IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v103y2021ics0140988321003790.html
   My bibliography  Save this article

Deregulated electricity market, a stochastic variational approach

Author

Listed:
  • Limosani, Michele
  • Milasi, Monica
  • Scopelliti, Domenico

Abstract

This paper focuses on the study of an electricity market model, which evolves in T+1 stages, so that, at each stage, a continuum state of nature is possible. The decision-making framework of large consumers is considered: agents consume, they have the opportunity to produce, and the capability of signing contracts. Uncertainty on future possible stages leads to the problem being located in a filtered probability space. The aim is to reformulate the problem as a stochastic quasi-variational inequality, in order to obtain an existence result of equilibrium solutions.

Suggested Citation

  • Limosani, Michele & Milasi, Monica & Scopelliti, Domenico, 2021. "Deregulated electricity market, a stochastic variational approach," Energy Economics, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321003790
    DOI: 10.1016/j.eneco.2021.105493
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988321003790
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2021.105493?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Alejandro Jofré & R. Terry Rockafellar & Roger J-B. Wets, 2007. "Variational Inequalities and Economic Equilibrium," Mathematics of Operations Research, INFORMS, vol. 32(1), pages 32-50, February.
    2. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
    3. Min Li & Chao Zhang, 2020. "Two-Stage Stochastic Variational Inequality Arising from Stochastic Programming," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 324-343, July.
    4. Antonio J. Conejo & Miguel Carrión & Juan M. Morales, 2010. "Decision Making Under Uncertainty in Electricity Markets," International Series in Operations Research and Management Science, Springer, number 978-1-4419-7421-1, April.
    5. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Elena Molho & Domenico Scopelliti, 2023. "On the study of multistage stochastic vector quasi-variational problems," Journal of Global Optimization, Springer, vol. 86(4), pages 931-952, August.
    2. Elisabetta Allevi & Didier Aussel & Rossana Riccardi & Domenico Scopelliti, 2024. "Single-Leader-Radner-Equilibrium: A New Approach for a Class of Bilevel Problems Under Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 200(1), pages 344-370, January.
    3. Domenico Scopelliti, 2022. "On a Class of Multistage Stochastic Hierarchical Problems," Mathematics, MDPI, vol. 10(21), pages 1-13, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Orrillo, Jaime, 2001. "Default and exogenous collateral in incomplete markets with a continuum of states," Journal of Mathematical Economics, Elsevier, vol. 35(1), pages 151-165, February.
    2. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
    3. Hervé Crès & Tobias Markeprand & Mich Tvede, 2016. "Incomplete financial markets and jumps in asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 201-219, June.
    4. Hellwig, Martin F., 1996. "Sequential decisions under uncertainty and the maximum theorem," Journal of Mathematical Economics, Elsevier, vol. 25(4), pages 443-464.
    5. Monica Milasi & Domenico Scopelliti, 2021. "A Variational Approach to the Maximization of Preferences Without Numerical Representation," Journal of Optimization Theory and Applications, Springer, vol. 190(3), pages 879-893, September.
    6. Duffie, Darrell, 1996. "Incomplete security markets with infinitely many states: An introduction," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 1-8.
    7. Hellwig, Martin, 1996. "Rational expectations equilibria in sequence economies with symmetric information: The two-period case," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 9-49.
    8. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.
    9. Yasemin Merzifonluoglu & Eray Uzgoren, 2018. "Photovoltaic power plant design considering multiple uncertainties and risk," Annals of Operations Research, Springer, vol. 262(1), pages 153-184, March.
    10. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
    11. Mich Tvede & Hervé Crès, 2001. "Voting in Assemblies of shareholders and Incomplete Markets," SciencePo Working papers hal-01064884, HAL.
    12. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
    13. Lionel de Boisdeffre, 2018. "Sequential equilibrium without rational expectations of prices: A theorem of full existence," Post-Print halshs-01593567, HAL.
    14. Dimitrios Tsomocos, 2003. "Equilibrium analysis, banking, contagion and financial fragility," FMG Discussion Papers dp450, Financial Markets Group.
    15. Frank Strobel, 2005. "International tax arbitrage, financial parity conditions and preferential capital gains taxation," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 219-226.
    16. Pandžić, Hrvoje & Kuzle, Igor & Capuder, Tomislav, 2013. "Virtual power plant mid-term dispatch optimization," Applied Energy, Elsevier, vol. 101(C), pages 134-141.
    17. Wang, Dongxiao & Qiu, Jing & Reedman, Luke & Meng, Ke & Lai, Loi Lei, 2018. "Two-stage energy management for networked microgrids with high renewable penetration," Applied Energy, Elsevier, vol. 226(C), pages 39-48.
    18. Sadeghian, Omid & Mohammadpour Shotorbani, Amin & Mohammadi-Ivatloo, Behnam & Sadiq, Rehan & Hewage, Kasun, 2021. "Risk-averse maintenance scheduling of generation units in combined heat and power systems with demand response," Reliability Engineering and System Safety, Elsevier, vol. 216(C).
    19. Christos N. Dimitriadis & Evangelos G. Tsimopoulos & Michael C. Georgiadis, 2021. "A Review on the Complementarity Modelling in Competitive Electricity Markets," Energies, MDPI, vol. 14(21), pages 1-27, November.
    20. Seyit Kerimkhulle & Nataliia Obrosova & Alexander Shananin & Akylbek Tokhmetov, 2023. "Young Duality for Variational Inequalities and Nonparametric Method of Demand Analysis in Input–Output Models with Inputs Substitution: Application for Kazakhstan Economy," Mathematics, MDPI, vol. 11(19), pages 1-22, October.

    More about this item

    Keywords

    Electricity market; Stochastic quasi-variational inequality; Radner equilibrium; Filtered probability space;
    All these keywords.

    JEL classification:

    • A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321003790. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.