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UID:619@lincs.fr
DTSTART;TZID=Europe/Paris:20210526T140000
DTEND;TZID=Europe/Paris:20210526T150000
DTSTAMP:20210603T073546Z
URL:https://www.lincs.fr/events/talk-by-ilia-shilov/
SUMMARY:"Risk-Averse Equilibrium Analysis and Privacy Impact on Generalized
 Nash Equilibrium in Peer-to-Peer Electricity Market"
DESCRIPTION: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.&nbsp\;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.&nbsp\;Privacy being one crucial feature of peer-to-peer
 markets\,&nbsp\;we&nbsp\;extend&nbsp\;the risk-neutral model of
 the&nbsp\;peer-to-peer electricity market&nbsp\;by formulating it as
 a&nbsp\;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.&nbsp\;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.
CATEGORIES:Seminars,Youtube
LOCATION:Zoom + LINCS\, 23 avenue d'Italie\, Paris\, 75013\, France
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=23 avenue d'Italie\,
 Paris\, 75013\, France;X-APPLE-RADIUS=100;X-TITLE=Zoom + LINCS:geo:0,0
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TZID:Europe/Paris
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DTSTART:20210328T030000
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
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