Related papers: Modelling power markets with multi-stage stochasti…
We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field…
We present a capacity expansion model for deciding the new electricity generation and transmission capacity to complement an existing hydroelectric reservoir system. The objective is to meet a forecast demand at least expected cost, namely…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…
Coordination is a desirable feature in multi-agent systems, allowing the execution of tasks that would be impossible by individual agents. We study coordination by a team of strategic agents choosing to undertake one of the multiple tasks.…
We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
We consider multi-agent decision making where each agent's cost function depends on all agents' strategies. We propose a distributed algorithm to learn a Nash equilibrium, whereby each agent uses only obtained values of her cost function at…
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in these circumstances requires to solve a complex estimation…
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
Motivated by the complex dynamics of cooperative and competitive interactions within networked agent systems, multi-cluster games provide a framework for modeling the interconnected goals of self-interested clusters of agents. For this…
We address the Nash equilibrium problem in a partial-decision information scenario, where each agent can only observe the actions of some neighbors, while its cost possibly depends on the strategies of other agents. Our main contribution is…
We consider a multi-agent noncooperative game with agents' objective functions being affected by uncertainty. Following a data driven paradigm, we represent uncertainty by means of scenarios and seek a robust Nash equilibrium solution. We…
We consider a system of single- or double integrator agents playing a generalized Nash game over a network, in a partial-information scenario. We address the generalized Nash equilibrium seeking problem by designing a fully-distributed…
In this paper, we consider a Nash equilibrium seeking problem for a class of high-order multi-agent systems with unknown dynamics. Different from existing results for single integrators, we aim to steer the outputs of this class of…
We address Nash equilibrium problems in a partial-decision information scenario, where each agent can only exchange information with some neighbors, while its cost function possibly depends on the strategies of all agents. We characterize…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Classic market design theory is rooted in static models where all participants trade simultaneously. In contrast, modern platform-mediated digital markets are fundamentally dynamic, defined by the asynchronous and stochastic arrival of…
Game-theoretic solution concepts, such as the Nash equilibrium, have been key to finding stable joint actions in multi-player games. However, it has been shown that the dynamics of agents' interactions, even in simple two-player games with…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
The advent of intelligent agents who produce and consume energy by themselves has led the smart grid into the era of "prosumer", offering the energy system and customers a unique opportunity to revaluate/trade their spot energy via a…