A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: Application to natural gas markets
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- 作者：Mel T. Devinea ; b ; c ; mel.devine@ul.ie" class="auth_mail" title="E-mail the corresponding author ; Steven A. Gabrield ; Seksun Moryadeee
- 关键词：Rolling horizon ; Stochastic mixed complementarity problem ; Natural gas market ; Game theory
- 刊名：Computers and Operations Research
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：68
- 期：Complete
- 页码：1-15
- 全文大小：1575 K
文摘
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Heuristic for solving non-convex programs.
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Combines rolling horizons with stochastic mixed complementarity problems.
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Details of how rolling horizons can incorporate decision-dependent scenarios.
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New concept: Value of the Rolling Horizon.