Deferrable loads in energy markets: Optimal consumption policies

Abstract

The paper analyzes the optimal response of an individual consumer, with a deferrable demand for electricity, to exogenous stochastic prices. The main goal of the paper is (i) to introduce a model where many realistic features are taken into account (such as the presence of bounds on power consumption, the possibility of curtailment, and time correlation in the price process) (ii) determine an explicit and accurate mathematical description for the consumption policy of a rational consumer, and (iii) investigate the salient properties of these characterizations.