  We propose a method to design a decentralized energy market which guarantees
individual rationality (IR) in expectation, in the presence of system-level
grid constraints. We formulate the market as a welfare maximization problem
subject to IR constraints, and we make use of Lagrangian duality to model the
problem as a n-person non-cooperative game with a unique generalized Nash
equilibrium (GNE). We provide a distributed algorithm which converges to the
GNE. The convergence and properties of the algorithm are investigated by means
of numerical simulations.
