Risk-Sensitivity in Mean Field Games and Energy Markets

平均场博弈和能源市场的风险敏感性

基本信息

  • 批准号:
    RGPIN-2022-05337
  • 负责人:
  • 金额:
    $ 1.89万
  • 依托单位:
  • 依托单位国家:
    加拿大
  • 项目类别:
    Discovery Grants Program - Individual
  • 财政年份:
    2022
  • 资助国家:
    加拿大
  • 起止时间:
    2022-01-01 至 2023-12-31
  • 项目状态:
    已结题

项目摘要

Motivation: Due to global warming, it is necessary to reduce carbon emissions worldwide. In this light, regulatory acts have been imposed by requiring the regulated firms to generate a specific percentage of their electricity via an eligible renewable energy resource. There is a tracking system via issuing certificates for every 1 MWh renewable energy generation. In case of non-compliance, the firms face a monetary penalty that must be paid to the regulator. These certificates can be traded on markets and their price is driven via supply and demand. Due to the uncertainty associated with intermittent renewables, the price could be very volatile and trading in such markets could incur a higher risk to firms. Moreover, transaction costs in such markets are in general higher than in voluntary markets. Hence, to facilitate the regulation, which in turn contributes to a smoother transition to a low-carbon future, an efficient market design is crucial. Objective: Mean field game (MFG) theory studies a class of large-population games, where agents are not only impacted by their individual behaviour but also by the mass behaviour of all the other agents in the system. The theory provides mathematical characterizations of the Nash equilibria of such games. The objective of this proposal is to introduce a fundamental study of risk-sensitivity in MFGs and to employ it for optimal design of compliance REC markets. Therefore, the first part of this proposal investigates equilibrium pricing and contract design in markets where participants are risk sensitive and there is an influential market participant. In all analyses it is assumed that all market parameters are known as is usually the case in games. However, the latter assumption does not hold in practice and some form of learning is required. For that reason, in the second part, risk-sensitive learning of the individual and the population parameters in MFGs is investigated. This paves the way for extensive data-driven analysis proposed in each case for compliance markets case studies, which ultimately will be used for market design purposes. The setups considered in this proposal are not addressed in the literature. More specifically, this, among others, includes considering risk-sensitivity in MFGs for equilibrium pricing, contract design, modeling an influential market participant (major agent), and learning and adaptation. Methodology: The set of projects in this proposal addresses different aspects of risk-sensitivity in MFGs and is designed in a way that they can be investigated simultaneously and independently of each other. The main analytical tool that is used in all projects is MFG methodology which has proven useful in modeling markets with a large number of interacting participants and a few influential ones. We extend the methodology to account for risk-sensitivity of agents in markets with a clearing condition, a risk-sensitive major agent, and risk-sensitive learning and adaptation.
动机:由于全球变暖,有必要在全球范围内减少碳排放。有鉴于此,监管法案要求受监管的公司通过合格的可再生能源生产一定比例的电力。有一个跟踪系统,通过对每1兆瓦时的可再生能源发电颁发证书。如果不遵守规定,这些公司将面临罚款,必须支付给监管机构。这些证书可以在市场上交易,其价格由供求关系决定。由于间歇性可再生能源的不确定性,价格可能非常不稳定,在这样的市场上交易可能会给企业带来更高的风险。此外,这种市场的交易成本一般高于自愿市场。因此,为了促进监管,进而促进向低碳未来的平稳过渡,有效的市场设计至关重要。目的:平均场博弈(MFG)理论研究一类大群体博弈,其中的主体不仅受到其个体行为的影响,还受到系统中所有其他主体的群体行为的影响。该理论提供了这种博弈的纳什均衡的数学特征。本提案的目的是介绍mfg风险敏感性的基础研究,并将其用于合规REC市场的优化设计。因此,本文的第一部分研究了参与者对风险敏感且存在有影响力的市场参与者的市场中的均衡定价和契约设计。在所有分析中,我们都假设所有市场参数都是已知的,就像游戏中的情况一样。然而,后一种假设在实践中并不成立,需要某种形式的学习。因此,在第二部分中,研究了mfg中个体和群体参数的风险敏感学习。这为在合规市场案例研究的每个案例中提出的广泛数据驱动分析铺平了道路,最终将用于市场设计目的。本建议中所考虑的设置在文献中没有提及。更具体地说,这包括考虑mfg中均衡定价的风险敏感性、合同设计、对有影响力的市场参与者(主要代理人)建模以及学习和适应。方法:本提案中的一组项目涉及mfg风险敏感性的不同方面,其设计方式可以同时且彼此独立地进行调查。在所有项目中使用的主要分析工具是MFG方法,该方法已被证明对具有大量相互作用的参与者和少数有影响力的参与者的市场建模非常有用。我们将该方法扩展到具有清算条件、风险敏感的主要代理人以及风险敏感的学习和适应的市场中代理人的风险敏感性。

项目成果

期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)

数据更新时间:{{ journalArticles.updateTime }}

{{ item.title }}
{{ item.translation_title }}
  • DOI:
    {{ item.doi }}
  • 发表时间:
    {{ item.publish_year }}
  • 期刊:
  • 影响因子:
    {{ item.factor }}
  • 作者:
    {{ item.authors }}
  • 通讯作者:
    {{ item.author }}

数据更新时间:{{ journalArticles.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ monograph.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ sciAawards.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ conferencePapers.updateTime }}

{{ item.title }}
  • 作者:
    {{ item.author }}

数据更新时间:{{ patent.updateTime }}

Firoozi, Dena其他文献

Firoozi, Dena的其他文献

{{ item.title }}
{{ item.translation_title }}
  • DOI:
    {{ item.doi }}
  • 发表时间:
    {{ item.publish_year }}
  • 期刊:
  • 影响因子:
    {{ item.factor }}
  • 作者:
    {{ item.authors }}
  • 通讯作者:
    {{ item.author }}

{{ truncateString('Firoozi, Dena', 18)}}的其他基金

Risk-Sensitivity in Mean Field Games and Energy Markets
平均场博弈和能源市场的风险敏感性
  • 批准号:
    DGECR-2022-00468
  • 财政年份:
    2022
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Discovery Launch Supplement

相似海外基金

Investigate the feasibility of altering cancer drug sensitivity through modulation of AHR activity
研究通过调节 AHR 活性改变癌症药物敏感性的可行性
  • 批准号:
    24K10327
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Sensitivity Of West Antarctic Ice Sheet To 2C Warming
西南极冰盖对 2C 变暖的敏感性
  • 批准号:
    NE/X009408/1
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Research Grant
STTR Phase I: High-Sensitivity Flexible Quantum Dots/Graphene X-Ray Detectors and Imaging Systems
STTR 第一阶段:高灵敏度柔性量子点/石墨烯 X 射线探测器和成像系统
  • 批准号:
    2322053
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Standard Grant
Early-life climate sensitivity: direct and indirect mechanisms
生命早期的气候敏感性:直接和间接机制
  • 批准号:
    DP240100330
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Discovery Projects
Mental Health and Occupational Functioning in Nurses: An investigation of anxiety sensitivity and factors affecting future use of an mHealth intervention
护士的心理健康和职业功能:焦虑敏感性和影响未来使用移动健康干预措施的因素的调查
  • 批准号:
    10826673
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
The Twelfth (12th) Workshop on Meteorological Sensitivity Analysis and Data Assimilation; Lake George, New York; May 19-24, 2024
第十二届(十二届)气象敏感性分析与资料同化研讨会;
  • 批准号:
    2330336
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Standard Grant
CRII: AF: Applications of Spectral Sensitivity to Query and Communication Complexity
CRII:AF:频谱敏感性在查询和通信复杂性中的应用
  • 批准号:
    2348489
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Standard Grant
CAREER: Robust Coherence and High Sensitivity in Metal-Ion Nuclear-Spin Qubits
职业:金属离子核自旋量子位的鲁棒相干性和高灵敏度
  • 批准号:
    2419717
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Continuing Grant
VOLCANIC CLASSIC: VOLCANIC eruptions and CLimAte response - Stratospheric Sulfate isotopes in Ice Cores, data assimilation, and climate sensitivity
火山经典:火山喷发和气候响应 - 冰芯中的平流层硫酸盐同位素、数据同化和气候敏感性
  • 批准号:
    EP/Z000645/1
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Research Grant
What determines plant sensitivity to heat?: Individual to lifetime impacts
什么决定了植物对热的敏感性?:个体对一生的影响
  • 批准号:
    DP240100177
  • 财政年份:
    2024
  • 资助金额:
    $ 1.89万
  • 项目类别:
    Discovery Projects
{{ showInfoDetail.title }}

作者:{{ showInfoDetail.author }}

知道了