Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems

被引：5

作者：

Zéphyr L. ^{[1
]}

Lang P. ^{[1
]}

Lamond B.F. ^{[1
]}

机构：

[1] Operations and Decision Systems Departement, Université Laval, Pavillon Palasis-Prince, 2325, Rue de la Terrasse, Quebec, G1V 0A6, QC

来源：

Computational Management Science | 2015年 / 12卷 / 4期

关键词：

Regular grids; Reservoir networks; Separable grids; Simplicial decomposition; Stochastic dynamic programming; Value function approximation;

D O I：

10.1007/s10287-015-0242-1

中图分类号：

学科分类号：

摘要：

We present a new approach for adaptive approximation of the value function in stochastic dynamic programming. Under convexity assumptions, our method is based on a simplicial partition of the state space. Bounds on the value function provide guidance as to where refinement should be done, if at all. Thus, the method allows for a trade-off between solution time and accuracy. The proposed scheme is experimented in the particular context of hydroelectric production across multiple reservoirs. © 2015, Springer-Verlag Berlin Heidelberg.

引用

页码：539 / 557

页数：18

共 20 条

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