Two stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes
Two stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes
This paper presents a two stage stochastic equilibrium problem with equilibrium constraints (SEPEC) model. Some source problems which motivate the model are discussed. Monte Carlo sampling method is applied to solve the SEPEC. Convergence analysis on the statistical estimators of Nash equilibria and Nash stationary points are presented.
stochastic equilibrium programs with equilibrium constraints, convergence analysis, sample average approximation, nash stationary point
Zhang, Dali
e6ceaf3b-e99f-45f9-b302-2159f9315810
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
14 August 2010
Zhang, Dali
e6ceaf3b-e99f-45f9-b302-2159f9315810
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Zhang, Dali and Xu, Huifu
(2010)
Two stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes.
Optimization.
Abstract
This paper presents a two stage stochastic equilibrium problem with equilibrium constraints (SEPEC) model. Some source problems which motivate the model are discussed. Monte Carlo sampling method is applied to solve the SEPEC. Convergence analysis on the statistical estimators of Nash equilibria and Nash stationary points are presented.
Text
ZhangXu-29-1-11.pdf
- Other
Restricted to Repository staff only
Request a copy
More information
Published date: 14 August 2010
Keywords:
stochastic equilibrium programs with equilibrium constraints, convergence analysis, sample average approximation, nash stationary point
Organisations:
Operational Research
Identifiers
Local EPrints ID: 182201
URI: http://eprints.soton.ac.uk/id/eprint/182201
ISSN: 0233-1934
PURE UUID: 8fa38ebd-697e-4250-bd70-e5428b1eb937
Catalogue record
Date deposited: 27 Apr 2011 10:08
Last modified: 15 Mar 2024 03:15
Export record
Contributors
Author:
Dali Zhang
Author:
Huifu Xu
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics