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Stochastic energy market equilibrium modeling with multiple agents

Kjell Arne Brekke, Rolf Golombek (), Michal Kaut, Sverre Kittelsen () and Stein W. Wallace

Energy, 2017, vol. 134, issue C, 984-990

Abstract: The energy markets are characterized by many agents simultaneously solving decision problems under uncertainty. It is argued that Monte Carlo simulations are not an adequate way to assess behavioral uncertainty; one should rather rely on stochastic modelling. Drawing on economics, decision theory and operations research, a simple guide on how to transform a deterministic energy market equilibrium model - where several agents simultaneously make decisions - into a stochastic equilibrium model is offered. With our approach, no programming of a stochastic solution algorithm is required.

Keywords: Uncertainty; Stochastic equilibrium; Monte Carlo; Energy modeling (search for similar items in EconPapers)
JEL-codes: C63 C68 D58 D81 Q28 Q40 Q54 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:energy:v:134:y:2017:i:c:p:984-990