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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 E. Caines
organizer
Aditya Mahajan
organizer
Shuang Gao
organizer
Rinel Foguen Tchuendom
organizer
Yaroslav Salii
organizer
Location
Online meeting
Zoom
Montréal Québec
Canada
Montréal Québec
Canada