equilibrium problems with equilibrium constraints - Convex ...

More documents

Recommendations

Info

5 Computation of Moral-Hazard Problems 51 5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 5.2 The Basic Moral-Hazard Model . . . . . . . . . . . . . . . . . . . 54 5.2.1 The deterministic contract . . . . . . . . . . . . . . . . . . 54 5.2.2 A mixed-integer NLP formulation . . . . . . . . . . . . . . 56 5.2.3 An MPEC formulation . . . . . . . . . . . . . . . . . . . . 57 5.3 Moral-Hazard Problems with Lotteries . . . . . . . . . . . . . . . 60 5.3.1 The contract with action lotteries . . . . . . . . . . . . . . 60 5.3.2 An NLP formulation with star-shaped feasible region . . . 61 5.3.3 MPEC formulations . . . . . . . . . . . . . . . . . . . . . 63 5.3.4 The contract with compensation lotteries . . . . . . . . . . 64 5.3.5 The contract with action and compensation lotteries . . . 67 5.3.6 Linear programming approximation . . . . . . . . . . . . . 68 5.4 A Hybrid Approach toward Global Solution . . . . . . . . . . . . 71 5.5 An Example and Numerical Results . . . . . . . . . . . . . . . . . 72 5.6 Conclusions and Future Work . . . . . . . . . . . . . . . . . . . . 76 Bibliography 77 x
Tables and Figures Tables 3.1 Input parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 3.2 Notation for numerical results . . . . . . . . . . . . . . . . . . . . 29 3.3 Information on test problems . . . . . . . . . . . . . . . . . . . . 29 3.4 Results for SNCP method . . . . . . . . . . . . . . . . . . . . . . 30 3.5 Results for Gauss-Seidel with 10 −6 convergence accuracy . . . . . 30 3.6 Results for Jacobi with 10 −6 convergence accuracy . . . . . . . . . 31 3.7 Results for Gauss-Seidel with 10 −4 convergence accuracy . . . . . 31 3.8 Results for Jacobi with 10 −4 convergence accuracy . . . . . . . . . 32 4.1 Notation used for computational results on forward market model 48 4.2 Computational results on forward market model . . . . . . . . . . 48 5.1 Problem characteristics of various approaches . . . . . . . . . . . 73 5.2 The value of parameters used in Example 1 . . . . . . . . . . . . . 73 5.3 MINLP solutions for Example 1 . . . . . . . . . . . . . . . . . . . 74 5.4 MPEC solutions for Example 1 . . . . . . . . . . . . . . . . . . . 74 5.5 LP solutions for Example 1 . . . . . . . . . . . . . . . . . . . . . 75 5.6 Hybrid solutions for Example 1 . . . . . . . . . . . . . . . . . . . 75 Figures 5.1 Feasible region of an MPEC . . . . . . . . . . . . . . . . . . . . . 59 5.2 Star-shaped feasible region . . . . . . . . . . . . . . . . . . . . . . 63 xi
Page 1 and 2: EQUILIBRIUM PROBLEMS WITH EQUILIBRI
Page 3: I certify that I have read this dis
Page 6 and 7: as well as contracts with action an
Page 8 and 9: financial support from Electric Pow
Page 12 and 13: xii
Page 14 and 15: xiv
Page 16 and 17: 2 Chapter 1 Introduction economics
Page 19 and 20: Chapter 2 Mathematical Program with
Page 21 and 22: 2.1 Preliminary on MPECs 7 LICQ (MF
Page 23 and 24: 2.1 Preliminary on MPECs 9 Theorem
Page 25 and 26: 2.2 A Generalization of Scholtes’
Page 33 and 34: Chapter 3 Equilibrium Problem with
Page 35 and 36: 3.1 Formulation and stationarity co
Page 37 and 38: 3.2 Algorithms for Solving EPECs 23
Page 39 and 40: 3.2 Algorithms for Solving EPECs 25
Page 41 and 42: 3.3 Implementation and Numerical Co
Page 47: 3.3 Implementation and Numerical Co
Page 50 and 51: 36 Chapter 4 Forward-Spot Market Mo
Page 60 and 61:
46 Chapter 4 Forward-Spot Market Mo
Page 62 and 63:
48 Chapter 4 Forward-Spot Market Mo
Page 65 and 66:
Chapter 5 Computation of Moral-Haza
Page 67 and 68:
5.1 Introduction 53 games, optimal
Page 69 and 70:
5.2 The Basic Moral-Hazard Model 55
Page 71 and 72:
Page 73 and 74:
Page 75 and 76:
5.3 Moral-Hazard Problems with Lott
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
Page 83 and 84:
Page 85 and 86:
5.4 A Hybrid Approach toward Global
Page 87 and 88:
5.5 An Example and Numerical Result
Page 89 and 90:
5.5 An Example and Numerical Result
Page 91 and 92:
Bibliography [1] Allaz, B., Vila, J
Page 93 and 94:
Bibliography 79 [20] Harker, P.T. (
Page 95 and 96:
Bibliography 81 [42] The NEOS serve
Page 97:
Bibliography 83 [63] Scholtes, S.,
show all

equilibrium problems with equilibrium constraints - Convex ...

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?