Controlled Approximation of the Stochastic Dynamic Programming Value Function for Multi-Reservoir Systems
We present an approximation of the Stochastic Dynamic Programming (SDP) value function based on a partition of the state space into simplices. The vertices of such simplices form an irregular grid over which the value function is computed. Under convexity assumptions, lower and upper bounds are developed over the state space continuum. The partition is then refined where the gap between these bounds is largest. This process readily provides a controllable trade-off between accuracy and solution time.
KeywordsReservoir Level Stochastic Dynamic Program Irregular Grid Approximate Dynamic Program Division Point
- 11.Zéphyr, L., Lang, P., Lamond, B.F.: Adaptive monitoring of the progressive hedging penalty for reservoir systems management. Energy Syst. 1–16. Published online: 20 December 2013. doi:10.1007/s12,667-013-0110-4 (2013)