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An Extended Mean Field Game for Storage in Smart Grids

Author

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  • Clémence Alasseur

    (EDF R&D Paris-Saclay and Finance for energy Market Research Centre (FIME))

  • Imen Ben Taher

    (Université Paris Dauphine and Finance for Energy Market Research Centre (FIME))

  • Anis Matoussi

    (Le Mans Université)

Abstract

We consider a stylized model for a power network with distributed local power generation and storage. This system is modeled as a network connection of a large number of nodes, where each node is characterized by a local electricity consumption, has a local electricity production (photovoltaic panels for example) and manages a local storage device. Depending on its instantaneous consumption and production rate as well as its storage management decision, each node may either buy or sell electricity, impacting the electricity spot price. The objective at each node is to minimize energy and storage costs by optimally controlling the storage device. In a noncooperative game setting, we are led to the analysis of a nonzero sum stochastic game with N players where the interaction takes place through the spot price mechanism. For an infinite number of agents, our model corresponds to an extended mean field game. We are able to compare this solution to the optimal strategy of a central planner and in a linear quadratic setting, we obtain and explicit solution to the extended mean field game and we show that it provides an approximate Nash equilibrium for N-player game.

Suggested Citation

  • Clémence Alasseur & Imen Ben Taher & Anis Matoussi, 2020. "An Extended Mean Field Game for Storage in Smart Grids," Journal of Optimization Theory and Applications, Springer, vol. 184(2), pages 644-670, February.
    • Handle: RePEc:spr:joptap:v:184:y:2020:i:2:d:10.1007_s10957-019-01619-3
    DOI: 10.1007/s10957-019-01619-3
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-521, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1177, CIRJE, Faculty of Economics, University of Tokyo.
    4. Tiago Roux Oliveira & Victor Hugo Pereira Rodrigues & Miroslav Krstić & Tamer Başar, 2021. "Nash Equilibrium Seeking in Quadratic Noncooperative Games Under Two Delayed Information-Sharing Schemes," Journal of Optimization Theory and Applications, Springer, vol. 191(2), pages 700-735, December.
    5. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1144, CIRJE, Faculty of Economics, University of Tokyo.
    6. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," Papers 2003.03035, arXiv.org, revised Sep 2021.
    7. Masaaki Fujii, 2023. "Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations (Forthcoming in ESAIM: Control, Optimisation and Calculus of Variations) (Revised version of CARF-F-," CARF F-Series CARF-F-562, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Olivier Féron & Peter Tankov & Laura Tinsi, 2020. "Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player," Risks, MDPI, vol. 8(4), pages 1-21, December.
    10. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
    11. René Carmona & Gökçe Dayanıklı & Mathieu Laurière, 2022. "Mean Field Models to Regulate Carbon Emissions in Electricity Production," Dynamic Games and Applications, Springer, vol. 12(3), pages 897-928, September.
    12. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
    13. Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    14. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
    15. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-473, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    16. Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Papers 2112.11059, arXiv.org, revised Nov 2022.
    17. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.
    18. Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets with a major player," Papers 2011.07655, arXiv.org.
    19. Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Working Papers hal-03498263, HAL.

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