  This paper introduces a differentially private (DP) mechanism to protect the
information exchanged during the coordination of sequential and interdependent
markets. This coordination represents a classic Stackelberg game and relies on
the exchange of sensitive information between the system agents. The paper is
motivated by the observation that the perturbation introduced by traditional DP
mechanisms fundamentally changes the underlying optimization problem and even
leads to unsatisfiable instances. To remedy such limitation, the paper
introduces the Privacy-Preserving Stackelberg Mechanism (PPSM), a framework
that enforces the notions of feasibility and fidelity of the privacy-preserving
information to the original problem objective. PPSM complies with the notion of
differential privacy and ensures that the outcomes of the privacy-preserving
coordination mechanism are close-to-optimality for each agent. Experimental
results on several gas and electricity market benchmarks based on a real case
study demonstrate the effectiveness of the approach.
