Efficiency-risk tradeoffs in dynamic oligopoly markets - With application to electricity markets

Proceedings of the IEEE Conference on Decision and Control

Volumn , Issue , 2012, Pages 2388-2394

  Huang, Qingqing ^a   Roozbehani, Mardavij ^a   Dahleh, Munther A ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b Department of Electrical Engineering and Computer Science   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AGGREGATES; COMPETITION; MEMORY ARCHITECTURE; POWER MARKETS; RANDOM PROCESSES; SCHEDULING;

ABSTRACT FRAMEWORK; FINITE TIME HORIZON; INHERENT CHARACTERISTICS; MARKET ARCHITECTURES; OLIGOPOLISTIC MARKETS; RESOURCE CONSUMPTION; RESOURCE PROVIDERS; STATIONARY DISTRIBUTION;

EFFICIENCY;

EID: 84874282743     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: 10.1109/CDC.2012.6426021     Document Type: Conference Paper

References (12)

1. A. Cohen and C. Wang, "An optimization method for load management scheduling," Power Systems, IEEE Transactions on, vol. 3, no. 2, pp. 612-618, 1988.
2. R. Buyya and M. Murshed, "A deadline and budget constrained costtime optimisation algorithm for scheduling task farming applications on global grids," Arxiv preprint cs/0203020, 2002.
3. R. Stubbs and D. Vandenbussche, "Multi-portfolio optimization and fairness in allocation of trades," 2009.
4. J. Geanakoplos, The leverage cycle. Yale University, Cowles Foundation for Research in Economics, 2009.
5. J. Danielsson and H. Shin, "Endogenous risk," Modern risk management: A history, pp. 297-316, 2003.
6. J. Foster and M. Caramanis, "Energy reserves and clearing in stochastic power markets: The case of plug-in-hybrid electric vehicle battery charging," in Decision and Control (CDC), 2010 49th IEEE Conference on. IEEE, 2010, pp. 1037-1044.
7. X. Guan, Y. Ho, and D. Pepyne, "Gaming and price spikes in electric power markets," Power Systems, IEEE Transactions on, vol. 16, no. 3, pp. 402-408, 2001.
8. Q. Huang, M. Roozbehani, and M. Dahleh, "Efficiency-robustness tradeoffs in dynamic oligopoly markets," Technical Report [online]. Available at http://arxiv.org/abs/1209.0229, 2012.
9. S. Grossman and J. Stiglitz, "On the impossibility of informationally efficient markets," The American Economic Review, vol. 70, no. 3, pp. 393-408, 1980.
10. F. Schweppe, Spot pricing of electricity. Springer, 1988.
11. E. Maskin and J. Tirole, "A theory of dynamic oligopoly, i and ii," Econometrica: Journal of the Econometric Society, pp. 549-569, 1988.
12. L. Hansen and T. Sargent, "Discounted linear exponential quadratic gaussian control," Automatic Control, IEEE Transactions on, vol. 40, no. 5, pp. 968-971, 1995.