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A computation strategy for a two-stage stochastic equilibrium problem

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A computation strategy for a two-stage stochastic equilibrium problem
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6
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CC Attribution - NonCommercial - NoDerivatives 4.0 International:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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In this talk, we present a problem of strategic planning for capacity investment and production under uncertainty, in a competitive market. We model it as a general equilibrium problem, i.e., a collection of multi-agent optimization problems with an equilibrium constraint (supply meets demand), and we propose a solution method based on a scheme that considers: i) a stagewise-decomposition procedure using Progressive Hedging, ii) a representative agent representation, and iii) a decomposition-type method for its solution, such as the Alternating Direction Method of Multipliers (ADMM). We illustrate the numerical performance of the algorithm by solving a stochastic infrastructure planning problem for the electric vehicule fast-charging station problem over a small network.