A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
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Publication:342287
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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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 Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model
- A hybrid smoothing method for mixed nonlinear complementarity problems
- A rolling optimisation model of the UK natural gas market
- 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
(10)- Variance-based modified backward-forward algorithm with line search for stochastic variational inequality problems and its applications
- Profit-based unit commitment models with price-responsive decision-dependent uncertainty
- Risk aversion in imperfect natural gas markets
- The role of demand response in mitigating market power: a quantitative analysis using a stochastic market equilibrium model
- Solving oligopolistic equilibrium problems with convex optimization
- A Mixed Complementarity-Based Equilibrium Model of Natural Gas Markets
- Examining the benefits of load shedding strategies using a rolling-horizon stochastic mixed complementarity equilibrium model
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- 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
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