Modeling price formation in a multi-commodity market -- a graph-theoretical decomposition approach to complexity reduction (Q2873486)

The author's inaugural dissertation presented at Ruprecht-Karls-Universität Heidelberg. The aim of the dissertation is to develop a detailed optimization model of a multi-commodity market to simulate global price formation of multiple commodities over multiple time periods. The model is tested on real data of the petrochemical market. The main objective is to find an appropriate reduction of the model complexity, which is necessary for its application in a real world environment and for implementation of corresponding mathematical tools with a reasonable computational effort. As mathematical tools for modeling the author chose deterministic constraint mathematical optimization methods including their parametrization and sensitivity analysis as well as graph theoretical methods.NEWLINENEWLINE The thesis is divided into seven chapters. In chapters 1 and 2, the author introduces the subject of research, summarizes the present state of art and formulates a supply-demand trade model for the simulation of the price formation in a multi-commodity market. Since the model is based on mathematical optimization theory and a graph-theoretical approach, a short introduction to the theory of optimization and the graph theory is presented in the next two chapters (Chapter 3 and 4). Chapter 5 contains a new approach to the analysis and reduction of large constrained mathematical programming problems with a block-separable structure. Chapter 6 is devoted to an application of the proposed model to petrochemical market. Chapter 7 summarizes the results of the thesis and and possibilities of further research in the subject of the thesis.