A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets

DOI10.1016/j.cor.2015.10.013zbMath1349.90653OpenAlexW2418014651MaRDI QIDQ342287

Steven A. Gabriel, Mel T. Devine, Seksun Moryadee

Publication date: 17 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10197/10971

zbMATH Keywords

game theorynatural gas marketrolling horizonstochastic mixed complementarity problem

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of game theory (91A80) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Microeconomic theory (price theory and economic markets) (91B24) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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Cites Work

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• Online Learning and Online Convex Optimization
• A Complementarity Framework for Forward Contracting Under Uncertainty
• On-Line Optimization of Simulated Markovian Processes
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• Introduction to Stochastic Programming
• A Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Game Theory
• Moving horizon control in dynamic games

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