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Modeling the operation of multireservoir systems using decomposition and stochastic dynamic programming. (English) Zbl 1122.90389

Summary: Stochastic dynamic programming models are attractive for multireservoir control problems because they allow non-linear features to be incorporated and changes in hydrological conditions to be modeled as Markov processes. However, with the exception of the simplest cases, these models are computationally intractable because of the high dimension of the state and action spaces involved. This paper proposes a new method of determining an operating policy for a multireservoir control problem that uses stochastic dynamic programming, but is practical for systems with many reservoirs. Decomposition is first used to reduce the problem to a number of independent subproblems. Each subproblem is formulated as a low-dimensional stochastic dynamic program and solved to determine the operating policy for one of the reservoirs in the system.

MSC:

90C15 Stochastic programming
90C39 Dynamic programming
90B90 Case-oriented studies in operations research
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