An approximation scheme for a class of risk-averse stochastic equilibrium problems
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complementarityDantzig-Wolfe decompositiongeneralized Nash gamerisk aversionstochastic equilibriumvariational inequality
Numerical optimization and variational techniques (65K10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Noncooperative games (91A10) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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Cited in
(16)- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- Two-stage non-cooperative games with risk-averse players
- Risk aversion in imperfect natural gas markets
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- A class of Benders decomposition methods for variational inequalities
- Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
- A quantitative comparison of risk measures
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- Quasi-Convergence of an Implementation of Optimal Balance by Backward-Forward Nudging
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