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Solving stochastic complementarity problems in energy market modeling using scenario reduction. (English) Zbl 1176.90438
Summary: We analyze market equilibrium models with random aspects that lead to stochastic complementarity problems. While the models presented depict energy markets, the results are believed to be applicable to more general stochastic complementarity problems. The contribution is the development of new heuristic, scenario reduction approaches that iteratively work towards solving the full, extensive form, stochastic market model. The methods are tested on three representative models and supporting numerical results are provided as well as derived mathematical bounds.

MSC:
90C15 Stochastic programming
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