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Published in: Dynamic Games and Applications 4/2020

24-09-2020

Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games

Authors: Boualem Djehiche, Julian Barreiro-Gomez, Hamidou Tembine

Published in: Dynamic Games and Applications | Issue 4/2020

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Abstract

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.

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Metadata
Title
Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games
Authors
Boualem Djehiche
Julian Barreiro-Gomez
Hamidou Tembine
Publication date
24-09-2020
Publisher
Springer US
Published in
Dynamic Games and Applications / Issue 4/2020
Print ISSN: 2153-0785
Electronic ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-020-00367-8

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