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Shell Lecture Series - 3/11, 3:00PM, Duncan Hall 1064

Michael Ferris

Department of Computer Sciences
Wisconsin Institutes for Discovery

"Extended Mathematical Programming: Competition and Stochasticity"

We present a mechanism for describing and solving collections of optimization problems that are linked by equilibrium conditions. Included in this class are classical models such as the PIES model and agent based formulations arising from Nash Games.

We demonstrate this mechanism in the context of energy planning problems, specifically for capacity expansion, hydro operation, and transmission line switching. We show how to incorporate stochastic information into these systems and give examples of their use and their possible extensions to hierarchical modeling.

Department of Computational and Applied Mathematics
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