- Title
- Reinforcement learning for constrained energy trading games with incomplete information
- Creator
- Wang, Huiwei; Huang, Tingwen; Liao, Xiaofeng; Abu-Rub, Haitham; Chen, Guo
- Relation
- IEEE Transactions on Cybernetics Vol. 47, Issue 10, p. 3404-3416
- Publisher Link
- http://dx.doi.org/10.1109/TCYB.2016.2539300
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Resource Type
- journal article
- Date
- 2017
- Description
- This paper considers the problem of designing adaptive learning algorithms to seek the Nash equilibrium (NE) of the constrained energy trading game among individually strategic players with incomplete information. In this game, each player uses the learning automaton scheme to generate the action probability distribution based on his/her private information for maximizing his own averaged utility. It is shown that if one of admissible mixed-strategies converges to the NE with probability one, then the averaged utility and trading quantity almost surely converge to their expected ones, respectively. For the given discontinuous pricing function, the utility function has already been proved to be upper semicontinuous and payoff secure which guarantee the existence of the mixed-strategy NE. By the strict diagonal concavity of the regularized Lagrange function, the uniqueness of NE is also guaranteed. Finally, an adaptive learning algorithm is provided to generate the strategy probability distribution for seeking the mixed-strategy NE.
- Subject
- double auction; energy trading game; incomlete information; reinforcement learning; smart grid system
- Identifier
- http://hdl.handle.net/1959.13/1385195
- Identifier
- uon:32185
- Identifier
- ISSN:2168-2267
- Language
- eng
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