A Lagrangian Policy for Optimal Energy Storage Control

This paper presents a millisecond-level look-ahead control algorithm for energy storage. The algorithm connects the optimal control with the Lagrangian multiplier associated with the state-of-charge constraint. It is compared to solving look-ahead control using a state-of-the-art convex optimization solver. The paper include discussions on sufficient conditions for including the non-convex simultaneous charging and discharging constraint, and provide upper and lower bounds for the primal and dual results under such conditions. Simulation results show that both methods obtain the same control result, while the proposed algorithm runs up to 100,000 times faster and solves most problems within one millisecond. The theoretical results from developing this algorithm also provide key insights into designing optimal energy storage control schemes at the centralized system level as well as under distributed settings.