Titre :

An Equilibrium Analysis of Risk-Hedging Strategies in Decentralized Electricity Markets

Auteur(s) :

Shilov, Ilia [Auteur]
École normale supérieure - Paris [ENS-PSL]
Flemish Institute for Technological Research [VITO]
Dynamics of Geometric Networks [DYOGENE]
Le Cadre, Hélène [Auteur]
Integrated Optimization with Complex Structure [INOCS]
Bušić, Ana [Auteur]
École normale supérieure - Paris [ENS-PSL]
Dynamics of Geometric Networks [DYOGENE]
de Almeida Terça, Gonçalo [Auteur]
Flemish Institute for Technological Research [VITO]

Mot(s)-clé(s) en anglais :

Risk-hedging
Bilevel optimization
Stackelberg game
Generalized Nash equilibrium
Electricity market

Discipline(s) HAL :

Informatique [cs]/Informatique et théorie des jeux [cs.GT]
Informatique [cs]/Recherche opérationnelle [cs.RO]

Résumé en anglais : [en]

We investigate equilibrium problems arising in various decentralized designs of the electricity market involving riskaverse prosumers. The prosumers have the possibility to hedge their risks through financial contracts ...
Lire la suite >We investigate equilibrium problems arising in various decentralized designs of the electricity market involving riskaverse prosumers. The prosumers have the possibility to hedge their risks through financial contracts that they can trade with peers or purchase from an insurance company. We build several market designs of increasing complexity, from a one-stage market design with inter-agent financial contract trading to a Stackelberg game where an insurance company acts as a leader and prosumers are followers. We derive risk-hedging pricing scheme for each model and show that the Stackelberg game pessimistic formulation might have no solution. We propose an equivalent reformulation as a parametrizated generalized Nash equilibrium problem, and characterize the set of equilibria. We prove that the insurance company can design price incentives that guarantee the existence of a solution of the pessimistic formulation, which is ε close to the optimistic one. We then derive economic properties of the Stackelberg equilibria such as fairness, equity, and efficiency. We also quantify the impact of the insurance company incomplete information on the prosumers' riskaversion levels on its cost and social cost. Finally, we evaluate numerically the proposed risk-hedging market models, using residential data provided by Pecan Street.Lire moins >

Langue :

Anglais

Collections :

• Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL