On risk averse competitive equilibrium

DOI10.1016/j.orl.2017.10.011OpenAlexW2963032042MaRDI QIDQ2417041

Vincent Leclère, Henri Gérard, Andy B. Philpott

Publication date: 11 June 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.08398

zbMATH Keywords

stochastic programmingelectricity marketsstochastic equilibriumrisk averse equilibrium

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (10)

Dynamic Risked Equilibrium ⋮ On stochastic auctions in risk-averse electricity markets with uncertain supply ⋮ Robust market equilibria under uncertain cost ⋮ Value at risk approach to producer's best response in an electricity market with uncertain demand ⋮ Regularized Equilibrium Problems with Equilibrium Constraints with Application to Energy Markets ⋮ The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model ⋮ An equilibrium model of the supply chain network under multi-attribute behaviors analysis ⋮ Electricity market equilibrium under information asymmetry ⋮ Privacy impact on generalized Nash equilibrium in peer-to-peer electricity market ⋮ Deflation for semismooth equations

Uses Software

• GAMS
• PATH Solver

Cites Work

• Unnamed Item
• Equilibrium, uncertainty and risk in hydro-thermal electricity systems
• Complementarity problems in GAMS and the PATH solver
• Coherent Measures of Risk
• Generation Capacity Expansion in a Risky Environment: A Stochastic Equilibrium Analysis
• A Single-Settlement, Energy-Only Electric Power Market for Unpredictable and Intermittent Participants
• Risk Trading and Endogenous Probabilities in Investment Equilibria
• Ordinary Differential Equations in Theory and Practice
• Existence of an Equilibrium for a Competitive Economy
• Generalized Nash equilibrium problems

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