Mean-field approach for demand side management contracts in energy markets
We present a model for Demand Side Management (DSM) in energy contracts, based on the Mean-Field Game (MFG) probabilistic approach, in order to study the profitability of the DSM contract compared to a standard one. The contract is modelled as a Stackelberg competition between the energy retailer (leader) and the consumers (followers), where the mean-field interaction takes place in both the two-levels of the stochastic control problem, through the components of real time pricing and interruptible load contract. The leader controls the real time pricing feature, based on the concept of supply and demand, while the consumers, linked by a DSM contract, control a deviation process from their natural power demand of electricity, in order to minimize costs. We prove a stochastic maximum principle to characterise the mean-field Nash equilibrium and use the linear-quadratic framework to obtain a semi-explicit solution of the MFG. The Stackelberg competition is then formulated as a constrained stochastic control problem to guarantee the profitability of the DSM contract. Based on a preliminary and joint work with C. Alasseur, L. Campi and R. Dumitrescu.
Area: CS48 - Probabilistic models for energy transition (Tiziano Vargiolu and Athena Picarelli)
Keywords: demand side management, mean field games, stochastic optimal control, Stackelberg competition
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