【Time】1:00PM-2:00PM, October 21, 2010 (Thursday)   

【Venue】Room 510, Shunde Building   

【Speaker】Dr. Dali Zhang, National University of Singapore    

【Title】Stochastic Equilibrium Problems for Energy Markets: Modeling and Numerical Schemes 

【Abstract】The study investigates generators' strategic behaviors in contract signing in the forward 

Market and power transaction in the electricity spot market. A stochastic equilibrium program with 

equilibrium constraints (SEPEC) model is proposed to characterize the interactions of generators' 

competition in the markets. In the theoretical analysis, we concern with the structure of a 

Nash-Cournot equilibrium in the forward-spot market, and establish some sufficient conditions for 

the existence of a Nash equilibrium in the forward-spot markets. On the other hand, in numerical 

schemes, we propose a Monte Carlo sampling method to approximate and solve the stochastic Nash 

equilibrium problem. The convergence analysis on the statistical estimators of stochastic Nash 

equilibria and Nash stationary points are provided. Finally, we present a gas-oil value/supply 

chain problem to illustrate our future development on the applications of stochastic equilibrium 

problems and Monte Carlo sampling methods in energy sectors. 

【Biography】Dali Zhang received his Ph.D. degree in the University of Southampton, Southampton, U.K., 

in March 2010, and his B.Eng. and M. Eng. degrees in the Automation Department, University of Science 

and Technology of China, Hefei, China in 2006 and 2003, respectively. Since 11/2009, he is doing his 

Post-doc research at Department of Industrial and Systems Engineering, National University of Singapore. 

His research interests are in the areas of stochastic equilibrium problem, Monte Carlo sampling methods 

and power systems.