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            ISS Informal Systems Seminar
        
        
    Mean-field games models of price formation
Joao Saude – Systems and Robotics Institute (ISR), Portugal

We consider dynamical systems with a large number of agents that can store and trade a commodity such as electricity. We present a price-formation model consisting of constrained mean-field games where the price is a Lagrange multiplier for the supply vs. demand balance condition. We illustrate the model using real data of daily energy consumption in the UK. Then we present a Fourier approximation method for the solutions of first-order nonlocal mean-field games. We approximate the system by a simpler one that is equivalent to a convex optimization problem over a finite-dimensional subspace of continuous curves. Time permitting, we discuss possible applications to price formation problems where prices depend on state and time.
            
              Peter E. Caines
              organizer
            
          
            
              Aditya Mahajan
              organizer
            
          
            
              Shuang Gao
              organizer
            
          
            
              Rinel Foguen Tchuendom
              organizer
            
          
              Yaroslav Salii
              organizer
            
          Location
          
              Online meeting
          
          
      Zoom
Montréal Québec
Canada
        Montréal Québec
Canada