Discrete-time linear quadratic stochastic control with equality-constrained inputs: Application to energy demand response

Abstract

We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We establish the optimal solution that respects hard equality constraints for systems with additive noise in the dynamics. The optimal control law is derived using dynamic programming and Karush-Kuhn-Tucker (KKT) conditions, and the resulting control solution depends on a discrete-time Riccati-like recursive equation. Application examples of coordinating the charging of a network of residential batteries to absorb excess solar power generation are demonstrated, and the proposed control is shown to achieve exact power tracking while considering individual State-of-Charge (SoC) objectives