A Stochastic Continuous Time Model for Microgrid Energy Management

Benjamin Heymann (1, 2) , J Frédéric Bonnans (2, 1) , Francisco Silva (3) , Guillermo Jimenez (4)

1 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
3 XLIM-MATHIS - Mathématiques & Sécurité de l'information
4 USACH - Universidad de Santiago de Chile [Santiago]

We propose a novel stochastic control formulation for the microgrid energy management problem and extend previous works on continuous time rolling horizon strategy to uncertain demand. We modelize the demand dynamics with a stochastic differential equation. We decompose this dynamics into three terms: an average drift, a time-dependent mean-reversion term and a Brownian noise. We use BOCOPHJB for the numerical simulations. This optimal control toolbox implements a semi-Lagrangian scheme and handle the optimization of switching times required for the discrete on/off modes of the diesel generator. The scheme allows for an accurate modelling and is computationally cheap as long as the state dimension is small. As described in previous works, we use a trick to reduce the search of the optimal control values to six points. This increases the computation speed by several orders. We compare this new formulation with the deterministic control approach introduced in [1] using data from an isolated microgrid located in northern Chile.

Mots clés: Microgrid energy management; Microgrid; stochastic control; Optimization; HJB

Domaines: Mathématiques [math]

Benjamin Heymann, J Frédéric Bonnans, Francisco Silva, Guillermo Jimenez. A Stochastic Continuous Time Model for Microgrid Energy Management. ECC2016, Jun 2016, Aalborg, Denmark. ⟨hal-01314078v2⟩