Solving stochastic complementarity problems in energy market modeling using scenario reduction

Steven A. Gabriel, Jifang Zhuang and Rudolf Egging-Bratseth

European Journal of Operational Research, 2009, vol. 197, issue 3, 1028-1040

Abstract: In this paper, we analyze market equilibrium models with random aspects that lead to stochastic complementarity problems. While the models presented depict energy markets, the results are believed to be applicable to more general stochastic complementarity problems. The contribution is the development of new heuristic, scenario reduction approaches that iteratively work towards solving the full, extensive form, stochastic market model. The methods are tested on three representative models and supporting numerical results are provided as well as derived mathematical bounds.

Keywords: Stochastic; programming; Complementarity; problems; Scenario; reduction (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:197:y:2009:i:3:p:1028-1040

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