This paper presents a mathematical model for analyzing long-term infras- tructure investment decisions in a deregulated electricity market, such as the case in the United States. The interdependence between different decision entities in the sys- tem is captured in a network-based stochastic multi-agent optimization model, where new entrants of investors compete among themselves and with existing generators for natural resources, transmission capacities, and demand markets. To overcome com- putational challenges involved in stochastic multi-agent optimization problems, we have developed a solution method by combining stochastic decomposition and vari- ational inequalities, which converts the original problem to many smaller problems that can be solved more easily.