Stochastic Programming
Typical examples that we are interested in are stochastic principal agent models (Stackelberg leader follower models), stochastic Nash equilibrium models, stochastic bilevel programming models, stochastic mathematical programs with equilibrium constraints (SMPEC) models and stochastic equilibrium programs with equilibrium constraints (SEPEC) models. The new stochastic optimisation and equilibrium models have many applications in the study of optimal strategy and competition in energy industry, stability of power system/networks, equilibrium of transportation networks, capacity expansion/investment, optimal policy setting and engineering design. We are also interested in risk management models such as condition value at risk models and dominance constrained stochastic program models.
