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A Decomposition Technique for Equilibrium Programming under Uncertainty

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  • C.H. Rosa

Abstract

We consider a decomposition technique for solving monotone stochastic Nash equilibrium models based on scenarios and policy aggregation. The algorithm works by splitting the large multi-scenario equilibrium programming problem into separable scenario equilibrium subproblems that are amenable to solution via mixed complementarity problem solvers. We will consider preliminary numerical experience on a small stochastic trade model with two agents, two goods, and two scenarios.

Suggested Citation

  • C.H. Rosa, 1996. "A Decomposition Technique for Equilibrium Programming under Uncertainty," Working Papers wp96013, International Institute for Applied Systems Analysis.
  • Handle: RePEc:wop:iasawp:wp96013
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