Computing Cournot equilibria in two settlement electricity markets with transmission constraint

@article{Yao2004ComputingCE,
  title={Computing Cournot equilibria in two settlement electricity markets with transmission constraint},
  author={Jian Yao and Shmuel S. Oren and Ilan Adler},
  journal={37th Annual Hawaii International Conference on System Sciences, 2004. Proceedings of the},
  year={2004},
  pages={9 pp.-}
}
We formulate a two-settlement equilibrium in competitive electricity markets as a subgame-perfect Nash equilibrium in which each generation firm solves a Mathematical Program with Equilibrium Constraints (MPEC), given other firms' forward and spot strategies. We implement two computational approaches, one of which is based on a penalty interior point algorithm and the other is based on a steepest descent approach. We apply the algorithm to a six node illustrative example. 
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