  Sector coordination between heat and electricity systems has been identified
has an energy-efficient and cost-effective way to transition towards a more
sustainable energy system. However, the coordination of sequential markets
relies on the exchange of sensitive information between the market operators,
namely time series of consumers' loads. To address the privacy concerns arising
from this exchange, this paper introduces a novel privacy-preserving
Stackelberg mechanism (w-PPSM) which generates differentially-private data
streams with high fidelity. The proposed w-PPSM enforces the feasibility and
fidelity of the privacy-preserving data with respect to the original problem
through a post-processing phase in order to achieve a close-to-optimal
coordination between the markets. Multiple numerical simulations in a realistic
energy system demonstrate the effectiveness of the w-PPSM, which achieves up to
two orders of magnitude reduction in the cost of privacy compared to a
traditional differentially-private mechanism.
