Optimal Resource Procurement and the Price of Causality
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Publication:4957597
DOI10.1109/TAC.2020.3019374zbMATH Open1471.91206arXiv1906.02907OpenAlexW3080909402MaRDI QIDQ4957597FDOQ4957597
Authors: Sen Li, Akhil Shetty, Kameshwar Poolla, Pravin Varaiya 
Publication date: 9 September 2021
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: This paper studies the problem of procuring diverse resources in a forward market to cover a set of uncertain demand signals . We consider two scenarios: (a) is revealed all at once by an oracle (b) reveals itself causally. Each scenario induces an optimal procurement cost. The ratio between these two costs is defined as the {em price of causality}. It captures the additional cost of not knowing the future values of the uncertain demand signal. We consider two application contexts: procuring energy reserves from a forward capacity market, and purchasing virtual machine instances from a cloud service. An upper bound on the price of causality is obtained, and the exact price of causality is computed for some special cases. The algorithmic basis for all these computations is set containment linear programming. A mechanism is proposed to allocate the procurement cost to consumers who in aggregate produce the demand signal. We show that the proposed cost allocation is fair, budget-balanced, and respects the cost-causation principle. The results are validated through numerical simulations.
Full work available at URL: https://arxiv.org/abs/1906.02907
Linear programming (90C05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)
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