Stochastic Control With Bounded Sample Paths: An Application to Reservoir Systems

by S. G. Fletcher, Univ of Waterloo, Waterloo, Canada,
K. Ponnambalam, Univ of Waterloo, Waterloo, Canada,

Document Type: Proceeding Paper

Part of: Hydraulic Engineering


The consideration of at least the first two statistical moments for the storage volumes of a reservoir system is crucial in an analysis aimed at determining the optimal operations policies subject to reliability constraints. Stochastic differential equations have been commonly used to model the dynamics of a reservoir system for such optimization problems. In this paper, a new formulation of the dynamics of the reservoir system is proposed using indicator functions, where no assumption is made on the probability distribution of the storage state variable.

Subject Headings: Stochastic processes | Water storage | Reservoirs | Optimization models | Differential equations | Probability | Dynamic models

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