Competitive Equilibriums of Multi-Agent Systems over an Infinite Horizon

Abstract

In this paper, we investigate the properties of competitive equilibriums for dynamic multi-agent systems (MAS) over an infinite horizon. When there is no external resource supply, a group of dynamic agents with distributed resource allocations form a transactive market to share their resources at a specific price. Each agent makes decisions on the locally consumed resource and the traded resource. The system reaches a competitive equilibrium when each agent's payoff is maximized and the tradings are balanced. Firstly, we consider general utility functions and show that under feasibility assumptions, any competitive equilibrium maximizes the social welfare. Secondly, we prove that for sufficiently small initial conditions, the social welfare maximization solution constitutes a competitive equilibrium with zero price. We also prove for general feasible initial conditions, there exists a time instant after which the optimal price, corresponding to a competitive equilibrium, becomes zero. Finally, we specifically focus on quadratic MAS for which the system-level social welfare optimization becomes a classical constrained linear quadratic regulator (CLQR) problem. We construct explicitly a feasible set of initial conditions under which the price under a competitive equilibrium is zero for all time.