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A model for dynamic chance constraints in hydro power reservoir management

Please always quote using this URN:urn:nbn:de:0296-matheon-5417
  • In this paper, a model for (joint) dynamic chance constraints is proposed and applied to an optimization problem in water reservoir management. The model relies on discretization of the decision variables but keeps the probability distribution continuous. Our approach relies on calculating probabilities of rectangles which is particularly useful in the presence of independent random variables but works for a moderate number of stages equally well in case of correlated variables. Numerical results are provided for two and three stages.

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Metadaten
Author:Laetitia Andrieu, Rene Henrion, Werner Römisch
URN:urn:nbn:de:0296-matheon-5417
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2009/01/19
Release Date:2009/01/18
Tag:
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Bxx Operations research and management science / 90B05 Inventory, storage, reservoirs
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Preprint Number:536
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