The entry and exit game in the electricity markets: A mean-field game approach

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2020-04-29 DOI:10.3934/JDG.2021012
R. Aid, Roxana Dumitrescu, P. Tankov
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引用次数: 20

Abstract

We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable producers choose the optimal moment to build new renewable plants, and the conventional producers choose the optimal moment to exit the market. The agents interact through the market price, determined by matching the aggregate supply of the two types of producers with an exogenous demand function. Using a relaxed formulation of optimal stopping mean-field games, we prove the existence of a Nash equilibrium and the uniqueness of the equilibrium price process. An empirical example, inspired by the UK electricity market is presented. The example shows that while renewable subsidies clearly lead to higher renewable penetration, this may entail a cost to the consumer in terms of higher peakload prices. In order to avoid rising prices, the renewable subsidies must be combined with mechanisms ensuring that sufficient conventional capacity remains in place to meet the energy demand during peak periods.
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电力市场的进入与退出博弈:一种平均场博弈方法
我们建立了一个基于最优停止的平均场博弈的电力市场行业动态模型。在我们的模型中,有两种类型的代理人:可再生能源生产者和传统生产者。可再生能源生产商选择最优时机建设新的可再生能源发电厂,传统生产商选择最优时机退出市场。代理人通过市场价格相互作用,市场价格由两类生产者的总供给与外生需求函数的匹配决定。利用最优停止平均场对策的松弛公式,证明了纳什均衡的存在性和均衡价格过程的唯一性。本文提出了一个受英国电力市场启发的实证例子。这个例子表明,虽然可再生能源补贴明显导致更高的可再生能源渗透率,但这可能会给消费者带来更高的峰值负荷价格成本。为了避免价格上涨,可再生能源补贴必须与确保有足够的常规产能以满足高峰时期能源需求的机制相结合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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