Related papers: Modelling power markets with multi-stage stochasti…
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…
The multi-energy management framework of industrial parks advocates energy conversion and scheduling, which takes full advantage of the compensation and temporal availability of multiple energy. However, how to exploit elastic loads and…
We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$…
Uncertainty in the output power of large-scale wind power plants (WPPs) can face the electricity market players with undesirable profit variations. Market players can hedge themselves against these risks by participating in forward…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
This article introduces a class of $Nash$ games among $Stackelberg$ players ($NASPs$), namely, a class of simultaneous non-cooperative games where the players solve sequential Stackelberg games. Specifically, each player solves a…
We introduce an extended mathematical programming framework for specifying equilibrium problems and their variational representations, such as generalized Nash equilibrium, multiple optimization problems with equilibrium constraints, and…
In this paper, we focus on modeling and analysis of demand-side management in a microgrid where agents utilize grid energy and a shared battery charged by renewable energy sources. We model the problem as a generalized stochastic dynamic…
With increasing renewable penetration in power systems, a prominent challenge in efficient and reliable power system operation is handling the uncertainties inherent in the renewable generation. In this paper, we propose a simple…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem…
In electricity markets with a dual-pricing scheme for balancing energy, controllable production units typically participate in the balancing market as "active" actors by offering regulating energy to the system, while renewable stochastic…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
Many real-world domains contain multiple agents behaving strategically with probabilistic transitions and uncertain (potentially infinite) duration. Such settings can be modeled as stochastic games. While algorithms have been developed for…
We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…
The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…
This paper presents an application of mean field control to dynamic production optimization. Both noncooperative and cooperative solutions are considered. We first introduce a market of a large number of agents (firms) with sticky prices…