Constrained Thompson Sampling for Real-Time Electricity Pricing with Grid Reliability Constraints

Abstract: We consider the problem of an aggregator attempting to learn customers' load flexibility models while implementing a load shaping program by means of broadcasting daily dispatch signals. We adopt a multi-armed bandit formulation to account for the stochastic and unknown nature of customers' responses to dispatch signals. We propose a constrained Thompson sampling heuristic, Con-TS-RTP, that accounts for various possible aggregator objectives (e.g., to reduce demand at peak hours, integrate more intermittent renewable generation, track a desired daily load profile, etc) and takes into account the operational constraints of a distribution system to avoid potential grid failures as a result of uncertainty in the customers' response. We provide a discussion on the regret bounds for our algorithm as well as a discussion on the operational reliability of the distribution system's constraints being upheld throughout the learning process.