robust
Robust optimization for power markets
Implements a simplified version of http://ieeexplore.ieee.org.libproxy.aalto.fi/document/7944676/. An upper-level agent makes generation and transmission line investment decisions, while the market is cleared in the lower-level. The lower-level problem is a robust optimization problem in which some parameters are stochastic.
Solved using Gurobi 7.5.