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Coalitional ZP-Equilibrium in Games and its Existence

INTERNATIONAL GAME THEORY REVIEW 2015年第3期17卷 1550002-1550002页

作者： Nessah, Rabia Larbani, Moussa Tazdait, Tarik IESEG Sch Management CNRS LEM UMR 8179 F-59000 Lille France IIUM Univ Jalan Gombak Dept Business Adm Kuala Lumpur 53100 Malaysia CNRS EHESS CIRED F-94736 Nogent Sur Marne France

We introduce a solution concept for games in normal form with undetermined parameters, coalitional ZP-equilibrium, based on the notions of Z-equilibrium of [Zhukovskii and Chikrii [1994] Linear quadratic differential games, Kiev, Naoukova Doumka] and ZS-equilibrium of [Larbani and Lebbah [1999] A concept of equilibrium for a game under uncertainity. Europ. J. Oper. Res. 117, 145-156]. For each coalition structure, ZP-equilibrium ensures both the stability of the partition and equilibrium of coalitional strategies (in Pareto sense). We show that under some quasiconcavity conditions on payoff functions, the coalitional ZP-equilibrium exists in compact, convex and continuous normal form games involving undetermined parameters.

关键词： Normal form game coalitional ZP-equilibrium undetermined parameter multiobjective mathematical programming

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A scenario-based multiobjective operation of electricity markets enhancing transient stability

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INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS 2012年第1期35卷 112-122页

作者： Aghaei, J. Amjady, N. Shiraz Univ Technol Dept Elect & Elect Engn Shiraz Iran Semnan Univ Dept Elect Engn Semnan Iran

Electricity market clearing is currently done using deterministic values of power system parameters considering a fixed network configuration. This paper presents a new day-ahead joint market clearing framework (including energy, spinning reserve and non-spinning reserve auctions), which considers dynamic security of power system in the market clearing. The proposed framework has a stochastic multiobjective model considering power system uncertainties. It consists of three stages. Firstly, the uncertainty sources, i.e. contingencies of generating units and branches, are modeled using the Monte Carlo simulation (MCS) method. Subsequently, in the second stage, the proposed multiobjective framework simultaneously optimizes competing objective functions of offer cost and dynamic security index, i.e. corrected transient energy margin (CTEM). This index is selected because of useful linearity properties which it posses based on the sensitivity of the CTEM with respect to power shift between generators. The optimization problem in the second stage takes DC power flow constraints and system reserve requirements into account. Finally, in the last stage, scenario aggregation based on the expected value of the decision variables produces the final results of the market clearing framework. The 10-machine New England test system is studied to demonstrate effectiveness of the proposed stochastic multiobjective market clearing scheme. (C) 2011 Elsevier Ltd. All rights reserved.

关键词： Stochastic market clearing multiobjective mathematical programming Corrected transient energy margin

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IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection

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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2011年第2期210卷 398-409页

作者： Xidonas, Panagiotis Mavrotas, George Zopounidis, Constantin Psarras, John Tech Univ Crete Dept Prod Engn & Management Financial Engn Lab Khania 73100 Greece Natl Tech Univ Athens Sch Elect & Comp Engn Management & Decis Support Syst Lab Athens 15780 Greece Natl Tech Univ Athens Sch Chem Engn Lab Ind & Energy Econ Athens 15780 Greece

A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: on the one hand there are the efficient portfolios (those that are not dominated by any other portfolio in the group), and on the other, those that are dominated. In other words, these models do not solve for one optimal portfolio, but rather solve for an efficient set of portfolios, among which the investor must choose, given his preference system. One criticism over these models, which has often been addressed both by practitioners and academics, is that they fail to embody the objectives of the decision maker (DM), through the various stages of the decision process. Our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios, which will take into account the inherent multidimensional nature of the problem, while allowing the DM to incorporate his preferences in the decision process. The proposed approach, which grounds its basis on the field of multiple criteria decision making (MCDM) and more specifically on multiobjective mathematical programming (MMP), is implemented in the IPSSIS (Integrated Portfolio Synthesis and Selection Information System) decision support system (DSS). The validity of the proposed approach is tested through an illustrative application in the Athens Stock Exchange (ASE). (C) 2010 Elsevier B.V. All rights reserved.

关键词： Portfolio construction Portfolio selection Equities Multiple criteria decision making multiobjective mathematical programming Decision support systems

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Incorporating power system security into market-clearing of day-ahead joint energy and reserves auctions

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EUROPEAN TRANSACTIONS ON ELECTRICAL POWER 2010年第2期20卷 140-156页

作者： Aghaei, J. Shayanfar, H. Amjady, N. Iran Univ Sci & Technol Ctr Excellence Power Syst Automat & Operat Dept Elect Engn Tehran Iran Semnan Univ Dept Elect Engn Semnan Iran

This paper is intended to introduce a technique for incorporating system security into the clearing of day-ahead joint electricity markets, with particular emphasis on the voltage stability. A multiobjective mathematical programming (MMP) formulation is implemented for provision of ancillary services (Automatic Generation Control or AGC, spinning, non-spinning, and operating reserves) as well as energy in simultaneous auctions by pool-based aggregated market scheme. In the proposed market-clearing structure, the security problem, as an important responsibility of ISO, is addressed and a nonlinear model is formulated and used as the extra objective functions of the optimization problem. Thus, in the MMP formulation of the market-clearing process, the objective functions (including augmented generation offer cost, overload index, voltage drop index, and loading margin) are optimized while meeting AC power flow constraints, system reserve requirements, and lost opportunity cost (LOC) considerations. The IEEE 24-bus Reliability Test System (RTS 24-bus) is used to demonstrate the performance of the proposed method. Copyright (C) 2008 John Wiley & Sons, Ltd.

关键词： market clearing multiobjective mathematical programming lost opportunity cost voltage security margin

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Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

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OPTIMIZATION 2010年第8期59卷 1211-1229页

作者： Xidonas, Panagiotis Mavrotas, George Psarras, John Natl Tech Univ Athens Management & Decis Syst Support Lab Sch Elect & Comp Engn Athens 15780 Greece Natl Tech Univ Athens Lab Ind & Energy Econ Sch Chem Engn Athens 15780 Greece

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known epsilon-constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.

关键词： portfolio construction multiobjective mathematical programming equities

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multiobjective clearing of reactive power market in deregulated power systems

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APPLIED ENERGY 2009年第9期86卷 1555-1564页

作者： Rabiee, A. Shayanfar, H. Amjady, N. IUST Ctr Excellence Power Syst Automat & Operat Dept Elect Engn Tehran 16846 Iran Semnan Univ Dept Elect Engn Semnan Iran

This paper presents a day-ahead reactive power market which is cleared in the form of multiobjective context. Total payment function (TPF) of generators, representing the payment paid to the generators for their reactive power compensation, is considered as the main objective function of reactive power market. Besides that, voltage security margin, overload index, and also voltage drop index are the other objective functions of the optimal power flow (OPF) problem to clear the reactive power market. A multiobjective mathematical programming (MMP) formulation is implemented to solve the problem of reactive power market clearing using a fuzzy approach to choose the best compromise solution according to the specific preference among various non-dominated (pareto optimal) solutions. The effectiveness of the proposed method is examined based on the IEEE 24-bus reliability test system (IEEE 24-bus RTS). (C) 2008 Elsevier Ltd. All rights reserved.

关键词： Reactive power market Total payment function (TPF) multiobjective mathematical programming Voltage security margin (VSM)

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Stochastic multiobjective Market Clearing of Joint Energy and Reserves Auctions Ensuring Power System Security

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IEEE TRANSACTIONS ON POWER SYSTEMS 2009年第4期24卷 1841-1854页

作者： Amjady, Nima Aghaei, Jamshid Shayanfar, Heidar Ali Semnan Univ Dept Elect Engn Semnan Iran Iran Univ Sci & Technol Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran Iran

In this paper, a stochastic multiobjective framework is proposed for day-ahead joint market clearing. The proposed multiobjective framework can concurrently optimize competing objective functions including augmented generation offer cost and security indices (overload index, voltage drop index, and voltage stability margin). Besides, system uncertainties including generating units and branches contingencies and load uncertainty are explicitly considered in the stochastic market clearing scheme. The solution methodology consists of two stages, which firstly, employs roulette wheel mechanism and Monte Carlo simulation (MCS) for random adaptive 24-h scenario generation wherein the stochastic multiobjective market clearing procedure is converted into its respective deterministic equivalents (scenarios). In the second stage, for each deterministic scenario, a multiobjective mathematical programming (MMP) formulation based on the epsilon-constrained approach is implemented for provision of spinning reserve (SR) and nonspinning reserve (NSR) as well as energy. The MMP formulation of the market clearing process is optimized while meeting ac power flow constraints and expected interruption cost (EIC). The IEEE 24-bus Reliability Test System (RTS 24-bus) is used to demonstrate the performance of the proposed method.

关键词： Joint market clearing multiobjective mathematical programming stochastic optimization

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Multi-objective market clearing of joint energy and reserves auctions ensuring power system security

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ENERGY CONVERSION AND MANAGEMENT 2009年第4期50卷 899-906页

作者： Aghaei, J. Shayanfar, H. Amjady, N. Iran Univ Ssci & Technol IUST Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran 16846 Iran Semnan Univ Dept Elect Engn Semnan Iran

A model and solution approach to day-ahead market clearing of joint energy and reserves auctions is proposed in this paper. The model represents the clearing system used by ISO in charge of both the market operation and system security. A multiobjective mathematical programming (MMP) formulation is implemented for provision of ancillary services (Automatic Generation Control or AGC, Spinning, Non-spinning and operational reserves) as well as energy in simultaneous auctions by pool-based aggregated market scheme. System security is taken into account in the market clearing procedure as the extra objective functions of the optimization problem. So. in the MMP formulation of the market clearing process, the objective functions (generation cost and security indices) are optimized while meeting AC power flow constraints, system reserve requirements and lost opportunity cost (LOC) considerations. The model is applied to the IEEE 24-bus Reliability Test System (IEEE 24-bus RTS), and simulation studies are carried out to examine the effectiveness of the proposed method. (c) 2008 Elsevier Ltd. All rights reserved.

关键词： Market clearing multiobjective mathematical programming Lost opportunity cost

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Multiple Criteria Optimization Method for the Vehicle Assignment Problem in a Bus Transportation Company

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JOURNAL OF ADVANCED TRANSPORTATION 2009年第2期43卷 203-243页

作者： Zak, Jacek Jaszkiewicz, Andrzej Redmer, Adam Poznan Univ Tech Fac Working Machines & Transportat PL-60965 Poznan Poland Poznan Univ Tech Fac Comp Sci PL-60965 Poznan Poland

A vehicle assignment problem (VAP) in a road, long-haul, passenger transportation company with heterogeneous fleet of buses is considered in the paper. The mathematical model of the VAP is formulated in terms of rnultiobjective, combinatorial optimization. It has a strategic, long-term character and takes into account four criteria that represent interests of both passengers and the company's management. The decision consists in the definition of weekly operating frequency (number of rides per week) of buses on international routes between Polish and Western European cities. The VAP is solved in a step-wise procedure. In the first step a sample of efficient (Pareto-optimal) solutions is generated using an original metaheuristic method called Pareto Memetic Algorithm (PMA). In the second step this sample is reviewed and evaluated by the Decision Maker (DM). In this phase an interactive, multiple criteria analysis method with graphical facilities, called Light Beam Search (LBS), is applied. The method helps the DM to define his/her preferences, direct the search process and select the most satisfactory solution.

关键词： Multiple criteria analysis multiobjective mathematical programming Vehicle assignment problem Transportation Metaheuristics

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On approximate efficiency in multiobjective programming

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mathematical METHODS OF OPERATIONS RESEARCH 2006年第1期64卷 165-185页

作者： Gutierrez, C. Jimenez, B. Novo, V. Univ Valladolid ETSI Informat Dept Matemat Aplicada E-47011 Valladolid Spain Univ Nacl Educ Distancia ETSI Ind Dept Matemat Aplicada E-28040 Madrid Spain

This paper is focused on approximate (epsilon-efficiency) solutions of multi-objective mathematical programs. We introduce a new epsilon-efficiency concept which extends and unifies different notions of approximate solution defined in the literature. We characterize these epsilon-efficient solutions in convex multiobjective programs through approximate solutions of linear scalarizations, which allow us to obtain parametric representations of different epsilon-efficiency sets. Several classical epsilon-efficiency notions are considered in order to show the concepts introduced and the results obtained.

关键词： multiobjective mathematical programming epsilon-efficiency scalarization weighting method parametric representation

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