eprintid: 4982 rev_number: 22 eprint_status: archive userid: 351 dir: disk0/00/00/49/82 datestamp: 2016-01-15 02:08:04 lastmod: 2021-08-27 17:15:48 status_changed: 2016-01-15 02:08:04 type: monograph metadata_visibility: show item_issues_count: 2 creators_name: Rosa, C.H. creators_id: 1545 title: A Homotopy Method for Equilibrium Programming under Uncertainty ispublished: pub internal_subjects: iis_met internal_subjects: iis_sys divisions: prog_opt abstract: We consider a homotopy method for solving stochastic Nash equilibrium models. The algorithm works by following, via a predictor-corrector method, the one-dimensional manifold of the homotopy constructed to connect the systems of equations describing the solution set of the scenario equilibrium model (no nonanticipativity constraints) and the stochastic equilibrium model. The predictor and corrector phases of this homotopy method require the usual solutions of large linear systems, a computationally expensive task, which we render less difficult through our use of Jacobi techniques designed to take advantage of the problem's near separability across scenarios. date: 1996-04 date_type: published publisher: WP-96-044 iiasapubid: WP-96-044 price: 10 creators_browse_id: 1541 full_text_status: public monograph_type: working_paper place_of_pub: IIASA, Laxenburg, Austria pages: 14 coversheets_dirty: FALSE fp7_type: info:eu-repo/semantics/book citation: Rosa, C.H. (1996). A Homotopy Method for Equilibrium Programming under Uncertainty. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-96-044 document_url: https://pure.iiasa.ac.at/id/eprint/4982/1/WP-96-044.pdf