英文标题：
《Optimal electricity demand response contracting with responsiveness
incentives》
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作者：
Ren\\\'e A\\\"id and Dylan Possama\\\"i and Nizar Touzi
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最新提交年份：
2019
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英文摘要：
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for electric systems with a large share of renewable energy. The variance of consumers\' responses depreciates the value of these mechanisms and makes them weakly reliable. This paper aims at designing demand response contracts which allow to act on both the average consumption and its variance. The interaction between a risk--averse producer and a risk--averse consumer is modelled through a Principal--Agent problem, thus accounting for the moral hazard underlying demand response contracts. We provide closed--form solution for the optimal contract in the case of constant marginal costs of energy and volatility for the producer and constant marginal value of energy for the consumer. We show that the optimal contract has a rebate form where the initial condition of the consumption serves as a baseline. Further, the consumer cannot manipulate the baseline at his own advantage. The second--best price for energy and volatility are non--constant and non--increasing in time. The price for energy is lower (resp. higher) than the marginal cost of energy during peak--load (resp. off--peak) periods. We illustrate the potential benefit issued from the implementation of an incentive mechanism on the responsiveness of the consumer by calibrating our model with publicly available data. We predict a significant increase of responsiveness under our optimal contract and a significant increase of the producer satisfaction.
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中文摘要：
尽管零售电力市场的需求响应计划在降低平均用电量方面取得了成功，但消费者对价格事件的随机响应使其效率受到质疑，无法实现可再生能源占很大份额的电力系统所需的灵活性。消费者反应的差异降低了这些机制的价值，使其可靠性较弱。本文旨在设计能够同时作用于平均消费量及其方差的需求响应契约。厌恶风险的生产者和厌恶风险的消费者之间的相互作用是通过委托代理问题建模的，因此可以解释需求响应合同背后的道德风险。在能源边际成本不变、生产者的波动性不变、消费者的能源边际价值不变的情况下，我们给出了最优合约的闭式解。我们证明了最优合约有一个回扣形式，其中消费的初始条件作为基准。此外，消费者不能以自己的优势操纵基线。能源和波动性的第二个最佳价格是非恒定和非时间增长的。在高峰负荷（或非高峰）期间，能源价格低于（或高于）能源边际成本。我们通过使用公开数据校准我们的模型，说明了实施激励机制对消费者反应能力的潜在益处。我们预测，在我们的最优合同下，响应能力会显著提高，生产者满意度也会显著提高。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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