A dam management problem with energy production as an optimal switching problem-Reference-Cited by-同舟云学术

A dam management problem with energy production as an optimal switching problem

Published:2023-12-29 Issue: Volume: Page:
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stoch Models Bus & Ind

Author:

Chevalier Etienne¹²,Di Girolami Cristina³^ORCID,Gaïgi M'hamed⁴,Giovannini Elisa⁵,Scotti Simone⁶

Affiliation:

1. Laboratoire de Modélisation Mathématique d'Evry (LaMME) Université d'Evry Val d'Essonne Evry France

2. UMR CNRS Université Paris Saclay Gif‐sur‐Yvette France

3. Dipartimento di Matematica Università Alma Mater Studiorum Bologna Bologna Italy

4. Ecole Nationale d'Ingénieurs de Tunis ENIT‐LAMSIN Université de Tunis El Manar Tunis Tunisia

5. Dipartimento di Scienze per l'Economia e l'Impresa Università degli Studi di Firenze Firenze Italy

6. Dipartimento di Economia e Management Università di Pisa Pisa Italy

Abstract

AbstractWe consider an optimal stochastic control problem for a dam. Electrical power production is operating under an uncertain setting for electricity market prices and water level which has to be kept under control. Indeed, the water level inside the basin cannot exceed a certain threshold for safety reasons, and at the same time cannot decrease below another threshold in order to keep power production active. We model this situation as a mixed control problem with regular and switching controls under constraints. We characterize the value function as solution of an HJB equation and provide some numerical approximating methods. We shall illustrate by numerical examples the main achievements of the present approach.

Funder

Università di Pisa

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2840

Reference27 articles.

1. Optimal reservoir rule curves under climatic and land use changes for Lampao Dam using Genetic Algorithm

2. Optimal control of finite dams: continuous output procedure

3. Optimal control of a dam using Pλ,τM$$ {\mathrm{P}}_{\uplambda, \uptau}^{\mathrm{M}} $$ policies and penalty cost when the input process is a compound Poisson process with positive drift;Abdel‐Hameed MS;J Appl Probab,2000

4. Optimal Control of a Large Dam

5. The control of a finite dam with penalty cost function: Markov input rate