Nash equilibrium in strategic bidding: A binary expansion approach

Published

Journal Article

This paper presents a mixed integer linear programming solution approach for the equilibrium problem with equilibrium constraints (EPEC) problem of finding the Nash equilibrium (NE) in strategic bidding in short-term electricity markets. A binary expansion (BE) scheme is used to transform the nonlinear, nonconvex, NE problem into a mixed integer linear problem (MILP), which can be solved by commercially available computational systems. The BE scheme can be applicable to Cournot, Bertrand, or joint price/quantity bidding models. The approach is illustrated in case studies with configurations derived from the 95-GW Brazilian system, including unit-commitment decisions to the price-maker agents. © 2006 IEEE.

Full Text

Duke Authors

Cited Authors

  • Barroso, LA; Carneiro, RD; Granville, S; Pereira, MV; Fampa, MHC

Published Date

  • May 1, 2006

Published In

Volume / Issue

  • 21 / 2

Start / End Page

  • 629 - 638

International Standard Serial Number (ISSN)

  • 0885-8950

Digital Object Identifier (DOI)

  • 10.1109/TPWRS.2006.873127

Citation Source

  • Scopus