Sensitivity and covariance in stochastic complementarity problems with an application to north American natural gas markets

DOI10.1016/J.EJOR.2017.11.003zbMATH Open1403.90624arXiv1612.04847OpenAlexW2767753108MaRDI QIDQ1754301FDOQ1754301

Sriram Sankaranarayanan, Felipe Feijoo, Sauleh Siddiqui

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Abstract: We provide an efficient method to approximate the covariance between decision variables and uncertain parameters in solutions to a general class of stochastic nonlinear complementarity problems. We also develop a sensitivity metric to quantify the uncertainty propagation in the problem by determining the change in the variance of the output variables due to a change in the variance of an input parameter. The covariance matrix of the solution variables quantifies the uncertainty in the output and pairs correlated variables and parameters. The sensitivity metric helps in identifying the parameters that cause maximum fluctuations in the output. The method developed in this paper optimizes the use of gradients and matrix multiplications which makes it particularly useful for large-scale problems. Having developed this method, we extend the deterministic version of the North American Natural Gas Model (NANGAM) to incorporate effects due to uncertainty in the parameters of the demand function, supply function, tariffs, and investment costs. We then use the sensitivity metrics to identify the parameters that impact the equilibrium the most.

Full work available at URL: https://arxiv.org/abs/1612.04847

zbMATH Keywords

large scale optimizationstochastic programmingapproximation methodscomplementarity problems

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited In (1)

• Corrigendum to ``Benders decomposition for multi-stage stochastic mixed complementarity problems -- applied to a global natural gas market model

Uses Software

• SciPy

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