“Risk-Averse Equilibrium Analysis and Privacy Impact on Generalized Nash Equilibrium in Peer-to-Peer Electricity Market”

Speaker : Ilia Shilov
Date: 26/05/2021
Time: 2:00 pm - 3:00 pm
Location: Zoom + LINCS


We consider a network of prosumers trading electricity under (i) a centralized market design, seen as the benchmark, formulated as an optimization problem, and (ii) a peer-to-peer market design, formulated as a generalized Nash equilibrium problem. High renewable energy penetration requires that the market properly handles uncertainty. To that purpose, we introduce coherent risk measures in the prosumers’ utility functions, reflecting heterogeneity in their risk attitudes. In this risk augmented setting, we formulate risk neutral and risk-averse models for (i), (ii). We characterize risk-neutral and risk-averse market equilibrium, relying on generalized Nash equilibrium and variational equilibrium as solution concepts. To hedge their risk towards uncertainty and complete the market, prosumers can trade financial contracts. We provide closed form characterizations of the risk-adjusted probabilities and the prices for the financial contracts trading under different market regimes. Privacy being one crucial feature of peer-to-peer markets, we extend the risk-neutral model of the peer-to-peer electricity market by formulating it as a noncooperative communication game, where the agents determine their randomized reports to share with the other market players, while anticipating the form of the peer-to-peer market equilibrium. We characterize the equilibrium of the game, prove the uniqueness of the Variational Equilibria and provide a closed form expression of the privacy price. On a three node toy network and the IEEE 14-bus network, we provide numerical analysis of the impact of risk heterogeneity, financial contracts and privacy inclusion on the prosumers’ expected costs.