TY - JOUR
T1 - Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games
AU - Djehiche, Boualem
AU - Barreiro-Gomez, Julian
AU - Tembine, Hamidou
N1 - Funding Information:
This research work is supported by U.S. Air Force Office of Scientific Research under Grant Number FA9550-17-1-0259. This work was conducted when the first author was visiting the Learning and Game Theory Laboratory at NYUAD. Financial support from the Swedish Research Council under Grant Number 2016-04086 is gratefully acknowledged.
Funding Information:
This research work is supported by U.S. Air Force Office of Scientific Research under Grant Number FA9550-17-1-0259. This work was conducted when the first author was visiting the Learning and Game Theory Laboratory at NYUAD. Financial support from the Swedish Research Council under Grant Number 2016-04086 is gratefully acknowledged.
Publisher Copyright:
© 2020, Springer Science+Business Media, LLC, part of Springer Nature.
PY - 2020/12
Y1 - 2020/12
N2 - In this article, a profit optimization between electricity producers is formulated and solved. The problem is described by a linear jump-diffusion system of conditional mean-field type where the conditioning is with respect to common noise and a quadratic cost functional involving the second moment, the square of the conditional expectation of the control actions of the producers. We provide semi-explicit solution of the corresponding mean-field-type game problem with common noise. The equilibrium strategies are in state-and-conditional mean-field feedback form, where the mean-field term is the conditional price given the realization of the global uncertainty. The methodology is extended to a situation of incomplete information mean-field-type game in which each producer knows its own type but not the types of the other producers. We compute the Bayesian mean-field-type equilibrium in a semi-explicit way and show that it is not ex post resilient.
AB - In this article, a profit optimization between electricity producers is formulated and solved. The problem is described by a linear jump-diffusion system of conditional mean-field type where the conditioning is with respect to common noise and a quadratic cost functional involving the second moment, the square of the conditional expectation of the control actions of the producers. We provide semi-explicit solution of the corresponding mean-field-type game problem with common noise. The equilibrium strategies are in state-and-conditional mean-field feedback form, where the mean-field term is the conditional price given the realization of the global uncertainty. The methodology is extended to a situation of incomplete information mean-field-type game in which each producer knows its own type but not the types of the other producers. We compute the Bayesian mean-field-type equilibrium in a semi-explicit way and show that it is not ex post resilient.
KW - Electricity price dynamics
KW - Mean-field-type games
KW - Smart grids
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U2 - 10.1007/s13235-020-00367-8
DO - 10.1007/s13235-020-00367-8
M3 - Article
AN - SCOPUS:85091614716
SN - 2153-0785
VL - 10
SP - 798
EP - 818
JO - Dynamic Games and Applications
JF - Dynamic Games and Applications
IS - 4
ER -