|edoc-Server der Humboldt-Universität zu Berlin|
L. Andrieu, Elektricité de France|
R. Henrion, WIAS Berlin
W. Römisch, Humboldt-Universität Berlin
|Title:||A model for dynamic chance constraints in hydro power reservoir management|
|Date of Acceptance:||05.04.2009|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10097382)|
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|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 for a moderate number of stages equally well in case of correlated variables. Numerical results are provided for two and three stages.|
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