Stochastic Complementarity Problems: Algorithms and Models
Sponsor: National Science Foundation (DMS, Award #0408943)
Research Team (UMD): Steven A. Gabriel, Jifang Zhuang, Ruud Egging
Research Team (UW): J. David Fuller
Abstract
Dr. Steven A. Gabriel, Dr. Dave Fuller (UW=University of Waterloo), Dr. Jifang Zhuang (Ph.D., CEE UMD, 2005 and Chevron), and Ruud Egging (Ph.D. Candidate, CEE UMD) are developing methods for solving stochastic complementarity problems including scenario reduction and Benders decomposition. The methods are being tested on energy applications.
Selected Recent Papers
- S.A. Gabriel, J. Zhuang, R. Egging, “Solving Stochastic Complementarity Problems in Energy Market Modeling Using Scenario Reduction,” European Journal of Operational Research, December 2007, accepted.
- S.A. Gabriel and J. D. Fuller, "A Benders Decomposition Method for Solving Stochastic Complementarity Problems with an Application in Energy," January 2008, in review.
Selected Recent Presentations
- A Benders Method for Solving Stochastic Complementarity Problems with an Application in Energy, (invited talk with J. David Fuller), CORS/Optimization Days 2008 Joint Conference, Université Laval, Quebec City, Canada, May 14, 2008.
- Complementarity-Based Energy Equilibrium Models and a Scenario Reduction Algorithm (with J. Zhuang, S. Kiet ,and R. Egging), invited talk, National Graduate Institute for Policy Studies (GRIPS), Tokyo, Japan, March 22, 2007.
- Solving Stochastic Complementarity Problems for Natural Gas Markets Using Scenario Reduction (with J. Zhuang, R. Egging), invited talk, CORS 2007, London, Ontario, Canada, May 14, 2007.
- Stochasticity in Infrastructure Network Models: Application to Global Natural Gas Markets (invited talk with J. Zhuang and R. Egging), Technische Universität-Berlin, Berlin, Germany, June 28, 2007.
- Scenario Reduction as Applied to Stochastic Complementarity Problems in Energy (invited talk with J. Zhuang and R. Egging), 19th Mini-Euro Conference, Operations Research Models and Methods in the Energy Sector (ORMMES 2006), Coimbra, Portugal, September 6,7,8 2006.
