Target Tracking for Contextual Bandits: Application to Demand Side Management
This work addresses electricity demand management for power networks, but it is incremental as it adapts existing contextual bandit strategies to a specific application.
The paper tackles demand side management by using a contextual-bandit approach to set price incentives for controlling electricity consumption, achieving a regret bound of T^{2/3} and demonstrating effectiveness in simulations on real UK Power Networks data.
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 $T^{2/3}$ upper bounds on this regret (up to poly-logarithmic terms)---and even faster rates under stronger assumptions---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.