2019/09/15 by Athena Picarelli, Picarelli, Athena, Tiziano Vargiolu +1 · 1 citation
Decision Sciences · Engineering · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Water resources management and optimization
paper · pdf · doi:10.48550/arxiv.1909.06854
openalex publication_date 2019/09/15 · openalex created_date 2022/07/28 · openalex updated_date 2026/07/28
We present a novel technique to solve the problem of managing optimally a\npumped hydroelectric storage system. This technique relies on representing the\nsystem as a stochastic optimal control problem with state constraints, these\nlatter corresponding to the finite volume of the reservoirs. Following the\nrecent level-set approach presented in O. Bokanowski, A. Picarelli, H. Zidani,\n"State-constrained stochastic optimal control problems via reachability\napproach", SIAM J. Control and Optim. 54 (5) (2016), we transform the original\nconstrained problem in an auxiliary unconstrained one in augmented state and\ncontrol spaces, obtained by introducing an exact penalization of the original\nstate constraints. The latter problem is fully treatable by classical dynamic\nprogramming arguments.\n