  This research proposes a novel auction mechanism for transactive energy
exchange between buyers and sellers, modeled as agents in a microgrid. The
mechanism is implemented by a separate microgrid controller (MC) agent, and
requires big data flow with the other agents through an iterative bidding
process. Although private user information remains hidden to the MC, a
theoretical analysis shows that under the assumption of convexity of the agents
utilities, the proposed auction is still able to maximize the social welfare
(SW), i.e. the aggregate utilities of the agents. In addition, it is shown that
the mechanism exhibits the key desirable features of individual rationality and
weak budget balance, guaranteeing that neither the payoff to any agent nor the
net monetary revenue after termination, is negative. The proposed approach also
incorporates a mechanism to redistribute the sellers shares in a fair manner.
As an example, a maximum entropy based fair redistribution scheme is addressed.
The theoretical analysis reported here is accompanied by extensive set of
simulations that illustrate the various aspects of the proposed mechanism.
