Optimal Resource Procurement and the Price of Causality

DOI10.1109/TAC.2020.3019374MaRDI QIDQ4957597zbMATHOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/1906.02907

zbMATH Keywords

causalityresource procurementrobust adjustable optimization

Mathematics Subject Classification ID

Linear programming (90C05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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.

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