Modeling stochastic operation of reservoir under ambiguity with an emphasis on river management

被引：10

作者：

Yoshioka, Hidekazu ^{[1
]}

Yoshioka, Yumi ^{[1
]}

机构：

[1] Shimane Univ, Grad Sch Nat Sci & Technol, Nishikawatsu Cho 1060, Matsue, Shimane 6908504, Japan

来源：

OPTIMAL CONTROL APPLICATIONS & METHODS | 2019年 / 40卷 / 04期

基金：

日本学术振兴会;

关键词：

finite difference scheme; Hamilton-Jacobi-Bellman-Isaacs equation; reservoir operation; stochastic control; viscosity solution; ROBUST-CONTROL; CASCADED RESERVOIRS; DIFFERENCE SCHEME; OPTIMAL PORTFOLIO; DIVIDEND PROBLEM; RISK ANALYSIS; TIME; DYNAMICS; INVESTMENT; AREA;

D O I：

10.1002/oca.2510

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

An optimization problem of controlling a dam installed in a river is analyzed based on a stochastic control formalism of a diffusion process under model ambiguity: a new mathematical approach to this issue. The diffusion process is a pathwise unique solution to a water balance equation considering the inflow, outflow, water loss in the reservoir, and direct rainfall. Finding the optimal reservoir operation policy reduces to solving a degenerate parabolic partial differential equation: a Hamilton-Jacobi-Bellman-Isaacs equation. A monotone finite difference scheme is constructed for discretization of the equation, successfully generating nonoscillatory and reasonably accurate numerical solutions. Stability analysis of the resulting water balance dynamics is finally carried out for both environmentally friendly and not friendly reservoir operations.

引用

页码：764 / 790

页数：27

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