Stochastic energy market equilibrium modeling with multiple agents
Link to article:
Authors:
Brekke, K.A., R. Golombek, M. Kaut, S.A.C. Kittelsen, S.W. Wallace
Year:
2017
Reference:
Vol 134, 984-990Summary
The energy markets are characterized by many agents simultaneously solving decision problems under uncertainty. It is argued that Monte Carlo simulations are not an adequate way to assess behavioral uncertainty; one should rather rely on stochastic modelling. Drawing on economics, decision theory and operations research, a simple guide on how to transform a deterministic energy market equilibrium model - where several agents simultaneously make decisions - into a stochastic equilibrium model is offered. With our approach, no programming of a stochastic solution algorithm is required.
JEL:
C63; C68; D58; D81; Q28; Q40; Q54
Keywords:
Uncertainty; Stochastic equilibrium; Monte Carlo; Energy modeling
Project:
Oppdragsgiver: Norges ForskningsrådOppdragsgivers prosjektnr.: 228810
Frisch prosjekt: 3148 - Uncertainties in the European Energy Market: Modelling Approaches and policy issues