Abstract
A numerical method based on a stochastic global optimization paradigm is presented and applied to the calculation of Nash–Cournot equilibria in electricity markets. The proposed method uses and solves GNEP's (generalized Nash equilibrium problems) by means of the Fuzzy Adaptive Simulated Annealing (Fuzzy ASA) algorithm. Concepts of cooperative game theory are used too, such as the bilateral Shapley value. This approach makes it possible to study the feasibility of coalition formation processes in several scenarios, and a case study based on the IEEE 30-bus system is used in order to present and discuss in detail the proposal. The main advantage of the new technique is to simplify and extend current methods, as explained along the text.
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