Heat energy:)

HEAT INDUCED ROTATING LAMP SHADE

When the bulb is lit, it will generate heat. The heat generated will warm the air surrounding the bulb, causing it to rise. The rising warm air will travel upwardly inside the conical shade with the air escaping out the slits provided in the surface of the shade. The warm air escaping through the slits will apply a force to the unidirectional vanes which will cause the shade to rotate.

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In shorter words, when the bulb lits up, heat and other forms of energy is produced. The moving hot air surrounding the slits will rise and will apply a force on the slits, causing the vanes to rotate.