  We consider a periodic double auction (PDA) wherein the main participants are
wholesale suppliers and brokers representing retailers. The suppliers are
represented by a composite supply curve and the brokers are represented by
individual bids. Additionally, the brokers can participate in small-scale
selling by placing individual asks; hence, they act as prosumers. Specifically,
in a PDA, the prosumers who are net buyers have multiple opportunities to buy
or sell multiple units of a commodity with the aim of minimizing the cost of
buying across multiple rounds of the PDA. Formulating optimal bidding
strategies for such a PDA setting involves planning across current and future
rounds while considering the bidding strategies of other agents. In this work,
we propose Markov perfect Nash equilibrium (MPNE) policies for a setup where
multiple prosumers with knowledge of the composite supply curve compete to
procure commodities. Thereafter, the MPNE policies are used to develop an
algorithm called MPNE-BBS for the case wherein the prosumers need to
re-construct an approximate composite supply curve using past auction
information. The efficacy of the proposed algorithm is demonstrated on the
PowerTAC wholesale market simulator against several baselines and
state-of-the-art bidding policies.
