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A model for dynamic chance constraints in hydro power reservoir management |
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| Authors: | L Andrieu R Henrion W Römisch |
| Institution: | 1. Electricité de France, Recherche and Développement, 1 Avenue du Général de Gaulle, 92141 Clamart, France;2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany;3. Humboldt University Berlin, Department of Mathematics, Rudower Chaussee 25, 12489 Berlin, Germany |
| Abstract: | 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 equally well in the case of correlated variables. Numerical results are provided for two and three stages. |
| Keywords: | Dynamic chance constraints Probabilistic constraints Multistage Water reservoir management |
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