Csaba I. Fábián

professor, Institute of Informatics, Kecskemét College, Kecskemét, Hungary;
lecturer, Department of OR, Institute of Mathematics, Eötvös Loránd University, Budapest, Hungary.
E-mail: fabian.csaba@gamf.kefo.hu

Fields of interest:
Enterprise Resource Planning, supply chains;
risk management;
stochastic modelling and programming, linear and convex optimisation.

I am a member of the Committee on Stochastic Programming (COSP), elected for the term 2010-2013.
COSP serves the SP Community http://stoprog.org.
COSP exists as a standing committee of the Mathematical Optimization Society, and also serves as a liaison to related professional societies to promote stochastic programming.


Application projects


1. C.I. Fábián, G. Mitra, D. Roman, V. Zverovich, T. Vajnai, E. Csizmás, and O. Papp. 'Portfolio choice models based on Second-order Stochastic Dominance measures: an overview and a computational study'. In: Stochastic Optimization Methods in Finance and Energy (M.I. Bertocchi, G. Consigli, and M.A.H. Dempster, editors). International Series in Operations Research & Management Science. Springer, to appear.

2. V. Zverovich, C.I. Fábián, F. Ellison, and G. Mitra. 'A computational study of a solver system for processing two-stage stochastic linear programming problems', Stochastic Programming E-Print Series 9 (2010). (pdf: 2st)

3. C.I. Fábián, G. Mitra, D. Roman, and V. Zverovich. 'An enhanced model for portfolio choice with SSD criteria: a constructive approach', Quantitative Finance, DOI: 10.1080/14697680903493607. (pdf: ssd_crm)
The original publication is available online at http://www.informaworld.com/smpp/

4. C.I. Fábián, G. Mitra, and D. Roman. 'Processing Second-order Stochastic Dominance models using cutting-plane representations'. Mathematical Programming Ser. A. DOI: 10.1007/s10107-009-0326-1. (pdf: ssd_cuts)
The original publication is available online at http://www.springerlink.com

5. C.I. Fábián and A. Veszprémi. 'Algorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance'. The Journal of Risk 10 (2008) 111-131. (pdf: cvar_dual)

6. C.I. Fábián. 'Handling CVaR objectives and constraints in two-stage stochastic models'. European Journal of Operational Research 191 (2008) (special issue on Continuous Optimization in Industry, T. Illés, M. Lopez, J. Vörös, T. Terlaky, G-W. Weber, eds.) 888-911. (pdf: cvar_2st)
The original publication is available online at http://www.sciencedirect.com DOI 10.1016/j.ejor.2007.02.052.

7. C.I. Fábián and Z. Szőke. 'Solving two-stage stochastic programming problems with level decomposition'. Computational Management Science 4 (2007), 313-353. (pdf: level-dc)
The original publication is available online at http://www.springerlink.com DOI 10.1007/s10287-006-0026-8.

8. C.I. Fábián, A. Prékopa, and O. Ruf-Fiedler. 'On a dual method for a specially structured linear programming problem'. Optimization Methods and Software 17 (2002), 445-492.

9. C.I. Fábián, R. Némedi, and Z. Szőke. 'A stochastic programming model for optical fiber manufacturing'. Central European Journal of Operations Research 9 (2001), 343-359. (pdf: optical_fiber)

10. C.I. Fábián. 'Bundle-type methods for inexact data'. Central European Journal of Operations Research 8 (2000) (special issue, T. Csendes and T. Rapcsák, eds.), 35-55. (pdf: inexact_bundle)

11. Fábián Cs. 'Statistical characterization of defective sections in a length of fiberglass' (in Hungarian). Alkalmazott Matematikai Lapok 19 (1999), 91-100.

12. J.C. Fodor, T. Terlaky, A. Zempléni, and C.I. Fábián. 'Experiences and theoretical investigations on practical random linear programs'. Transactions of the Eleventh Prague Conference on Information Theory, Statistical Decision Functions, and Random Processes, Prague (1992), 396-408.


APMOD 2012: International Conference on Applied Mathematical Optimization and Modelling. http://www.apmod.org/
Paderborn, Germany, March 28-30, 2012. I am on the program committee.

VOCAL 2010: Veszprém Optimization Conference: Advanced Algorithms. http://www.dcs.vein.hu/vocal/
Veszprém, Hungary, 2010. I was on the organising committee and organised an invited session on Stochastic programming applications.

TEAM 2010: International Scientific and Expert Conference, Kecskemét, Hungary, 2010. I chaired the organising committee.

CMS 2010: International Conference on Computational Management Science. http://www.univie.ac.at/cms2010
Vienna, Austria, 2010. I was on the program committee, and organised an invited session on Stochastic programming models in supply chain management.

Application projects:

Interactive optimisation. Developed a routine library that enables effective implementation of special linear programming procedures. Used in
Property/casualty insurance information system for the Hungarian insurer Atlasz, now QBE Hungary. Took part in designing, and directed implementation and extension works. The system was continually extended in response to new demand: new business lines, changes in ownership and reinsurance structure, introduction of new accounting regulations. The system operated for 12 years. In course of this period the company became an important actor in the Hungarian property/casualty insurance business. Meantime the company was acquired by the QBE Insurance Group (one of the top 25 insurers world wide). The system operated for 6 years after acquisition.

Revision of a risk evaluation system of the Central Clearing House and Depository (Budapest) Ltd, Hungary.

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