1. Learning Market Equilibria Using Performative Prediction: Balancing Efficiency and Privacy
- Author
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Taisant, Raphaël, Datar, Mandar, Le Cadre, Hélène, Altman, Eitan, Integrated Optimization with Complex Structure (INOCS), Inria Lille - Nord Europe, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université libre de Bruxelles (ULB)-Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 (CRIStAL), Centrale Lille-Université de Lille-Centre National de la Recherche Scientifique (CNRS)-Centrale Lille-Université de Lille-Centre National de la Recherche Scientifique (CNRS), Laboratoire Informatique d'Avignon (LIA), Avignon Université (AU)-Centre d'Enseignement et de Recherche en Informatique - CERI, Network Engineering and Operations (NEO ), Inria Sophia Antipolis - Méditerranée (CRISAM), and Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)
- Subjects
[MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] ,[INFO.INFO-AI]Computer Science [cs]/Artificial Intelligence [cs.AI] - Abstract
International audience; We consider a peer-to-peer electricity marketmodeled as a network game, where End Users (EUs) minimizetheir cost by computing their demand and generation whilesatisfying a set of local and coupling constraints. Their nominaldemand constitutes sensitive information, that they might wantto keep private. We prove that the network game admits aunique Variational Equilibrium, which depends on the privateinformation of all the EUs. A data aggregator is introduced,which aims to learn the EUs’ private information. The EUsmight have incentives to report biased and noisy readings topreserve their privacy, which creates shifts in their strategies.Relying on performative prediction, we define a decision-dependentgame G^stoch to couple the network game with adata market. Two variants of the Repeated Stochastic GradientMethod (RSGM) are proposed to compute the PerformativelyStable Equilibrium solution of G^stoch, that outperform RSGMwith respect to efficiency gap minimization, privacy preservation,and convergence rates in numerical simulations.
- Published
- 2023