A. G. Gaivoronski, Z. Su
We consider multiperiod stochastic equilibrium problems, which describe competition and investment in energy sector under uncertainty about demand, weather conditions and investment costs. The payoff of actors is defined by a simulation model where the actors follow the Nash equilibrium with respect to production quantities and possible production capacity expansion for each time period. The actors decide the future production expansion evaluating the equilibrium payoffs using parametrized decision rules. We determine the equilibrium values of decision parameters using stochastic gradient methods.
Keywords: stochastic optimization, equilibrium problems, simulation, stochastic gradient methods
Scheduled
WE2 Game Theory and equilibrium models
June 1, 2016 4:30 PM
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