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On M-stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling

Please always quote using this URN:urn:nbn:de:0296-matheon-4002
  • Modeling several competitive leaders and followers acting in an electricity market leads to coupled systems of mathematical programs with equilibrium constraints, called equilibrium problems with equilibrium constraints (EPECs). We consider a simplified model for competition in electricity markets under uncertainty of demand in an electricity network as a (stochastic) multi-leader-follower game. First order necessary conditions are developed for the corresponding stochastic EPEC based on a result of Outrata. For applying the general result an explicit representation of the co-derivative of the normal cone mapping to a polyhedron is derived. Later the co-derivative formula is used for verifying constraint qualifications and for identifying $M$-stationary solutions of the stochastic EPEC if the demand is represented by a finite number of scenarios.

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Metadaten
Author:Rene Henrion, Werner Römisch
URN:urn:nbn:de:0296-matheon-4002
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2007/10/07
Release Date:2007/02/07
Tag:
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Preprint Number:396
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