A model for dynamic chance constraints in hydro power reservoir management

Abstract

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 isparticularly 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.