Scientific Computing Seminar

Date:

Friday, October 28, 2005

Time:

1:00pm-2:00pm

Location:

50A-5132

Seminar Speaker:

Shmuel Oren and Jian Yao
(Joint work with Ilan Adler)
Department of Industrial Engineering and Operations Research
UC Berkeley
http://www.ieor.berkeley.edu/~oren/

Title:

Modeling and computing two settlement oligopolistic market equilibrium in a congested electricity network

Abstract:

This paper studies two-settlement electricity markets with horizontal market power, flow congestion, demand uncertainties and probabilistic system contingencies. The market equilibrium is characterized as a sub game perfect two stage Nash equilibrium whose computation involves solving an equilibrium problem with equilibrium constraints (EPEC), in which each Cournot generation firm solves a mathematical program with equilibrium constraints (MPEC). Under certain assumptions, these MPECs have quadratic objective functions and their shared constraints form a parametric linear complementarity problem (LCP). The size and complexity of this model present a computation challenge. We developed an MPEC algorithm based on sequential quadratic programs and parametric LCP pivoting. We further develop an EPEC algorithm which iteratively invokes the MPEC algorithm. Numerical experiments based on a stylized version of the Belgian electricity system demonstrate the effectiveness of these algorithms.

Sponsor of Seminar:

Ali Pinar

Scientific Computing

Contact Esmond G. Ng EGNg@lbl.gov