Stochastic control with state constraints via the Fokker–Planck equation. Application to renewable energy plants with batteries

Although renewable energies are beneficial to reduce carbon emissions, its intermittent characteristics may result in power-supply issues in distribution grid. Battery energy storage system is generally regarded as an effective tool to deal with them. On the other hand mathematical modelling, numerical simulation, optimization and control theory are nowadays of paramount importance to handle this kind of problems and related issues. In this paper we present a methodology for the development of bidding strategies and real-time control for electricity producers in a competitive electricity marketplace. Firstly, a stochastic model of a wind power plant with battery storage is stated in the framework of stochastic differential equations (SDE). Then, a stochastic control problem with state constraints is introduced and the corresponding optimality conditions involving the Hamilton–Jacobi–Bellman equation are deduced. For this purpose, advantage is taken from the fact that optimal control problems for stochastic ordinary differential equations (SDE) can be equivalently formulated as optimal control problems for deterministic partial differential equations (PDE), namely, the corresponding Fokker–Planck equation.

Abstract licence: CC BY

A person counts once a day per paper. We keep no cookie and no address: a reader is a hash that changes every day. Any month under five reads shows no number.