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Stochastic energy market equilibrium modeling with multiple agents

Stochastic energy market equilibrium modeling with multiple agents

Category
Journal publication
Abstract
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.
Client
  • Norges forskningsråd / 209698
  • Norges forskningsråd / 228810
Language
English
Author(s)
  • Brekke Kjell Arne
  • Golombek Rolf
  • Kaut Michal
  • Kittelsen Sverre A.C.
  • Wallace Stein W.
Affiliation
  • University of Oslo
  • Ragnar Frisch Centre for Economic Research
  • SINTEF Industry / Sustainable Energy Technology
  • Norwegian School of Economics
Year
2017
Published in
Energy
ISSN
0360-5442
Volume
134
Page(s)
984 - 990