电力市场的进入与退出博弈:一种平均场博弈方法

IF 1.1 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS
R. Aid, Roxana Dumitrescu, P. Tankov
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引用次数: 20

摘要

我们建立了一个基于最优停止的平均场博弈的电力市场行业动态模型。在我们的模型中,有两种类型的代理人:可再生能源生产者和传统生产者。可再生能源生产商选择最优时机建设新的可再生能源发电厂,传统生产商选择最优时机退出市场。代理人通过市场价格相互作用,市场价格由两类生产者的总供给与外生需求函数的匹配决定。利用最优停止平均场对策的松弛公式,证明了纳什均衡的存在性和均衡价格过程的唯一性。本文提出了一个受英国电力市场启发的实证例子。这个例子表明,虽然可再生能源补贴明显导致更高的可再生能源渗透率,但这可能会给消费者带来更高的峰值负荷价格成本。为了避免价格上涨,可再生能源补贴必须与确保有足够的常规产能以满足高峰时期能源需求的机制相结合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The entry and exit game in the electricity markets: A mean-field game approach
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable producers choose the optimal moment to build new renewable plants, and the conventional producers choose the optimal moment to exit the market. The agents interact through the market price, determined by matching the aggregate supply of the two types of producers with an exogenous demand function. Using a relaxed formulation of optimal stopping mean-field games, we prove the existence of a Nash equilibrium and the uniqueness of the equilibrium price process. An empirical example, inspired by the UK electricity market is presented. The example shows that while renewable subsidies clearly lead to higher renewable penetration, this may entail a cost to the consumer in terms of higher peakload prices. In order to avoid rising prices, the renewable subsidies must be combined with mechanisms ensuring that sufficient conventional capacity remains in place to meet the energy demand during peak periods.
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来源期刊
Journal of Dynamics and Games
Journal of Dynamics and Games MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-
CiteScore
2.00
自引率
0.00%
发文量
26
期刊介绍: The Journal of Dynamics and Games (JDG) is a pure and applied mathematical journal that publishes high quality peer-review and expository papers in all research areas of expertise of its editors. The main focus of JDG is in the interface of Dynamical Systems and Game Theory.
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