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arXiv · 2405.04125

Optimizing Prosumer Policies in Periodic Double Auctions Inspired by Equilibrium Analysis (Extended Version)

Bharat Manvi·Sanjay Chandlekar·Easwar Subramanian
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Abstract

We consider a periodic double auction (PDA) wherein the main participants are wholesale suppliers and brokers representing retailers. The suppliers are represented by a composite supply curve and the brokers are represented by individual bids. Additionally, the brokers can participate in small-scale selling by placing individual asks; hence, they act as prosumers. Specifically, in a PDA, the prosumers who are net buyers have multiple opportunities to buy or sell multiple units of a commodity with the aim of minimizing the cost of buying across multiple rounds of the PDA. Formulating optimal bidding strategies for such a PDA setting involves planning across current and future rounds while considering the bidding strategies of other agents. In this work, we propose Markov perfect Nash equilibrium (MPNE) policies for a setup where multiple prosumers with knowledge of the composite supply curve compete to procure commodities. Thereafter, the MPNE policies are used to develop an algorithm called MPNE-BBS for the case wherein the prosumers need to re-construct an approximate composite supply curve using past auction information. The efficacy of the proposed algorithm is demonstrated on the PowerTAC wholesale market simulator against several baselines and state-of-the-art bidding policies.

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Bharat Manvi, Sanjay Chandlekar, Easwar Subramanian. 2024-05-08. Optimizing Prosumer Policies in Periodic Double Auctions Inspired by Equilibrium Analysis (Extended Version). https://arxiv.org/abs/2405.04125

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