­

Stochastic energy market equilibrium modeling with multiple agents

Lenke til artikkel:

[DOI] [PDF]

Forfattere:

Brekke, K.A., R. Golombek, M. Kaut, S.A.C. Kittelsen, S.W. Wallace

År:

2017

Referanse:

Energy

Vol 134, 984-990

Summary

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.

Nøkkelord:

Uncertainty; Stochastic equilibrium; Monte Carlo; Energy modeling

JEL:

C63; C68; D58; D81; Q28; Q40; Q54

Prosjekt info:

Oppdragsgiver: Norges Forskningsråd
Oppdragsgivers prosjektnr.: 228810
Frisch prosjekt: 3148 - Uncertainties in the European Energy Market: Modelling Approaches and policy issues