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Target Tracking for Contextual Bandits: Application to Demand Side Management
Margaux Brégère · Pierre Gaillard · Yannig Goude · Gilles Stoltz

Wed Jun 12 11:20 AM -- 11:25 AM (PDT) @ Seaside Ballroom
We propose a contextual-bandit approach for demand side management by offering price incentives. More precisely, a target mean consumption is set at each round and the mean consumption is modeled as a complex function of the distribution of prices sent and of some contextual variables such as the temperature, weather, and so on. The performance of our strategies is measured in quadratic losses through a regret criterion. We offer $\sqrt{T}$ upper bounds on this regret (up to poly-logarithmic terms), for strategies inspired by standard strategies for contextual bandits (like LinUCB, see Li et al., 2010). Simulations on a real data set gathered by UK Power Networks, in which price incentives were offered, show that our strategies are effective and may indeed manage demand response by suitably picking the price levels.

Author Information

Margaux Brégère (CNRS Université Paris-Sud, Inria Paris, EDF R&D)
Pierre Gaillard (INRIA Paris)
Yannig Goude (EDF Lab Paris-Saclay)
Gilles Stoltz (Université paris Sud)

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