Optimizing Prosumer Policies in Periodic Double Auctions Inspired by Equilibrium Analysis (Extended Version)
<|reference_start|>Optimizing Prosumer Policies in Periodic Double Auctions Inspired by Equilibrium Analysis (Extended Version): 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.<|reference_end|>
@article{manvi2024optimizing,
    title={Optimizing Prosumer Policies in Periodic Double Auctions Inspired by
  Equilibrium Analysis (Extended Version)},
    author={Bharat Manvi, Sanjay Chandlekar, Easwar Subramanian},
    journal={arXiv preprint arXiv:2405.04125},
    year={2024},
    archivePrefix={arXiv},
    eprint={2405.04125},
    primaryClass={eess.SY cs.GT cs.SY}
}