An Iterative On-Line Auction Mechanism for Aggregated Demand-Side Participation

This paper considers a demand-side aggregation scheme specifically for large numbers of small-loads, such as households and small- and medium-sized businesses. We introduce a novel auction format, called a staggered clock-proxy auction (SCPA), for on-line scheduling of these loads. This is a two phase format, consisting of a sequence of overlapping iterative ascending price clock auctions, one for each time-slot over a finite decision horizon, and a set of proxy auctions that begin at the termination of each individual clock auction, and which determine the final price and allocation for each time-slot. The overlapping design of the clock phases grant bidders the ability to effectively bid on intertemporal bundles of electricity use, thereby focusing on the most-relevant parts of the price-quantity space. Since electricity is a divisible good, the proxy auction uses demand-schedule bids, which the aggregator uses to compute a uniform-price competitive equilibrium for each time-slot. We show that, under mild assumptions on the bidders' utilities functions, the proxy phase implements the Vickrey-Clarke-Groves allocation, which makes straightforward bidding in the proxy phase a Bayes-Nash equilibrium. Furthermore, we demonstrate the SCPA in a scenario comprised of household agents with three different utility function types, and show how the mechanism improves the efficiency of on-line energy use scheduling.