9 research outputs found
Distributed Stochastic Optimization under Imperfect Information
We consider a stochastic convex optimization problem that requires minimizing
a sum of misspecified agentspecific expectation-valued convex functions over
the intersection of a collection of agent-specific convex sets. This
misspecification is manifested in a parametric sense and may be resolved
through solving a distinct stochastic convex learning problem. Our interest
lies in the development of distributed algorithms in which every agent makes
decisions based on the knowledge of its objective and feasibility set while
learning the decisions of other agents by communicating with its local
neighbors over a time-varying connectivity graph. While a significant body of
research currently exists in the context of such problems, we believe that the
misspecified generalization of this problem is both important and has seen
little study, if at all. Accordingly, our focus lies on the simultaneous
resolution of both problems through a joint set of schemes that combine three
distinct steps: (i) An alignment step in which every agent updates its current
belief by averaging over the beliefs of its neighbors; (ii) A projected
(stochastic) gradient step in which every agent further updates this averaged
estimate; and (iii) A learning step in which agents update their belief of the
misspecified parameter by utilizing a stochastic gradient step. Under an
assumption of mere convexity on agent objectives and strong convexity of the
learning problems, we show that the sequences generated by this collection of
update rules converge almost surely to the solution of the correctly specified
stochastic convex optimization problem and the stochastic learning problem,
respectively
Nash equilibrium problems in power markets and product design: Analysis and algorithms
The focus of this research is on the analysis and computation of equilibria in noncooperative Cournot and Bertrand
games. The application of focus for Cournot competition is power markets while that for Bertrand competition
is product design. We consider Cournot-based models for strategic behavior in power markets while Bertrandbased
models are employed for analyzing the behavior of price-based competition in product design. This thesis is
partitioned into three parts. Of these, the rst two parts focus on power market applications while the third part
focuses on product design.
Motivated by the risk of capacity shortfall faced by market participants with uncertain generation assets, the
rst part considers a game where agents are assumed to be risk-averse optimizers, using a conditional value-at-risk
(CVaR) measure. The resulting game-theoretic problem is a two-period risk-based stochastic Nash game with shared
strategy sets. In general, this stochastic game has nonsmooth objectives and standard existence and uniqueness
results cannot be leveraged for this class of games, given the lack of compactness of strategy sets and the absence
of strong monotonicity in the gradient map of the objectives. However, when the risk-measure is independent of
competitive interactions, a subset of equilibria to the risk-averse game are shown to be characterized by a solvable
monotone single-valued variational inequality. If the risk-measures are generalized to allow for strategic interactions,
then the characterization is through a multi-valued variational inequality. Both this object and its single-valued
counterpart, arising from the smoothed game, are shown to admit solutions. The equilibrium conditions of the game
grow linearly in size with the the sample-space, network size and the number of participating rms. Consequently,
direct schemes are inadvisable for most practical problems and instead, we present a distributed regularized primaldual
and dual projection scheme where both primal and dual iterates are computed separately. Rate of convergence
estimates are provided and error bounds are developed for inexact extensions of the dual scheme. Unlike projection
schemes for deterministic problems, here the projection step requires the solution of a possibly massive stochastic
program. By utilizing cutting plane methods, we ensure that the complexity of the projection scheme scales slowly
with the size of the sample-space. Insights regarding market design and operation are obtained after testing the
model on a 53-node electricity network.
The second part extends this model by considering the grid operator to be a pro t maximizer. However the
effect of risk is neglected in this model. The resulting problem is a quasi variational inequality. An analysis of the
equivalent complementarity problem (CP) allows us to claim that the game does admit an equilibrium. By observing
that the CP is monotone, we are in a position to employ a class of iterative regularization techniques namely the
iterative Tikhonov and the iterative proximal algorithms. The algorithms are seen to scale well with the size of the
problem. The model is employed for examining strategic behavior on a twelve node network and several economic
insights are drawn.
The third part of this thesis deals with Bertrand competition in a product design regime. With due consideration
to the attribute dimension in addition to price competition, more specifically for design and consumer service industries,
a game theoretic model is formulated. The logit model, in lieu of some of its tractable properties, is deployed to
capture consumer preferences and thereby the demand. Subsequently the variational formulations corresponding to
the game are analyzed for existence of solutions. The lack of convexity of objectives, analytical intractability of the
variational formulations corresponding to the game state some drawbacks of the logit model. Several projection and
interior point schemes are deployed for solving these classes of problems. Numerical results for smaller instances of
these games are illustrated by means of a painkiller example. Suggestions on alternate revenue maximization models
are presented