A Decomposition Technique for Equilibrium Programming under Uncertainty

C.H. Rosa

Working Papers from International Institute for Applied Systems Analysis

Abstract: We consider a decomposition technique for solving monotone stochastic Nash equilibrium models based on scenarios and policy aggregation. The algorithm works by splitting the large multi-scenario equilibrium programming problem into separable scenario equilibrium subproblems that are amenable to solution via mixed complementarity problem solvers. We will consider preliminary numerical experience on a small stochastic trade model with two agents, two goods, and two scenarios.

Date: 1996-01
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