论文标题
太阳能可再生能源证书市场中平衡定价的平均野战游戏方法
A Mean-Field Game Approach to Equilibrium Pricing in Solar Renewable Energy Certificate Markets
论文作者
论文摘要
太阳能可再生能源证书（SREC）市场是一种基于市场的系统，可激励太阳能产生。一个监管机构对每个受监管公司必须通过太阳能手段产生的能量的量强加了下限，从而为每个MWH生成的MWH提供了可交易的证书。公司试图通过调节SREC的产生和交易率来最佳地导航市场。因此，可以将SREC市场视为随机游戏，代理商通过SREC价格进行互动。我们通过使用异质代理的亚群来解决平均场游戏（MFG）限制来研究这种随机游戏。市场参与者优化成本核算交易摩擦，发电成本，非线性违规成本和发电不确定性。此外，我们通过市场清算将SREC价格内生成。我们将公司的最佳控制表征为McKean-Vlasov（MV）FBSDES的解决方案，并确定SREC平衡的价格。我们确定了该MV-FBSDE解决方案的存在和独特性，并证明MFG策略对于有限玩家游戏形成了$ε$ -NASH平衡。最后，我们开发了一个用于解决MV-FBSDE的数值方案并进行仿真研究。
Solar Renewable Energy Certificate (SREC) markets are a market-based system that incentivizes solar energy generation. A regulatory body imposes a lower bound on the amount of energy each regulated firm must generate via solar means, providing them with a tradeable certificate for each MWh generated. Firms seek to navigate the market optimally by modulating their SREC generation and trading rates. As such, the SREC market can be viewed as a stochastic game, where agents interact through the SREC price. We study this stochastic game by solving the mean-field game (MFG) limit with sub-populations of heterogeneous agents. Market participants optimize costs accounting for trading frictions, cost of generation, non-linear non-compliance costs, and generation uncertainty. Moreover, we endogenize SREC price through market clearing. We characterize firms' optimal controls as the solution of McKean-Vlasov (MV) FBSDEs and determine the equilibrium SREC price. We establish the existence and uniqueness of a solution to this MV-FBSDE, and prove that the MFG strategies form an $ε$-Nash equilibrium for the finite player game. Finally, we develop a numerical scheme for solving the MV-FBSDEs and conduct a simulation study.
