Stochastic energy market equilibrium modeling with multiple agents
Kjell Arne Brekke,
Rolf Golombek (),
Sverre Kittelsen () and
Stein W. Wallace
Energy, 2017, vol. 134, issue C, 984-990
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:134:y:2017:i:c:p:984-990
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