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.
Tested with Python 2.7, Gurobi 8.0, and numpy 1.13.1.
python robust.py