A Decomposition Technique for Equilibrium Programming under Uncertainty

Rosa CH (1996). A Decomposition Technique for Equilibrium Programming under Uncertainty. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-96-013

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Abstract

We consider a decomposition technique for solving monotone stochastic Nash equilibrium models based on scenarios and policy aggregation. The algorithm works by splitting the large multi-scenario equilibrium programming problem into separable scenario equilibrium subproblems that are amenable to solution via mixed complementarity problem solvers. We will consider preliminary numerical experience on a small stochastic trade model with two agents, two goods, and two scenarios.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:08
Last Modified: 03 Nov 2016 14:02
URI: http://pure.iiasa.ac.at/5012

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