Multi-Resolution Large Population Stochastic Differential Games and Their Application to Demand Response Management in the Smart Grid

Dynamic Games and Applications - Tập 3 - Trang 68-88 - 2013
Quanyan Zhu1, Tamer Başar1
1Coordinated Science Laboratory and the Department of Electrical and Computer Engineering, University of Illinois at Urbana-Champaign, Urbana, USA

Tóm tắt

Dynamic demand response (DR) management is becoming an integral part of power system and market operational practice. Motivated by the smart grid DR management problem, we propose a multi-resolution stochastic differential game-theoretic framework to model the players’ intra-group and inter-group interactions in a large population regime. We study the game in both risk-neutral and risk-sensitive settings, and provide closed-form solutions for symmetric mean-field responses in the case of homogeneous group populations, and characterize the symmetric mean-field Nash equilibrium using the Hamilton–Jacobi–Bellman (HJB) equation together with the Fokker–Planck–Kolmogorov (FPK) equation. Finally, we apply the framework to the smart grid DR management problem and illustrate with a numerical example.

Tài liệu tham khảo

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