Solving Discretely-Constrained Nash-Cournot Games with an Application to Power Markets

This paper provides a methodology to solve Nash-Cournot energy production games allowing some variables to be discrete. Normally, these games can be stated as mixed complementarity problems but only permit continuous variables in order to make use of each producer's Karush-Kuhn-Tucker conditions. The proposed approach allows for more realistic modeling and a compromise between integrality and complementarity to avoid infeasible situations.