A Penalty Approach for Generalized Nash Equilibrium Problem

The generalized Nash equilibrium problem （GNEP） is a generalization of the standard Nash equilibrium problem （NEP）, in which both the utility function and the strategy space of each player depend on the strategies chosen by all other players. This problem has been used to model various problems in applications. However, the convergent solution algorithms are extremely scare in the literature. In this paper, we present an incremental penalty method for the GNEP, and show that a solution of the GNEP can be found by solving a sequence of smooth NEPs. We then apply the semismooth Newton method with Armijo line search to solve latter problems and provide some results of numerical experiments to illustrate the proposed approach.

STOCHASTIC VARIATIONAL INEQUALITY APPROACHES TO THE STOCHASTIC GENERALIZED NASH EQUILIBRIUM WITH SHARED CONSTRAINTS

In this paper,we consider the generalized Nash equilibrium with shared constraints in the stochastic environment,and we call it the stochastic generalized Nash equilibrium.The stochastic variational inequalities are employed to solve this kind of problems,and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed.We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations.The properties of the stochastic quadratic generalized Nash equilibrium are shown.The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed.Moreover,we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions,and we also analyze the properties of the formulations.Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties,such as robustness,low risk and so on.

Online distributed tracking of generalized Nash equilibrium on physical networks——Closing the Loop via Measurement Feedback

In generalized Nash equilibrium(GNE)seeking problems over physical networks such as power grids,the enforcement of network constraints and time-varying environment may bring high computational costs.Developing online algorithms is recognized as a promising method to cope with this challenge,where the task of computing system states is replaced by directly using measured values from the physical network.In this paper,we propose an online distributed algorithm via measurement feedback to track the GNE in a time-varying networked resource sharing market.Regarding that some system states are not measurable and measurement noise always exists,a dynamic state estimator is incorporated based on a Kalman filter,rendering a closed-loop dynamics of measurement-feedback driven online algorithm.We prove that,with a fixed step size,this online algorithm converges to a neighborhood of the GNE in expectation.Numerical simulations validate the theoretical results.

Distributed Optimal Variational GNE Seeking in Merely Monotone Games

In this paper, the optimal variational generalized Nash equilibrium(v-GNE) seeking problem in merely monotone games with linearly coupled cost functions is investigated, in which the feasible strategy domain of each agent is coupled through an affine constraint. A distributed algorithm based on the hybrid steepest descent method is first proposed to seek the optimal v-GNE. Then, an accelerated algorithm with relaxation is proposed and analyzed, which has the potential to further improve the convergence speed to the optimal v-GNE. Some sufficient conditions in both algorithms are obtained to ensure the global convergence towards the optimal v-GNE. To illustrate the performance of the algorithms, numerical simulation is conducted based on a networked Nash-Cournot game with bounded market capacities.

Security Constrained Distributed Transaction Model for Multiple Prosumers

Massive access of renewable energy has prompted demand-side distributed resources to participate in regulation and improve flexibility of power systems. With large-scale access of massive, decentralized, and diverse distributed resources, demand-side market members have transformed from traditional “consumers” to “prosumers”. To explore the distributed transaction model of prosumers, in this paper, a multi-prosumer distributed transaction model is proposed, and the Conditional Value-at-Risk (CVaR) theory is applied to quantify potential risks caused by the stochastic characteristics inherited from renewable energy. First, a prosumer model under constraints of the distribution network including photovoltaic units, fuel cells, energy storage system, central air conditioning and flexible loads is established, and a multi-prosumer distributed transaction strategy is proposed to achieve power sharing among multiple prosumers. Second, a prosumer transaction model based on CVaR is constructed to measure risks inherited from the uncertainty of PV output within the prosumer and ensure safety of system operation in extreme PV output scenarios. Then, the alternating direction multiplier method (ADMM) is utilized to solve the constructed model efficiently. Finally, distributed transaction costs of prosumers are distributed fairly based on the generalized Nash equilibrium to maximize social benefits. Simulation results show the multi-prosumer distributed transaction mechanism established under the proposed generalized Nash equilibrium method can encourage power sharing among prosumers, increasing their own income and social benefits. Also, the CVaR can assist decision making of prosumers in weighting the risks and benefits, improving system resilience through energy management of prosumers.

The Game Theoretical Approach for Multi-phase Complex Systems in Chemical Engineering

This paper explores the application of noncooperative game theory together with the concept of Nash equilibrium to the investigation of some basic problems on multi-scale structure, especially the meso-scale structure in the multi-phase complex systems in chemical engineering. The basis of this work is the energy-minimization-multi-scale （EMMS） model proposed by Li and Kwauk （1994） and Li, et al. （2013） which identifies the multi-scale structure as a result of ＇compromise-in-competition between dominant mechanisms＇ and tries to solve a multi-objective optimization problem. However, the existing methods often integrate it into a problem of single objective optimization, which does not clearly reflect the ＇compromise-in-competition＇ mechanism and causes heavy computation burden as well as uncertainty in choosing suitable weighting factors. This paper will formulate the compromise in competition mechanism in EMMS model as a noncooperative game with constraints, and will describe the desired stable system state as a generalized Nash equilibrium. Then the authors will investigate the game theoretical approach for two typical systems in chemical engineering, the gas-solid fluidiza- tion （GSF） system and turbulent flow in pipe. Two different cases for generalized Nash equilibrinm in such systems will be well defined and distinguished. The generalize Nash equilibrium will be solved accurately for the GSF system and a feasible method will be given for turbulent flow in pipe. These results coincide with the existing computational results and show the feasibility of this approach, which overcomes the disadvantages of the existing methods and provides deep insight into the mechanisms of multi-scale structure in the multi-phase complex systems in chemical engineering.

Network-Constrained Energy Consumption Game for Dynamic Pricing Markets

The electricity distribution network is experiencing a profound transformation with the concept of the smart grid,providing possibilities for selfish consumers to interact with the distribution system operator(DSO)and to maximize their individual energy consumption utilities.However,this profitseeking behavior among consumers may violate the network constraints,such as line flows,transformer capacity and bus voltage magnitude limits.Therefore,a network-constrained energy consumption(NCEC)game among active load aggregators(ALAs)is proposed to guarantee the safety of the distribution network.The temporal and spatial constraints of an ALA are both considered,which leads the formulated model to a generalized Nash equilibrium problem(GNEP).By resorting to a well-developed variational inequality(VI)theory,we study the existence of solutions to the NCEC game problem.Subsequently,a two-level distributed algorithm is proposed to find the variational equilibrium(VE),a fair and stable solution to the formulated game model.Finally,the effectiveness of the proposed game model and the efficiency of the distributed algorithm are tested on an IEEE-33 bus system.

Game-theoretical explorations of the mesoscale flow structure and regime transitions in bubble columns

Understanding the mesoscale structure and regime transition in bubble columns is of great significance for reactor design and scaleup.Based on the energy-minimization multiscale(EMMS)model,a noncooperative game model with constraints is proposed to investigate the structural properties of gas-liquid systems in which small and large bubbles are chosen as players and the energy consumption form the objective function.The conservation equations of the system can be regarded as the constraints of the game.For the formulated noncooperative game model,the concept of the generalized Nash equilibrium(GNE)is used to characterize the solution.An algorithm is developed to numerically compute the GNE and some important structural parameters in the system.The numerical results show the existence of the GNE for all values of the superficial gas velocity Ug.As Ug varies,the trends in the state variables can be observed and the critical point of Ug identified.The overall trend of the flow regime transition agrees with the original EMMS model and experimental results,although the GNE calculation also reveals different single-bubble dominant mechanisms with increasing Ug.