A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
DOI10.1016/J.COR.2015.10.013zbMATH Open1349.90653OpenAlexW2418014651MaRDI QIDQ342287FDOQ342287
Authors: Mel T. Devine, Steven A. Gabriel, Seksun Moryadee 
Publication date: 17 November 2016
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10197/10971
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Applications of game theory (91A80) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Microeconomic theory (price theory and economic markets) (91B24)
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- Robust management and pricing of liquefied natural gas contracts with cancelation options
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- Solving stochastic complementarity problems in energy market modeling using scenario reduction
Cited In (10)
- Profit-based unit commitment models with price-responsive decision-dependent uncertainty
- A rolling optimisation model of the UK natural gas market
- A Mixed Complementarity-Based Equilibrium Model of Natural Gas Markets
- Solving oligopolistic equilibrium problems with convex optimization
- Examining the benefits of load shedding strategies using a rolling-horizon stochastic mixed complementarity equilibrium model
- Corrigendum to ``Benders decomposition for multi-stage stochastic mixed complementarity problems -- applied to a global natural gas market model
- Risk aversion in imperfect natural gas markets
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Variance-based modified backward-forward algorithm with line search for stochastic variational inequality problems and its applications
- The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model
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