WIAS Preprint No. 1244, (2007)

On M-stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling



Authors

  • Henrion, René
  • Römisch, Werner

2010 Mathematics Subject Classification

  • 90C15

Keywords

  • Electricity markets, bidding, noncooperative games, equilibrium constraint, EPEC, optimality condition, co-derivative, random demand

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.

Appeared in

  • Appl. Math., 522 (2007) pp. 473--494.

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