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Game theoretic analysis of electricity market auction mechanisms

Publications associées (32)

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Bandit Online Learning of Nash Equilibria in Monotone Games

Maryam Kamgarpour

We address online bandit learning of Nash equilibria in multi-agent convex games. We propose an algorithm whereby each agent uses only obtained values of her cost function at each joint played action, lacking any information of the functional form of her c ...

2021

Mixed Nash Equilibria in the Adversarial Examples Game

Rafaël Benjamin Pinot

This paper tackles the problem of adversarial examples from a game theoretic point of view. We study the open question of the existence of mixed Nash equilibria in the zero-sum game formed by the attacker and the classifier. While previous works usually al ...

2021

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

A Simulation-Based Heuristic to Find Approximate Equilibria with Disaggregate Demand Models

Michel Bierlaire, Virginie Janine Camille Lurkin, Stefano Bortolomiol

Oligopolistic competition occurs in various transportation markets. In this paper, we introduce a framework to find approximate equilibrium solutions of oligopolistic markets in which demand is modeled at the disaggregate level using discrete choice models ...

INFORMS2021

Regret Minimization and Separation in Multi-Bidder Multi-Item Auctions

Daniel Kuhn, Napat Rujeerapaiboon, Cagil Kocyigit

We study a robust auction design problem with a minimax regret objective, where a seller seeks a mechanism for selling multiple items to multiple anonymous bidders with additive values. The seller knows that the bidders' values range over a box uncertainty ...

2020

Balancing management of strategic aggregators using non-cooperative game theory

Mokhtar Bozorg, Mohammad Rayati

The aggregators are intermediary players at the distribution system level. They manage the financial transactions of resources such as micro-turbines (MTs), photo-voltaic (PV) production systems, flexible demands (FDs), and must-run demands (MDs) in the en ...

ELSEVIER SCIENCE SA2020

Distributional Robustness in Mechanism Design

Cagil Kocyigit

Mechanism design theory examines the design of allocation mechanisms or incentive systems involving multiple rational but self-interested agents and plays a central role in many societally important problems in economics. In mechanism design problems, agen ...

EPFL2020

A Multiagent Model of Efficient and Sustainable Financial Markets

In this paper, we introduce a model of a financial market as a multiagent repeated game where the players are market makers. We formalize the concept of market making and the parameters of the game. Our main contribution is a framework that combines game t ...

2020

Contextual Games: Multi-Agent Learning with Side Information

Maryam Kamgarpour, Andreas Krause, Ilija Bogunovic

We formulate the novel class of contextual games, a type of repeated games driven by contextual information at each round. By means of kernel-based regularity assumptions, we model the correlation between different contexts and game out- comes and propose ...

Curran Associates, Inc.2020

No-Regret Learning from Partially Observed Data in Repeated Auctions

Maryam Kamgarpour, Orcun Karaca

We study a general class of repeated auctions, such as the ones found in electricity markets, as multi-agent games between the bidders. In such a repeated setting, bidders can adapt their strategies online using no-regret algorithms based on the data obser ...

2020