A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
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Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Applications of game theory (91A80) Microeconomic theory (price theory and economic markets) (91B24) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)
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Cites work
- A Benders decomposition method for solving stochastic complementarity problems with an application in energy
- A Complementarity Framework for Forward Contracting Under Uncertainty
- A hybrid smoothing method for mixed nonlinear complementarity problems
- A rolling optimisation model of the UK natural gas market
- A Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model
- A theory of rolling horizon decision making
- An inexact NE/SQP method for solving the nonlinear complementarity problem
- Complementarity modeling in energy markets
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Game theory. An introduction
- Heuristics for multi-stage interdiction of stochastic networks
- Introduction to Stochastic Programming
- Moving horizon control in dynamic games
- Multiperiod planning and routing on a rolling horizon for field force optimization logistics
- NE/SQP: A robust algorithm for the nonlinear complementarity problem
- On-Line Optimization of Simulated Markovian Processes
- Online learning and online convex optimization
- Open-loop and closed-loop equilibria in dynamic games with many players
- Robust management and pricing of liquefied natural gas contracts with cancelation options
- Scenario reduction algorithms in stochastic programming
- Solving stochastic complementarity problems in energy market modeling using scenario reduction
Cited in
(12)- Risk aversion in imperfect natural gas markets
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Solving oligopolistic equilibrium problems with convex optimization
- A rolling optimisation model of the UK natural gas market
- Corrigendum to ``Benders decomposition for multi-stage stochastic mixed complementarity problems -- applied to a global natural gas market model
- Variance-based modified backward-forward algorithm with line search for stochastic variational inequality problems and its applications
- A Mixed Complementarity-Based Equilibrium Model of Natural Gas Markets
- The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model
- Profit-based unit commitment models with price-responsive decision-dependent uncertainty
- Integer constraints in a Cournot model -- an application to electricity market modelling
- Understanding the role of technological complexity in sustainability transitions using stochastic, bi-level optimization
- Examining the benefits of load shedding strategies using a rolling-horizon stochastic mixed complementarity equilibrium model
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