English, Article, Journal or magazine article edition: A Decomposition Technique for Equilibrium Programming under Uncertainty. C.H. Rosa

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Bookmark: http://trove.nla.gov.au/version/138661
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Decomposition Technique for Equilibrium Programming under Uncertainty.
Author
  • C.H. Rosa
Physical Description
  • preprint
Notes
  • We consider a decomposition technique for solving monotone stochastic Nash equilibrium models based on scenarios and policy aggregation. The algorithm works by splitting the large multi-scenario equilibrium programming problem into separable scenario equilibrium subproblems that are amenable to solution via mixed complementarity problem solvers. We will consider preliminary numerical experience on a small stochastic trade model with two agents, two goods, and two scenarios.
  • RePEc:wop:iasawp:wp96013
Language
  • English
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