Game theoretic formulations and solution methods for microeconomic market models

Microeconomic equilibrium problems are intimately related to game theory, but the current state of knowledge for several types of microeconomic problems is limited. This dissertation rigorously addresses several of these problems from the standpoint of variational inequality theory. In addition to proving theoretical results about problem properties, important microeconomic implications are discussed when applicable. The individual chapters of this work focus on: • equilibrium existence for perfectly competitive capacity expansion problems with risk-averse players; • a comprehensive analysis of the application of Lemke’s method to affine generalized Nash equilibrium problems; • the formulation and study of a unified power market model encompassing different microeconomic behavioral assumptions, capacity markets, emission permit auctions, and consumer surplus maximization; • an investigation of differential Nash games with mixed state-control constraints. Although the presented results are applicable to a broad class of games that satisfy certain structural properties, electricity markets represent a key application area underlying several of the chapters and are specifically addressed in Chapter 4. As a whole, this dissertation should clearly illustrate how variational inequality theory can be used to analyze these applications and should provide the basis for the development of effective solution methodologies. It should also provide deeper insights into complex microeconomic games that cannot be described solely with demand and supply curves. Suggestions for additional research are provided at the end of each chapter to motivate future work in the respective domains.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Industrial Engineering

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Schiro, Dane

Contributors dc:contributor

• Pang, Jong-Shi
• Shanbhag, Vinayak V.
• Gross, George
• Kim, Harrison H.M.
• Nedich, Angelia

• Game theory
• variational inequalities
• microeconomics
• power markets
• optimal control

Statement dc:rights

• Copyright 2013 Dane Schiro

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/46757

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/46757