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Title: On M-stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling
Authors: Henrion, RenéRömisch, Werner
Issue Date: 2007
Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 1244, ISSN 0946-8633
Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract: 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 [17]. For applying the general result an explicit representation of the co-derivative of the normal cone mapping to a polyhedron is derived (Proposition 3.2). 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.
DDC: 510
License: This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
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Appears in Collections:Mathematik



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