Deterministic Asymmetric-cost Differential Games for Energy Production with Production Bounds
| Autor: | Junhe Chen, Matt Davison |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
TheoryofComputation_MISCELLANEOUS
Computer Science::Computer Science and Game Theory 0209 industrial biotechnology 05 social sciences Hamilton–Jacobi–Bellman equation 02 engineering and technology Optimal control Profit (economics) Competition (economics) 020901 industrial engineering & automation 0502 economics and business Differential game Market price Production (economics) Energy market 050207 economics Mathematical economics Mathematics |
| Zdroj: | Operations Research Forum. 2 |
| ISSN: | 2662-2556 |
| Popis: | We study a continuous optimal control problem which models competition in the energy market. Competing agents maximize profits from selling crude oil by determining optimal production rates by solving Hamilton–Jacobi–Bellman (HJB) equations. The HJB equations arise from a differential game between two types of players: a single finite-reserve producer and multiple high-cost infinite-reserve producers. We extend an earlier similar model, deterministic unbounded-production to a bounded-production game, in which we show that the upper (lower) bound decreases (increases) the profit of finite-reserve player and the low-cost opponents and increases (decreases) the profit of high-cost opponents, due to the effects on the finite-reserve player’s exit time and the market price. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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