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Target Tracking for Contextual Bandits: Application to Demand Side Management

Margaux Brégère 1, 2, 3, 4 Pierre Gaillard 3 Yannig Goude 1 Gilles Stoltz 2, 4
3 SIERRA - Statistical Machine Learning and Parsimony
DI-ENS - Département d'informatique de l'École normale supérieure, CNRS - Centre National de la Recherche Scientifique, Inria de Paris
4 CELESTE - Statistique mathématique et apprentissage
Inria Saclay - Ile de France, LMO - Laboratoire de Mathématiques d'Orsay
Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-01994144
Contributor : Gilles Stoltz <>
Submitted on : Monday, May 13, 2019 - 12:25:04 PM
Last modification on : Tuesday, September 22, 2020 - 3:46:07 AM

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  • HAL Id : hal-01994144, version 2
  • ARXIV : 1901.09532

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Margaux Brégère, Pierre Gaillard, Yannig Goude, Gilles Stoltz. Target Tracking for Contextual Bandits: Application to Demand Side Management. Proceedings of Machine Learning Research, PMLR, 2019, Proceedings of the 36th International Conference on Machine Learning, 97, pp.754-763. ⟨hal-01994144v2⟩

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