Mean-field Games Models of Price Formation
Virtual Informal Systems Seminar (VISS) Centre for Intelligent Machines (CIM) and Groupe d'Etudes et de Recherche en Analyse des Decisions (GERAD)
Zoom Link
Meeting ID: 910 7928 6959
Passcode: VISS
Speaker: Joao Saude, Research Scientist, Systems and Robotics Institute in Lisbon
Abstract: 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.
Bio: Joao Saude received the B.Sc. in Aerospace engineering, the M.S. in Mathematics both from IST - University of Lisbon, Portugal, and the Ph.D. in Electrical and Computer Engineering from Carnegie Mellon University, U.S.A., in 2018, under the supervision of Prof. Soummya Kar (CMU) and co-advised by Diogo Gomes (KAUST, S.A.). After a period as a Research Scientist at J.P. Morgan A.I. research (NYC), he is now at Systems and Robotics Institute (ISR) in Lisbon. His research focuses on optimal control theory and mean-field games. His research interests include as well recommendation systems, computer vision, and explainability of graph neural networks.