Related papers: An adverse selection approach to power pricing

In this study, we develop a theoretical model of strategic equilibrium bidding and price-setting behaviour by heterogeneous and boundedly rational electricity producers and a grid operator in a single electricity market under uncertain…

This paper studies contracting in the presence of externalities with a non-contractible outsider. Multiple equilibria arise from strategic symmetry between the insider agent and the outsider. To address strategic uncertainty, the principal…

Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…

We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…

We study a principal-agent team production model. The principal hires a team of agents to participate in a common production task. The exact effort of each agent is unobservable and unverifiable, but the total production outcome (e.g. the…

This paper analyzes optimal insurance design when the insurer internalizes the effect of coverage on third-party service prices. A monopolistic insurer contracts with risk-averse agents who have sequential two-dimensional private…

We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the…

We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an incentive-compatible continuum of contracts, i.e., a menu…

Large electricity customers (e.g., large data centers) can exhibit huge and variable electricity demands, which poses significant challenges for the electricity suppliers to plan for sufficient capacity. Thus, it is desirable to design…

We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…

We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…

In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered…

We prove an existence result for the principal-agent problem with adverse selection under general assumptions on preferences and allocation spaces. Instead of assuming that the allocation space is finite-dimensional or compact, we consider…

As electricity consumption grows, reducing peak demand--the maximum load on the grid--has become critical for preventing infrastructure strain and blackouts. Pricing mechanisms that incentivize consumers with flexible loads to shift…

We study a natural application of contract design in the context of sequential exploration problems. In our principal-agent setting, a search task is delegated to an agent. The agent performs a sequential exploration of $n$ boxes, suffers…

We design an optimal contract between a demand response aggregator (DRA) and a customer for incentive-based demand response. We consider a setting in which the customer is asked to reduce her consumption by the DRA and she is compensated…

Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…

We study hidden-action principal-agent problems in which a principal commits to an outcome-dependent payment scheme (called contract) so as to incentivize the agent to take a costly, unobservable action leading to favorable outcomes. In…

This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…

A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…