Equilibrium, uncertainty and risk in hydro-thermal electricity systems
DOI10.1007/S10107-015-0972-4zbMATH Open1350.90034OpenAlexW2260928401MaRDI QIDQ301665FDOQ301665
Authors: Michael C. Ferris, Roger J.-B. Wets, A. B. Philpott 
Publication date: 1 July 2016
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-015-0972-4
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competitive market equilibriummultistage stochastic optimization modelssingle-period electricity pool auctions
Applications of mathematical programming (90C90) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Multistage and repeated games (91A20)
Cites Work
- Complementarity problems in GAMS and the PATH solver
- Coherent measures of risk
- Generation capacity expansion in a risky environment: a stochastic equilibrium analysis
- Bid-based dispatch of hydrothermal systems in competitive markets
- Dynamic coherent risk measures
- Single and multisettlement approaches to market clearing under demand uncertainty
- Pareto Equilibria with coherent measures of risk
- On solving multistage stochastic programs with coherent risk measures
- Risk-averse dynamic programming for Markov decision processes
Cited In (24)
- Integrated Stochastic Optimal Self-Scheduling for Two-Settlement Electricity Markets
- Risk trading and endogenous probabilities in investment equilibria
- Solving equilibrium problems using extended mathematical programming
- Dynamic Risked Equilibrium
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- On stochastic auctions in risk-averse electricity markets with uncertain supply
- Dynamic hedging for the real option management of hydropower production with exchange rate risks
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Decomposition algorithms for some deterministic and two-stage stochastic single-leader multi-follower games
- Piecewise affine parameterized value-function based bilevel non-cooperative games
- Hydro-electric unit commitment subject to uncertain demand
- Heterogeneous risk preferences in community-based electricity markets
- Stochastic simulation and Monte Carlo methods applied to the assessment of hydro-thermal generating system operation
- A tractable multi-leader multi-follower peak-load-pricing model with strategic interaction
- Bid-based dispatch of hydrothermal systems in competitive markets
- New generalized derivatives for solving variational inequalities using the nonsmooth Newton methods
- A Mixed Complementarity Model of Hydrothermal Electricity Competition in the Western United States
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- Risk-averse equilibrium modeling and social optimality of cap-and-trade mechanisms
- The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model
- Moving from linear to conic markets for electricity
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
- Robust market equilibria under uncertain cost
- On risk averse competitive equilibrium
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