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ISS Informal Systems Seminar
Mean-field games models of price formation
Joao Saude – Systems and Robotics Institute (ISR), Portugal
We consider dynamical systems with a large number of agents that can store and trade a commodity such as electricity. We present a price-formation model consisting of constrained mean-field games where the price is a Lagrange multiplier for the supply vs. demand balance condition. We illustrate the model using real data of daily energy consumption in the UK. Then we present a Fourier approximation method for the solutions of first-order nonlocal mean-field games. We approximate the system by a simpler one that is equivalent to a convex optimization problem over a finite-dimensional subspace of continuous curves. Time permitting, we discuss possible applications to price formation problems where prices depend on state and time.
![Peter Caines](/system/assets/000/000/410/410.CainesP2_card.jpg)
Peter E. Caines
organizer
![Aditya Mahajan](/system/assets/000/000/465/465.MahajanA2_card.jpg)
Aditya Mahajan
organizer
![Shuang Gao](/system/assets/000/001/287/1287.GaoShuang3_card.jpg)
Shuang Gao
organizer
![Rinel Foguen](/system/assets/000/001/180/1180.FoguenRinel_card.jpg)
Rinel Foguen Tchuendom
organizer
Yaroslav Salii
organizer
Location
Online meeting
Zoom
Montréal Québec
Canada
Montréal Québec
Canada