the application is concerned. However, they share several aspects in structure and methodology.

The group has been organizing the international Symposium SOCCER10 on Price Dynamics and Revenue Management.

Selected publications



AuthorTitleYearJournal/ProceedingsReftypeLink
Huschto, T. Numerical Methods for Random Parameter Optimal Control and the Optimal Control of Stochastic Differential Equations 2014 School: University Heidelberg   phdthesis
preprint  
BibTeX:
@phdthesis{Huschto2014b,
  author = {Huschto, T.},
  title = {{N}umerical {M}ethods for {R}andom {P}arameter {O}ptimal {C}ontrol and the {O}ptimal {C}ontrol of {S}tochastic {D}ifferential {E}quations},
  school = {University Heidelberg},
  year = {2014},
  url = {https://www.mathopt.de/PUBLICATIONS/Huschto2014.pdf}
}
Huschto, T., Feichtinger, G., Kort, P., Hartl, R., Sager, S. & Seidl, A. Numerical Solution of a Conspicuous Consumption Model with Constant Control Delay 2011 Automatica   article DOI
preprint  
BibTeX:
@article{Huschto2011,
  author = {Huschto, T. and Feichtinger, G. and Kort, P.M. and Hartl, R.F. and Sager, S. and Seidl, A.},
  title = {{N}umerical {S}olution of a {C}onspicuous {C}onsumption {M}odel with {C}onstant {C}ontrol {D}elay},
  journal = {{A}utomatica},
  year = {2011},
  volume = {47},
  pages = {1868--1877},
  url = {http://mathopt.de/PUBLICATIONS/Huschto2011.pdf},
  doi = {http://dx.doi.org/10.1016/j.automatica.2011.06.004}
}
Huschto, T. & Sager, S. Pricing Conspicuous Consumption Products in Recession Periods with Uncertain Strength 2014 European Journal of Decision Processes   article
preprint  
BibTeX:
@article{Huschto2014,
  author = {T. Huschto and S. Sager},
  title = {{P}ricing {C}onspicuous {C}onsumption {P}roducts in {R}ecession {P}eriods with {U}ncertain {S}trength},
  journal = {{E}uropean {J}ournal of {D}ecision {P}rocesses},
  year = {2014},
  volume = {2},
  number = {1--2},
  pages = {3--30},
  url = {http://www.optimization-online.org/DB_HTML/2012/09/3620.html}
}
Huschto, T. & Sager, S. Solving Stochastic Optimal Control Problems by a Wiener Chaos Approach 2014 Vietnam Journal of Mathematics   article
preprint  
BibTeX:
@article{Huschto2014a,
  author = {Huschto, T. and Sager, S.},
  title = {{S}olving {S}tochastic {O}ptimal {C}ontrol {P}roblems by a {W}iener {C}haos {A}pproach},
  journal = {{V}ietnam {J}ournal of {M}athematics},
  year = {2014},
  volume = {42},
  number = {1},
  pages = {83--113},
  url = {http://mathopt.de/PUBLICATIONS/Huschto2014a.pdf}
}

Further references of the MathOpt group can be found on this page.

Last Modification: 2016-05-12 - Contact Person: Sebastian Sager - Impressum