A Benders decomposition method for solving stochastic complementarity problems with an application in energy

DOI10.1007/s10614-010-9200-8zbMath1189.91105OpenAlexW2036531676MaRDI QIDQ967222

J. David Fuller, Steven A. Gabriel

Publication date: 28 April 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9200-8

zbMATH Keywords

energyoptimizationgame theorystochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (13)

Master problem approximations in Dantzig-Wolfe decomposition of variational inequality problems with applications to two energy market models ⋮ A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets ⋮ An Interior-Point Differentiable Path-Following Method to Compute Stationary Equilibria in Stochastic Games ⋮ Two-stage non-cooperative games with risk-averse players ⋮ A class of Benders decomposition methods for variational inequalities ⋮ Complementarity formulation of games with random payoffs ⋮ Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging ⋮ Risk aversion in imperfect natural gas markets ⋮ A Benders decomposition method for solving stochastic complementarity problems with an application in energy ⋮ Divide to conquer: decomposition methods for energy optimization ⋮ Decomposition algorithms for some deterministic and two-stage stochastic single-leader multi-follower games ⋮ Two-stage stochastic variational inequalities: theory, algorithms and applications ⋮ Solving oligopolistic equilibrium problems with convex optimization

Uses Software

• GAMS
• PATH Solver

Cites Work

• Unnamed Item
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• A Complementarity Framework for Forward Contracting Under Uncertainty
• The Decomposition Algorithm for Linear Programs
• Modeling and Computing Two-Settlement Oligopolistic Equilibrium in a Congested Electricity Network
• On Convergence of the PIES Algorithm for Computing Equilibria
• Numerical Optimization
• Introduction to Stochastic Programming
• A Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• A Mixed Complementarity-Based Equilibrium Model of Natural Gas Markets

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