stochastic equilibrium – Optimization Online

Decomposition Algorithms for Some Deterministic and Two-Stage Stochastic Single-Leader Multi-Follower Games

Published: 2020/05/08, Updated: 2020/08/22

Complementarity and Variational Inequalities, Nonsmooth Optimization, Stochastic Programming bilevel optimization, decomposition, interior penalty methods, smoothing methods, stochastic equilibrium, tikhonov regularization

We consider a certain class of hierarchical decision problems that can be viewed as single-leader multi-follower games, and be represented by a virtual market coordinator trying to set a price system for traded goods, according to some criterion that balances supply and demand. The objective function of the market coordinator involves the decisions of many … Read more

An approximation scheme for a class of risk-averse stochastic equilibrium problems

Published: 2013/07/01, Updated: 2015/10/27

Juan Pablo Luna

Claudia Sagastizábal

Mikhail V. Solodov

Complementarity and Variational Inequalities, Stochastic Programming complementarity, dantzig-wolfe decomposition, generalized nash game, risk aversion, stochastic equilibrium, variational inequality

We consider two models for stochastic equilibrium: one based on the variational equilibrium of a generalized Nash game, and the other on the mixed complementarity formulation. Each agent in the market solves a one-stage risk-averse optimization problem with both here-and-now (investment) variables and (production) wait-and-see variables. A shared constraint couples almost surely the wait-and-see decisions … Read more