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Rosa, C.H. (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: | 27 Aug 2021 17:15 |
| URI: | https://pure.iiasa.ac.at/5012 |
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