A model for dynamic chance constraints in hydro power reservoir management

被引：46

作者：

Andrieu, L. ^{[2
]}

Henrion, R. ^{[1
]}

Roemisch, W. ^{[3
]}

机构：

[1] Weierstrass Inst Appl Anal & Stochast, D-10117 Berlin, Germany

[2] Elect France, F-92141 Clamart, France

[3] Humboldt Univ, Dept Math, D-12489 Berlin, Germany

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 207卷 / 02期

关键词：

Dynamic chance constraints; Probabilistic constraints; Multistage; Water reservoir management; DESIGN;

D O I：

10.1016/j.ejor.2010.05.013

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, a model for (joint) dynamic chance constraints is proposed and applied to an optimization problem in water reservoir management. The model relies on discretization of the decision variables but keeps the probability distribution continuous. Our approach relies on calculating probabilities of rectangles which is particularly useful in the presence of independent random variables but works equally well in the case of correlated variables. Numerical results are provided for two and three stages. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：579 / 589

页数：11

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