Speaker:
Roxana Dumitrescu
- King's College London
Thursday, October 12, 2023
at
12:00 PM
In this talk, I will discuss two models based on the mean-field game approach related to the development of electricity consumption flexibility in the context of energy transition.
In the first part of the talk, we consider an energy system with n consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power consumption by a predefined volume during a predefined duration. Their failure to deliver the service is penalised via the difference between the sum of the n power consumptions and the contracted target. We are led to analyse a non-zero sum stochastic game with n players, where the interaction takes place through a cost which involves a delay induced by the duration included in the DSM contract. When n→∞, we obtain a Mean-Field Game (MFG) with random jump time penalty and interaction on the control. We prove a stochastic maximum principle in this context, which allows to compare the MFG solution to the optimal strategy of a central planner. In a linear quadratic setting we obtain an semi-explicit solution through a system of decoupled forward-backward stochastic differential equations with jumps, involving a Riccati Backward SDE with jumps. We show that it provides an approximate Nash equilibrium for the original n-player game for n large. Finally, we propose present several numerical experiments. Bbased on a joint work with C. Alasseur, L. Campi and J. Zeng.
