Stochastic Optimization Of A Hydroelectric Reservoir Using Piecewise Polynomial Approximations

We propose a method for optimizing a single hydro-electric reservoir using a piecewise polynomial approximation of the future value functions. Unlike previous methods based on splines, we avoid discretizing the inflow distribution. Instead, we carry out the expectation step of dynamic programming us...

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Bibliographic Details
Published in:INFOR. Information systems and operational research 2003-02, Vol.41 (1), p.51-69
Main Author: Lamond, Bernard F.
Format: Article
Language:English
Subjects:
Approximation
approximation polynomiale par morceau
Decision making
Dynamic programming
Energy
energy planning
gestion optimale des réservoirs
Hydroelectric plants
Linear programming
Management
Markov analysis
Markov decision processes
optimal reservoir management
Optimization
piecewise polynomial approximation
planification énergétique
Processus de décision markoviens
programmation dynamique stochastique
Random variables
Reservoirs
stochastic dynamic programming
Stochastic models
Studies
Turbines
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Description
Summary:We propose a method for optimizing a single hydro-electric reservoir using a piecewise polynomial approximation of the future value functions. Unlike previous methods based on splines, we avoid discretizing the inflow distribution. Instead, we carry out the expectation step of dynamic programming using an exact, easy-to-evaluate formula for the integral of a piecewise polynomial function. We then apply our method to solving a model which assumes a piecewise linear reward function of the energy produced, and takes into account the turbine head effects.
ISSN:0315-5986
1916-0615
DOI:10.1080/03155986.2003.11732668